V-Lab: Indonesian Rupiah MF2-GARCH Volatility Analysis

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V-Lab

Indonesian Rupiah MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:0.97% (-2.60%)

Analysis last updated: Thursday, September 19, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	116
$α$	0.6511	6510780.00
$β$	0.0989	989220.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.2177	8.12
$λ_{2}$	0.8681	8.58
$λ_{3}$	0.0000	0.00

Estimation Period:
Nov 19, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts