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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0208	14.84***
α ARCH Response to squared shocks	0.0247	13.10***
β GARCH Volatility persistence	0.9181	581.07***
γ leverage Additional response to negative shocks	0.1018	19.98***

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iShares MSCI Singapore Capped ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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