V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 31st, 2025:3.73% (-0.12%)

Analysis last updated: Wednesday, July 30, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	14.03
$α$	0.0996	20.24
$β$	0.9091	421.85
$γ$	-0.0174	-2.35

Estimation Period:
Jun 30, 1998 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts