V-Lab: Indonesian Rupiah Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Indonesian Rupiah Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:6.65% (+0.32%)

Analysis last updated: Friday, April 19, 2024 at 07:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.6191	3.56
$α$	0.1192	8.36
$β$	0.8623	58.24
$γ_{1}$	-0.0848	-1.31
$γ_{2}$	0.1442	1.39
$γ_{3}$	-0.0524	-0.47
$γ_{4}$	-0.0743	-0.62
$γ_{5}$	0.1746	2.01
$γ_{6}$	-0.2081	-3.15
$γ_{7}$	0.2262	3.18
$γ_{8}$	-0.2521	-2.82
$γ_{9}$	0.2427	2.08

Estimation Period:
Jun 30, 1998 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts