Indonesian Rupiah GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
15.69%
decreased by 1.15%
1 Week
15.79%
decreased by 1.05%
1 Month
16.15%
decreased by 0.69%
Analysis last updated: Friday, October 9, 2026 at 07:11 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1998 to Oct 9, 2026Boundary Parameters
Model 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 | 6.7935 | 2.33** |
| αARCH | 0.0602 | 34.48*** |
| βGARCH | 0.9990 | 2,454.55*** |
| νDF | 2.0834 | 959.21*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.7935 | 2.33** |
α ARCH Response to squared shocks | 0.0602 | 34.48*** |
β GARCH Volatility persistence | 0.9990 | 2,454.55*** |
ν DF Student-t tail thickness | 2.0834 | 959.21*** |
Persistence:
0.999
Half-life:
693 days
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