US Dollar to Indonesian Rupiah GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
5.74%
decreased by 0.13%
1 Week
5.77%
decreased by 0.10%
1 Month
5.86%
decreased by 0.01%
Analysis last updated: Friday, June 12, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0005 | 10.08 | |
| 0.0887 | 19.06 | |
| 0.9222 | 477.35 | |
| -0.0219 | -3.10 |
Estimation Period:
Nov 19, 1990 to Jun 12, 2026
Nov 19, 1990 to Jun 12, 2026
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