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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0004	9.07***
α ARCH Response to squared shocks	0.0281	42.90***
β GARCH Volatility persistence	0.9702	1,470.02***
γ leverage Additional response to negative shocks	-0.0541	-5.68***

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Danish Krone AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Danish Krone Analyses