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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0010	19.71***
α ARCH Response to squared shocks	0.0885	23.23***
β GARCH Volatility persistence	0.9142	570.29***
γ leverage Additional response to negative shocks	-0.0123	-2.10**

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Thai Baht GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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Other Thai Baht Analyses