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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0016	3.47***
αARCH	0.0983	5.06***
βGARCH	0.9101	107.47***
γleverage	-0.0167	-0.57

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0016	3.47***
α ARCH Response to squared shocks	0.0983	5.06***
β GARCH Volatility persistence	0.9101	107.47***
γ leverage Additional response to negative shocks	-0.0167	-0.57

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Indonesian Rupiah GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indonesian Rupiah Analyses