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

V-Lab

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V-Lab

Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:4.97% (+0.20%)

Analysis last updated: Tuesday, February 4, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3973	3.40
$α$	0.1156	8.33
$β$	0.8674	60.68
$γ_{1}$	-0.0892	-1.44
$γ_{2}$	0.1486	1.57
$γ_{3}$	-0.0637	-0.65
$γ_{4}$	-0.0430	-0.39
$γ_{5}$	0.1307	1.54
$γ_{6}$	-0.1516	-2.18
$γ_{7}$	0.1456	2.11
$γ_{8}$	-0.1487	-2.86
$γ_{9}$	0.0979	2.26

Estimation Period:
Jun 30, 1998 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts