V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 17th, 2025:4.77% (-0.14%)

Analysis last updated: Tuesday, September 16, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	14.16
$α$	0.0996	20.27
$β$	0.9093	423.52
$γ$	-0.0177	-2.40

Estimation Period:
Jun 30, 1998 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts