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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1349	19.58***
α ARCH Response to squared shocks	0.0877	25.46***
β GARCH Volatility persistence	0.9092	521.93***
γ leverage Additional response to negative shocks	-0.0022	-0.35

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Henry Hub Natural Gas GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henry Hub Natural Gas Analyses