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 25th, 2026
1 Day
4.51%
decreased by 0.17%
1 Week
4.60%
decreased by 0.08%
1 Month
4.93%
increased by 0.25%
Analysis last updated: Sunday, May 24, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0016 | 13.98 | |
| 0.0983 | 20.23 | |
| 0.9097 | 427.51 | |
| -0.0162 | -2.21 |
Estimation Period:
Jun 30, 1998 to May 22, 2026
Jun 30, 1998 to May 22, 2026
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