V-Lab: Indonesian Rupiah MF2-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, September 16th, 2025:4.72% (-0.25%)

Analysis last updated: Monday, September 15, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1347	40.44
$β$	0.8748	707.79
$γ$	-0.0191	-3.14
$λ_{1}$	0.0412	12.50
$λ_{2}$	0.0067	7.17
$λ_{3}$	0.9932	881.24

Estimation Period:
Nov 19, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts