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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000	6.00***
α ARCH Response to squared shocks	0.0372	16.77***
β GARCH Volatility persistence	0.9663	747.30***
γ leverage Additional response to negative shocks	-0.0070	-1.92*

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Chinese Renminbi GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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