V-Lab: Indonesian Rupiah APARCH Volatility Analysis

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V-Lab

Indonesian Rupiah APARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:2.94% (-0.02%)

Analysis last updated: Friday, September 22, 2023 at 07:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0010	13.38
$α$	0.0843	29.68
$β$	0.9053	349.26
$γ$	-0.0343	-1.99
$δ$	2.2901	34.98

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts