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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0015	18.25***
α ARCH Response to squared shocks	0.0405	23.00***
β GARCH Volatility persistence	0.9543	1,021.71***
γ leverage Additional response to negative shocks	-0.0008	-0.23

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United States Dollar Index GJR-GARCH Volatility Analysis

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News Impact Curve

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Other United States Dollar Index Analyses