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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0216	20.64***
α ARCH Response to squared shocks	0.0036	1.48
β GARCH Volatility persistence	0.8973	417.18***
γ leverage Additional response to negative shocks	0.1598	29.62***

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S&P 500 Index GJR-GARCH Volatility Analysis

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Volatility Forecast

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