V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

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V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:4.77% (-0.11%)

Analysis last updated: Wednesday, October 4, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	14.03
$α$	0.1013	19.73
$β$	0.9069	402.71
$γ$	-0.0164	-2.09

Estimation Period:
Jun 30, 1998 to Sep 29, 2023

News Impact Curve

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Volatility Forecasts

Volatility Forecasts