Indonesian Rupiah APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, October 15th, 2026
1 Day
4.30%
1 Week
4.37%
1 Month
4.65%
Analysis last updated: Wednesday, October 14, 2026 at 08:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1998 to Oct 9, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 1712319 trading days (~6794.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 2.27 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0010 | 3.59*** |
| αARCH | 0.0823 | 7.83*** |
| βGARCH | 0.9083 | 93.96*** |
| γleverage | -0.0397 | -0.60 |
| δpower | 2.2698 | 9.08*** |
1.000
Persistence1712319d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0010 | 3.59*** |
α ARCH Response to squared shocks | 0.0823 | 7.83*** |
β GARCH Volatility persistence | 0.9083 | 93.96*** |
γ leverage Additional response to negative shocks | -0.0397 | -0.60 |
δ power Transformation power | 2.2698 | 9.08*** |
Persistence:
1.000
Half-life:
1712319 days
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