Indonesian Rupiah GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
16.89%
increased by 0.89%
1 Week
17.00%
increased by 1.00%
1 Month
17.40%
increased by 1.40%
Analysis last updated: Friday, July 17, 2026 at 07:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1998 to Jul 17, 2026Boundary Parameters
Model Insight
The estimated Student-t degrees of freedom v = 2.07 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.0936 | 9.34*** |
α ARCH Response to squared shocks | 0.0603 | 137.96*** |
β GARCH Volatility persistence | 0.9990 | 9,891.09*** |
ν DF Student-t tail thickness | 2.0694 | 4,629.64*** |
Persistence:
0.999
Half-life:
693 days
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