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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0020	12.29***
α ARCH Response to squared shocks	0.0330	21.70***
β GARCH Volatility persistence	0.9643	769.00***
γ leverage Additional response to negative shocks	-0.0043	-1.89*

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Hungarian Forint GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hungarian Forint Analyses