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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0239	19.15***
α ARCH Response to squared shocks	0.0031	1.24
β GARCH Volatility persistence	0.8868	393.08***
γ leverage Additional response to negative shocks	0.1750	30.73***

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Russell 1000 Value Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 1000 Value Index Analyses