Indonesian Rupiah GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
4.90%
1 Week
4.98%
1 Month
5.25%
Analysis last updated: Thursday, October 29, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1998 to Oct 23, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.91 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.7680 | 1.75* |
| αscore | 0.0908 | 33.69*** |
| βpersistence | 0.9990 | 1,787.12*** |
| νDF | 2.9090 | 70.44*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.7680 | 1.75* |
α score Weight on the scaled score | 0.0908 | 33.69*** |
β persistence Volatility persistence | 0.9990 | 1,787.12*** |
ν DF Student-t tail thickness | 2.9090 | 70.44*** |
Persistence:
0.999
Half-life:
693 days
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