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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0208	19.67***
α ARCH Response to squared shocks	0.0051	2.23**
β GARCH Volatility persistence	0.9022	377.65***
γ leverage Additional response to negative shocks	0.1501	27.67***

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S&P 100 Index GJR-GARCH Volatility Analysis

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News Impact Curve

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