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 Wednesday, February 5th, 2025:5.18% (+0.12%)

Analysis last updated: Tuesday, February 4, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	14.23
$α$	0.0990	19.89
$β$	0.9081	414.29
$γ$	-0.0142	-1.88

Estimation Period:
Jun 30, 1998 to Jan 31, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts