V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:7.01% (+0.09%)

Analysis last updated: Friday, May 9, 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
$α$	0.0988	20.15
$β$	0.9095	421.46
$γ$	-0.0167	-2.26

Estimation Period:
Jun 30, 1998 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts