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{name} Model Equation

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Param	Value	t-stat
mwindow	26
αARCH	0.1821	7.50***
βGARCH	0.7676	35.76***
γleverage	-0.0570	-1.85*
λ₁tau intercept	0.0002	2.57**
λ₂forecast adj.	0.0334	6.49***
λ₃tau persistence	0.9666	199.26***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1821	7.50***
β GARCH Volatility persistence	0.7676	35.76***
γ leverage Additional response to negative shocks	-0.0570	-1.85*
λ₁ tau intercept Baseline long-term coefficient	0.0002	2.57**
λ₂ forecast adj. Forecast performance sensitivity	0.0334	6.49***
λ₃ tau persistence Long-term factor persistence	0.9666	199.26***

V-Lab

Indonesian Rupiah MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indonesian Rupiah Analyses