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

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V-Lab

Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:4.78% (+0.84%)

Analysis last updated: Tuesday, October 3, 2023 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4088	3.41
$α$	0.1192	7.79
$β$	0.8619	50.90
$γ_{1}$	-0.1291	-1.58
$γ_{2}$	0.2182	1.67
$γ_{3}$	-0.1225	-1.02
$γ_{4}$	0.0586	0.63
$γ_{5}$	-0.0945	-1.31
$γ_{6}$	0.2075	2.81
$γ_{7}$	-0.2862	-4.17
$γ_{8}$	0.3210	4.21
$γ_{9}$	-0.3288	-3.73
$γ_{10}$	0.2155	2.90

Estimation Period:
Jun 30, 1998 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts