V-Lab: Indonesian Rupiah Spline-GARCH Volatility Analysis

V-Lab

Indonesian Rupiah Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:7.59% (-0.30%)

Analysis last updated: Sunday, May 11, 2025 at 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.6287	3.64
$α$	0.1158	8.35
$β$	0.8667	59.86
$γ_{1}$	-0.0799	-1.36
$γ_{2}$	0.1406	1.59
$γ_{3}$	-0.0676	-0.74
$γ_{4}$	-0.0380	-0.36
$γ_{5}$	0.1274	1.55
$γ_{6}$	-0.1518	-2.15
$γ_{7}$	0.1577	2.11
$γ_{8}$	-0.2055	-3.18
$γ_{9}$	0.3112	2.74

Estimation Period:
Jun 30, 1998 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts