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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0025	14.59***
α ARCH Response to squared shocks	0.0173	14.54***
β GARCH Volatility persistence	0.9612	765.90***
γ leverage Additional response to negative shocks	0.0256	9.11***

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Australian Dollar GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Australian Dollar Analyses