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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1957	25.23***
α ARCH Response to squared shocks	0.0800	20.91***
β GARCH Volatility persistence	0.8500	260.19***
γ leverage Additional response to negative shocks	0.0713	8.65***

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Obayashi Corp GJR-GARCH Volatility Analysis

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