V-Lab: Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:5.56% (-0.27%)

Analysis last updated: Wednesday, May 8, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3559	3.34
$α$	0.1163	8.28
$β$	0.8655	59.43
$γ_{1}$	-0.0950	-1.43
$γ_{2}$	0.1557	1.48
$γ_{3}$	-0.0577	-0.51
$γ_{4}$	-0.0627	-0.52
$γ_{5}$	0.1579	1.81
$γ_{6}$	-0.1882	-2.87
$γ_{7}$	0.1981	3.00
$γ_{8}$	-0.2035	-2.70
$γ_{9}$	0.1303	2.05

Estimation Period:
Jun 30, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts