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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0004	8.76***
α ARCH Response to squared shocks	0.0283	18.13***
β GARCH Volatility persistence	0.9756	1,325.59***
γ leverage Additional response to negative shocks	-0.0106	-4.83***

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Croatian Kuna GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Croatian Kuna Analyses