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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1820	29.13***
β GARCH Volatility persistence	0.7677	85.00***
γ leverage Additional response to negative shocks	-0.0568	-7.14***
λ₁ tau intercept Baseline long-term coefficient	0.0002	6.17***
λ₂ forecast adj. Forecast performance sensitivity	0.0334	7.02***
λ₃ tau persistence Long-term factor persistence	0.9666	192.21***

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Indonesian Rupiah MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indonesian Rupiah Analyses