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, July 29th, 2024:3.80% (-0.10%)

Analysis last updated: Friday, July 26, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.7771	3.67
$α$	0.1195	8.39
$β$	0.8630	58.49
$γ_{1}$	-0.0715	-1.12
$γ_{2}$	0.1256	1.25
$γ_{3}$	-0.0484	-0.45
$γ_{4}$	-0.0674	-0.57
$γ_{5}$	0.1608	1.88
$γ_{6}$	-0.1865	-2.94
$γ_{7}$	0.1921	3.13
$γ_{8}$	-0.2027	-3.14
$γ_{9}$	0.1364	2.41

Estimation Period:
Jun 30, 1998 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts