V-Lab: Indonesian Rupiah Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

Indonesian Rupiah Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:3.02% (+0.01%)

Analysis last updated: Friday, September 22, 2023 at 07:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3317	3.39
$α$	0.1189	7.77
$β$	0.8624	50.68
$γ_{1}$	-0.1533	-1.87
$γ_{2}$	0.2593	1.98
$γ_{3}$	-0.1530	-1.29
$γ_{4}$	0.0838	0.92
$γ_{5}$	-0.1183	-1.63
$γ_{6}$	0.2329	3.12
$γ_{7}$	-0.3122	-4.55
$γ_{8}$	0.3476	4.41
$γ_{9}$	-0.3655	-3.66
$γ_{10}$	0.2980	2.26

Estimation Period:
Jun 30, 1998 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts