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

V-Lab

Indonesian Rupiah Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, September 16th, 2025:4.88% (-0.21%)

Analysis last updated: Monday, September 15, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.6463	4.34
$α$	0.1105	8.29
$β$	0.8750	62.79
$γ_{1}$	0.0111	1.36
$γ_{2}$	-0.0123	-1.06
$γ_{3}$	0.0127	1.26
$γ_{4}$	-0.0168	-2.43

Estimation Period:
Jun 30, 1998 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts