Indonesian Rupiah GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
6.51%
decreased by 0.28%
1 Week
6.57%
decreased by 0.22%
1 Month
6.81%
increased by 0.02%
Analysis last updated: Sunday, June 14, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0016 | 13.99 | |
| 0.0985 | 20.26 | |
| 0.9098 | 428.33 | |
| -0.0164 | -2.25 |
Estimation Period:
Jun 30, 1998 to Jun 12, 2026
Jun 30, 1998 to Jun 12, 2026
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