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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0013	22.43***
α ARCH Response to squared shocks	0.0670	23.01***
β GARCH Volatility persistence	0.9200	526.29***
γ leverage Additional response to negative shocks	-0.0012	-0.25

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Philippine Peso GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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