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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0256	2.60***
β GARCH Volatility persistence	0.6473	23.24***
γ leverage Additional response to negative shocks	0.1155	9.10***
λ₁ tau intercept Baseline long-term coefficient	5.1509	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.3129	0.10
λ₃ tau persistence Long-term factor persistence	0.2883	0.04

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Ultragenyx Pharmaceutical Inc MF2-GARCH Volatility Analysis

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