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 Wednesday, June 10th, 2026
1 Day
5.32%
decreased by 0.02%
1 Week
5.40%
increased by 0.06%
1 Month
5.68%
increased by 0.34%
Analysis last updated: Tuesday, June 9, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0016 | 13.96 | |
| 0.0982 | 20.22 | |
| 0.9098 | 428.15 | |
| -0.0161 | -2.20 |
Estimation Period:
Jun 30, 1998 to Jun 5, 2026
Jun 30, 1998 to Jun 5, 2026
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