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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0394	14.96***
α ARCH Response to squared shocks	0.0278	11.93***
β GARCH Volatility persistence	0.9150	474.11***
γ leverage Additional response to negative shocks	0.0898	17.30***

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iShares MSCI Sweden Capped ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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