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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0013	22.37***
α ARCH Response to squared shocks	0.0673	23.03***
β GARCH Volatility persistence	0.9198	524.73***
γ leverage Additional response to negative shocks	-0.0016	-0.32

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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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