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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0006	19.16***
α ARCH Response to squared shocks	0.0565	22.78***
β GARCH Volatility persistence	0.9464	730.27***
γ leverage Additional response to negative shocks	-0.0204	-5.81***

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Singapore Dollar GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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Other Singapore Dollar Analyses