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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5255	3.60***
α ARCH Response to squared shocks	0.1131	8.73***
β GARCH Volatility persistence	0.8705	64.67***

γ₁	-0.0943	-1.38
γ₂	0.1557	1.38
γ₃	-0.0639	-0.51
γ₄	-0.0457	-0.36
γ₅	0.1301	1.39
γ₆	-0.1577	-1.99**
γ₇	0.1726	1.96*
γ₈	-0.1755	-1.62
γ₉	0.1050	1.08
γ₁₀	-0.0287	-0.54

V-Lab

Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indonesian Rupiah Analyses