V-Lab: Indonesian Rupiah AGARCH Volatility Analysis

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V-Lab

Indonesian Rupiah AGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:4.47% (+1.53%)

Analysis last updated: Friday, September 22, 2023 at 07:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	12.19
$α$	0.1104	37.67
$β$	0.8979	408.12
$γ$	-0.0098	-1.04

Estimation Period:
Jun 30, 1998 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts