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 Monday, April 29th, 2024:5.36% (-0.32%)

Analysis last updated: Friday, April 26, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.6112	3.54
$α$	0.1184	8.32
$β$	0.8636	58.47
$γ_{1}$	-0.0799	-1.22
$γ_{2}$	0.1369	1.31
$γ_{3}$	-0.0527	-0.47
$γ_{4}$	-0.0649	-0.54
$γ_{5}$	0.1592	1.84
$γ_{6}$	-0.1885	-2.86
$γ_{7}$	0.1991	2.97
$γ_{8}$	-0.2056	-2.67
$γ_{9}$	0.1317	2.05

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts