V-Lab: Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:6.93% (+0.07%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.6969	4.41
$α$	0.1110	8.27
$β$	0.8749	62.73
$γ_{1}$	0.0122	1.48
$γ_{2}$	-0.0145	-1.22
$γ_{3}$	0.0149	1.44
$γ_{4}$	-0.0185	-2.61

Estimation Period:
Jun 30, 1998 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts