V-Lab
Indonesian Rupiah GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
14.61%
increased by 0.28%
1 Week
14.72%
increased by 0.39%
1 Month
15.15%
increased by 0.82%
Analysis last updated: Tuesday, September 8, 2026 at 07:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1998 to Sep 4, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.08 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.08 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.2844 | 2.33** |
| αARCH | 0.0602 | 34.46*** |
| βGARCH | 0.9990 | 2,454.55*** |
| νDF | 2.0776 | 1,032.08*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.2844 | 2.33** |
α ARCH Response to squared shocks | 0.0602 | 34.46*** |
β GARCH Volatility persistence | 0.9990 | 2,454.55*** |
ν DF Student-t tail thickness | 2.0776 | 1,032.08*** |
Persistence:
0.999
Half-life:
693 days
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