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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0013	4.51***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8713	48.66***
γ leverage Additional response to negative shocks	0.1956	4.93***

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Defined Duration 5 ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defined Duration 5 ETF Analyses