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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0003	8.90***
α ARCH Response to squared shocks	0.0281	15.17***
β GARCH Volatility persistence	0.9727	1,000.69***
γ leverage Additional response to negative shocks	-0.0024	-0.81

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Moroccan Dirham GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Moroccan Dirham Analyses