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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0216	5.15***
α ARCH Response to squared shocks	0.0035	0.36
β GARCH Volatility persistence	0.8972	104.18***
γ leverage Additional response to negative shocks	0.1602	7.42***

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S&P 500 Index GJR-GARCH Volatility Analysis

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Volatility Forecast

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