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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2726	5.37***
α ARCH Response to squared shocks	0.0542	54.00***
β GARCH Volatility persistence	0.9964	1,523.50***
ν DF Student-t tail thickness	7.3499	8.43***

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S&P GSCI Spot Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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Other S&P GSCI Spot Index Analyses