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 Wednesday, September 18th, 2024:4.19% (+0.06%)

Analysis last updated: Tuesday, September 17, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6798	2.70
$α$	0.1188	8.42
$β$	0.8647	60.37
$γ_{1}$	-0.1479	-2.10
$γ_{2}$	0.2192	2.08
$γ_{3}$	-0.0738	-0.69
$γ_{4}$	-0.0542	-0.46
$γ_{5}$	0.1528	1.76
$γ_{6}$	-0.1815	-2.81
$γ_{7}$	0.1852	3.00
$γ_{8}$	-0.1930	-3.22
$γ_{9}$	0.1297	2.40

Estimation Period:
Jun 30, 1998 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts