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Param	Value	t-stat
ωconst	0.4919	4.88***
αARCH	0.1462	4.15***
βGARCH	0.8151	40.55***
γleverage	-0.0044	-0.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4919	4.88***
α ARCH Response to squared shocks	0.1462	4.15***
β GARCH Volatility persistence	0.8151	40.55***
γ leverage Additional response to negative shocks	-0.0044	-0.08

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Yamada Consulting Group Co GJR-GARCH Volatility Analysis

Date Range:

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