V-Lab
Indonesian Rupiah GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, September 22nd, 2026
1 Day
4.22%
decreased by 0.14%
1 Week
4.32%
decreased by 0.04%
1 Month
4.68%
increased by 0.32%
Analysis last updated: Monday, September 21, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1998 to Sep 18, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
σ
GARCH Model
Tap to view equation
High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0016 | 3.68*** |
| αARCH | 0.0918 | 8.87*** |
| βGARCH | 0.9082 | 103.86*** |
1.000
Persistence-
Half-lifeσ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0016 | 3.68*** |
α ARCH Response to squared shocks | 0.0918 | 8.87*** |
β GARCH Volatility persistence | 0.9082 | 103.86*** |
Persistence:
1.000
Half-life:
-
Other Indonesian Rupiah Analyses
Other GARCH Analyses on Currencies