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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5113	19.52***
α ARCH Response to squared shocks	0.1479	16.50***
β GARCH Volatility persistence	0.8117	158.91***
γ leverage Additional response to negative shocks	-0.0046	-0.31

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Yamada Consulting Group Co GJR-GARCH Volatility Analysis

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