Ultragenyx Pharmaceutical Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
91.44%
increased by 0.39%
1 Week
95.33%
increased by 4.28%
1 Month
98.01%
increased by 6.96%
Analysis last updated: Monday, October 19, 2026 at 09:26 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2014 to Oct 16, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 2 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6221 | 6.98*** |
| αARCH | 0.0942 | 3.31*** |
| βGARCH | 0.5409 | 4.13*** |
Spline Coefficients
K=9
| γ1 | 0.8246 | 3.40*** |
| γ2 | -1.3062 | -3.77*** |
| γ3 | 0.7890 | 3.21*** |
| γ4 | -0.2880 | -1.17 |
| γ5 | -0.2429 | -0.89 |
| γ6 | 0.5058 | 1.77* |
| γ7 | -0.7085 | -2.55** |
| γ8 | 1.1522 | 3.11*** |
| γ9 | -1.1619 | -3.16*** |
0.635
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6221 | 6.98*** |
α ARCH Response to squared shocks | 0.0942 | 3.31*** |
β GARCH Volatility persistence | 0.5409 | 4.13*** |
Spline Coefficients
K=9
| γ1 | 0.8246 | 3.40*** |
| γ2 | -1.3062 | -3.77*** |
| γ3 | 0.7890 | 3.21*** |
| γ4 | -0.2880 | -1.17 |
| γ5 | -0.2429 | -0.89 |
| γ6 | 0.5058 | 1.77* |
| γ7 | -0.7085 | -2.55** |
| γ8 | 1.1522 | 3.11*** |
| γ9 | -1.1619 | -3.16*** |
Persistence:
0.635
Half-life:
2 days
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