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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0202	0.79
α ARCH Response to squared shocks	-0.3618	-6.91***
β GARCH Volatility persistence	0.9812	2,490.42***
γ leverage Additional response to negative shocks	-0.0168	-0.75

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Caisse Regionale De Credit Agricole Mutuel Toulouse 31 EGARCH Volatility Analysis

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