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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0006	11.33***
α ARCH Response to squared shocks	0.0323	18.49***
β GARCH Volatility persistence	0.9671	949.10***
γ leverage Additional response to negative shocks	-0.0029	-0.96

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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