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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0019	21.36***
α ARCH Response to squared shocks	0.0658	19.86***
β GARCH Volatility persistence	0.9369	593.72***
γ leverage Additional response to negative shocks	-0.0216	-4.83***

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South Korean Won GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other South Korean Won Analyses