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 Tuesday, July 7th, 2026
1 Day
4.60%
decreased by 0.18%
1 Week
4.69%
decreased by 0.09%
1 Month
5.01%
increased by 0.23%
Analysis last updated: Monday, July 6, 2026 at 07:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0016 | 13.96 | |
| 0.0985 | 20.27 | |
| 0.9098 | 428.76 | |
| -0.0166 | -2.27 |
Estimation Period:
Jun 30, 1998 to Jul 3, 2026
Jun 30, 1998 to Jul 3, 2026
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