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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0003	10.63***
α ARCH Response to squared shocks	0.1020	16.22***
β GARCH Volatility persistence	0.8866	278.98***
γ leverage Additional response to negative shocks	0.0077	0.82

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Bloomberg Japanese Aggregate Bond Index Total Return Value Unhedged JPY GJR-GARCH Volatility Analysis

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