V-Lab: Indonesian Rupiah MF2-GARCH Volatility Analysis

V-Lab

|

V-Lab

Indonesian Rupiah MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:0.50% (-3.80%)

Analysis last updated: Friday, January 27, 2023, 07:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	96
$α$	0.7455	7455200.00
$β$	0.0045	44800.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0042	7.13
$λ_{2}$	0.0124	36.86
$λ_{3}$	0.2817	14.49

Estimation Period:
Nov 19, 1990 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts