V-Lab
Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
4.16%
decreased by 0.13%
1 Week
4.27%
decreased by 0.02%
1 Month
4.65%
increased by 0.36%
Analysis last updated: Monday, September 7, 2026 at 07:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1998 to Sep 4, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 41 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.5800 | 3.68*** |
| αARCH | 0.1128 | 8.77*** |
| βGARCH | 0.8706 | 65.11*** |
Spline Coefficients
K=10
| γ1 | -0.0921 | -1.38 |
| γ2 | 0.1519 | 1.38 |
| γ3 | -0.0588 | -0.48 |
| γ4 | -0.0530 | -0.42 |
| γ5 | 0.1367 | 1.48 |
| γ6 | -0.1620 | -2.13** |
| γ7 | 0.1765 | 2.10** |
| γ8 | -0.1830 | -1.77* |
| γ9 | 0.1155 | 1.21 |
| γ10 | -0.0355 | -0.67 |
0.983
Persistence41d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5800 | 3.68*** |
α ARCH Response to squared shocks | 0.1128 | 8.77*** |
β GARCH Volatility persistence | 0.8706 | 65.11*** |
Spline Coefficients
K=10
| γ1 | -0.0921 | -1.38 |
| γ2 | 0.1519 | 1.38 |
| γ3 | -0.0588 | -0.48 |
| γ4 | -0.0530 | -0.42 |
| γ5 | 0.1367 | 1.48 |
| γ6 | -0.1620 | -2.13** |
| γ7 | 0.1765 | 2.10** |
| γ8 | -0.1830 | -1.77* |
| γ9 | 0.1155 | 1.21 |
| γ10 | -0.0355 | -0.67 |
Persistence:
0.983
Half-life:
41 days
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