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, June 8th, 2026
1 Day
5.17%
decreased by 0.21%
1 Week
5.24%
decreased by 0.14%
1 Month
5.54%
increased by 0.16%
Analysis last updated: Friday, June 5, 2026 at 07:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0016 | 13.96 | |
| 0.0982 | 20.22 | |
| 0.9098 | 428.15 | |
| -0.0161 | -2.20 |
Estimation Period:
Jun 30, 1998 to Jun 5, 2026
Jun 30, 1998 to Jun 5, 2026
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