V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

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V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:4.95% (-0.10%)

Analysis last updated: Thursday, June 1, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	14.15
$α$	0.1014	19.71
$β$	0.9070	401.86
$γ$	-0.0167	-2.13

Estimation Period:
Jun 30, 1998 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts