News Impact Curve — bagaimana shock memengaruhi variansi
σ
t
2
= ω + α·ε
t-1
2
+ γ·[ε
t-1
<0]·ε
t-1
2
+ β·σ
t-1
2
α (ARCH)
α = 0,10
γ (asimetri/leverage)
γ = 0,12
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