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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0017	9.65***
α ARCH Response to squared shocks	0.0784	26.38***
β GARCH Volatility persistence	0.9394	534.67***
γ leverage Additional response to negative shocks	-0.0357	-9.47***

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South African Rand GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other South African Rand Analyses