EURO STOXX 50 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2065	17.24***
α ARCH Response to squared shocks	0.0861	25.26***
β GARCH Volatility persistence	0.9069	372.74***
γ leverage Additional response to negative shocks	0.0076	1.11

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Petrolia Se Asy. MEM Volatility Analysis

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