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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0007	11.44***
α ARCH Response to squared shocks	0.0322	18.46***
β GARCH Volatility persistence	0.9672	948.23***
γ leverage Additional response to negative shocks	-0.0029	-0.98

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Romanian Leu GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Romanian Leu Analyses