Indonesian Rupiah AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, October 12th, 2026
1 Day
4.65%
decreased by 0.19%
1 Week
4.75%
decreased by 0.09%
1 Month
5.17%
increased by 0.33%
Analysis last updated: Sunday, October 11, 2026 at 03:06 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1998 to Oct 9, 2026Model Insight
Estimated persistence of 1.005 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
AGARCH Model
Tap to view equation
High persistence: persistence 1.005 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0015 | 3.03*** |
| αARCH | 0.1014 | 9.68*** |
| βGARCH | 0.9036 | 109.13*** |
| γleverage | -0.0156 | -0.42 |
1.005
Persistence-
Half-lifeσ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0015 | 3.03*** |
α ARCH Response to squared shocks | 0.1014 | 9.68*** |
β GARCH Volatility persistence | 0.9036 | 109.13*** |
γ leverage Additional response to negative shocks | -0.0156 | -0.42 |
Persistence:
1.005
Half-life:
-
Other Indonesian Rupiah Analyses
Other AGARCH Analyses on Currencies