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 Tuesday, January 14th, 2025:5.18% (-0.23%)

Analysis last updated: Monday, January 13, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0733	3.08
$α$	0.1145	8.07
$β$	0.8636	56.70
$γ_{1}$	-0.0989	-1.61
$γ_{2}$	0.1584	1.72
$γ_{3}$	-0.0599	-0.64
$γ_{4}$	-0.0520	-0.50
$γ_{5}$	0.1404	1.77
$γ_{6}$	-0.1616	-2.55
$γ_{7}$	0.1566	2.51
$γ_{8}$	-0.1565	-3.21
$γ_{9}$	0.1002	2.48

Estimation Period:
Jun 30, 1998 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts