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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0069	1.13
α ARCH Response to squared shocks	0.0341	4.07***
β GARCH Volatility persistence	0.9730	212.83***
γ leverage Additional response to negative shocks	-0.0157	-1.54

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ICE US Cocoa GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cocoa Analyses