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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	121
αARCH	0.0382	0.73
βGARCH	0.6339	7.73***
γleverage	0.0970	1.73*
λ₁tau intercept	0.0785	0.23
λ₂forecast adj.	0.0098	0.70
λ₃tau persistence	0.9852	26.28***

Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0382	0.73
β GARCH Volatility persistence	0.6339	7.73***
γ leverage Additional response to negative shocks	0.0970	1.73*
λ₁ tau intercept Baseline long-term coefficient	0.0785	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.0098	0.70
λ₃ tau persistence Long-term factor persistence	0.9852	26.28***

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Ultragenyx Pharmaceutical Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ultragenyx Pharmaceutical Inc Analyses