S&P / ASX 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0040	8.89***
α ARCH Response to squared shocks	0.0133	12.03***
β GARCH Volatility persistence	0.9849	1,339.99***
γ leverage Additional response to negative shocks	0.0002	0.10

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AGL Energy Ltd GJR-GARCH Volatility Analysis

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