V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:5.43% (-0.18%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	14.19
$α$	0.0993	20.20
$β$	0.9093	421.96
$γ$	-0.0172	-2.32

Estimation Period:
Jun 30, 1998 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts