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 Monday, May 4th, 2026
1 Day
4.85%
decreased by 0.01%
1 Week
4.93%
increased by 0.07%
1 Month
5.24%
increased by 0.38%
Analysis last updated: Friday, May 1, 2026 at 07:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0016 | 13.92 | |
| 0.0986 | 20.26 | |
| 0.9096 | 426.83 | |
| -0.0164 | -2.24 |
Estimation Period:
Jun 30, 1998 to May 1, 2026
Jun 30, 1998 to May 1, 2026
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