V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:6.37% (+0.68%)

Analysis last updated: Friday, August 29, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	14.22
$α$	0.0997	20.28
$β$	0.9092	422.87
$γ$	-0.0178	-2.40

Estimation Period:
Jun 30, 1998 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts