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 29th, 2024:5.81% (-0.31%)

Analysis last updated: Friday, April 26, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.6036	3.55
$α$	0.1190	8.36
$β$	0.8626	58.41
$γ_{1}$	-0.0862	-1.33
$γ_{2}$	0.1462	1.41
$γ_{3}$	-0.0534	-0.47
$γ_{4}$	-0.0738	-0.61
$γ_{5}$	0.1743	2.00
$γ_{6}$	-0.2079	-3.14
$γ_{7}$	0.2258	3.17
$γ_{8}$	-0.2513	-2.81
$γ_{9}$	0.2401	2.06

Estimation Period:
Jun 30, 1998 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts