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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0015	11.77***
α ARCH Response to squared shocks	0.0363	16.85***
β GARCH Volatility persistence	0.9609	605.84***
γ leverage Additional response to negative shocks	-0.0027	-0.98

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Czech Koruna GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Czech Koruna Analyses