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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0888	1.50
α ARCH Response to squared shocks	0.0324	12.25***
β GARCH Volatility persistence	0.9976	644.85***
ν DF Student-t tail thickness	6.9621	2.23**

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S&P GSCI Lead 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 Lead Spot Index Analyses