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 Monday, April 22nd, 2024:6.29% (+0.35%)

Analysis last updated: Friday, April 19, 2024 at 07:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.6867	3.56
$α$	0.1203	8.42
$β$	0.8634	58.89
$γ_{1}$	-0.0793	-1.18
$γ_{2}$	0.1347	1.26
$γ_{3}$	-0.0511	-0.45
$γ_{4}$	-0.0641	-0.52
$γ_{5}$	0.1585	1.79
$γ_{6}$	-0.1895	-2.82
$γ_{7}$	0.2001	2.93
$γ_{8}$	-0.2058	-2.62
$γ_{9}$	0.1316	2.00

Estimation Period:
Jun 30, 1998 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts