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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2813	6.70***
α ARCH Response to squared shocks	0.0321	5.62***
β GARCH Volatility persistence	0.9345	191.81***
γ leverage Additional response to negative shocks	0.0595	2.11**

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Valbiotis SA GJR-GARCH Volatility Analysis

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