V-Lab: Indonesian Rupiah GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

Indonesian Rupiah GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:8.21% (-0.30%)

Analysis last updated: Friday, January 27, 2023, 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	14.02
$α$	0.1018	19.65
$β$	0.9069	398.81
$γ$	-0.0174	-2.19

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts