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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2638	3.42***
α ARCH Response to squared shocks	0.1106	8.73***
β GARCH Volatility persistence	0.8733	66.77***

γ₁	-0.1069	-1.54
γ₂	0.1695	1.48
γ₃	-0.0662	-0.53
γ₄	-0.0431	-0.33
γ₅	0.1288	1.36
γ₆	-0.1595	-2.01**
γ₇	0.1784	2.03**
γ₈	-0.1850	-1.72*
γ₉	0.1146	1.18
γ₁₀	-0.0338	-0.63

V-Lab

Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indonesian Rupiah Analyses