V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:6.73% (-0.30%)

Analysis last updated: Friday, December 20, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	14.21
$α$	0.0994	19.86
$β$	0.9079	413.05
$γ$	-0.0145	-1.91

Estimation Period:
Jun 30, 1998 to Dec 20, 2024

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Volatility Forecasts

Volatility Forecasts