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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0745	5.06***
α ARCH Response to squared shocks	0.0923	4.56***
β GARCH Volatility persistence	0.8962	78.96***
γ leverage Additional response to negative shocks	0.0031	0.10

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NY Harbor ULSD Heating Oil GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Harbor ULSD Heating Oil Analyses