V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:5.36% (-0.19%)

Analysis last updated: Friday, May 30, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	14.16
$α$	0.0990	20.16
$β$	0.9095	421.64
$γ$	-0.0169	-2.28

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts