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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.5501	19.53***
α ARCH Response to squared shocks	0.0939	4.44***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.0451	0.80

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Pelagos Insurance Capital Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pelagos Insurance Capital Ltd Analyses