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, December 23rd, 2024:6.71% (-0.46%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.5889	3.53
$α$	0.1183	8.42
$β$	0.8655	60.17
$γ_{1}$	-0.0847	-1.34
$γ_{2}$	0.1453	1.50
$γ_{3}$	-0.0642	-0.63
$γ_{4}$	-0.0473	-0.42
$γ_{5}$	0.1397	1.63
$γ_{6}$	-0.1632	-2.39
$γ_{7}$	0.1583	2.38
$γ_{8}$	-0.1605	-3.02
$γ_{9}$	0.1055	2.27

Estimation Period:
Jun 30, 1998 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts