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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0239	19.16***
α ARCH Response to squared shocks	0.0034	1.33
β GARCH Volatility persistence	0.8868	392.22***
γ leverage Additional response to negative shocks	0.1744	30.60***

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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