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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1441	15.71***
α ARCH Response to squared shocks	0.0363	12.64***
β GARCH Volatility persistence	0.8877	313.80***
γ leverage Additional response to negative shocks	0.1039	14.93***

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Denka Co Ltd GJR-GARCH Volatility Analysis

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