V-Lab: Indonesian Rupiah Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Indonesian Rupiah Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, January 15th, 2025:6.04% (-0.24%)

Analysis last updated: Tuesday, January 14, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.8685	3.81
$α$	0.1178	8.31
$β$	0.8630	57.65
$γ_{1}$	-0.0614	-1.04
$γ_{2}$	0.1149	1.26
$γ_{3}$	-0.0504	-0.52
$γ_{4}$	-0.0617	-0.57
$γ_{5}$	0.1557	1.90
$γ_{6}$	-0.1829	-2.89
$γ_{7}$	0.1931	3.05
$γ_{8}$	-0.2375	-3.81
$γ_{9}$	0.3025	2.90

Estimation Period:
Jun 30, 1998 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts