V-Lab: Indonesian Rupiah MF2-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 19th, 2025:5.35% (+0.48%)

Analysis last updated: Wednesday, June 18, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1555	17.35
$β$	0.8580	112.67
$γ$	-0.0271	-5.08
$λ_{1}$	6.6225	1.17
$λ_{2}$	1.0000	0.98
$λ_{3}$	0.0000	0.00

Estimation Period:
Nov 19, 1990 to Jun 13, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts