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Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0131	-10.60***
α ARCH Response to squared shocks	0.1409	34.32***
β GARCH Volatility persistence	0.9841	1,268.22***
γ leverage Additional response to negative shocks	0.0190	6.12***

V-Lab

Israeli Shekel EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses