V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:4.86% (-0.16%)

Analysis last updated: Friday, June 20, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	14.16
$α$	0.0991	20.18
$β$	0.9094	421.78
$γ$	-0.0169	-2.28

Estimation Period:
Jun 30, 1998 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts