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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0025	14.52***
α ARCH Response to squared shocks	0.0172	14.48***
β GARCH Volatility persistence	0.9613	768.40***
γ leverage Additional response to negative shocks	0.0257	9.19***

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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