V-Lab: Indonesian Rupiah MF2-GARCH Volatility Analysis

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V-Lab

Indonesian Rupiah MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:7.78% (-0.64%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	106
$α$	0.1424	29.89
$β$	0.8327	178.97
$γ$	-0.0388	-6.48
$λ_{1}$	0.0075	1.33
$λ_{2}$	1.0000	1.22
$λ_{3}$	0.0000	0.00

Estimation Period:
Nov 19, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts