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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0010	20.16***
α ARCH Response to squared shocks	0.0906	23.95***
β GARCH Volatility persistence	0.9085	424.73***
γ leverage Additional response to negative shocks	-0.0046	-0.74

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Malaysian Ringgit GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Malaysian Ringgit Analyses