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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8067	0.01
α ARCH Response to squared shocks	0.6475	0.02
β GARCH Volatility persistence	0.8824	0.08
ν DF Student-t tail thickness	7.9990	0.01

V-Lab

Polish Zloty GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Polish Zloty Analyses