V-Lab: Indonesian Rupiah APARCH Volatility Analysis

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V-Lab

Indonesian Rupiah APARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:8.26% (-0.29%)

Analysis last updated: Friday, January 27, 2023, 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0011	13.30
$α$	0.0845	29.37
$β$	0.9051	344.67
$γ$	-0.0374	-2.12
$δ$	2.2879	34.65

Estimation Period:
Jun 30, 1998 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts