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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	1.0000
β GARCH Volatility persistence	0.2498
γ leverage Additional response to negative shocks	-0.4996
λ₁ tau intercept Baseline long-term coefficient	0.0051	19.80***
λ₂ forecast adj. Forecast performance sensitivity	0.9992	73.58***
λ₃ tau persistence Long-term factor persistence	0.0008	0.06

V-Lab

Indonesian Rupiah MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indonesian Rupiah Analyses