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Param	Value	t-stat
ωconst	2.9172	3.94***
αARCH	0.1141	8.72***
βGARCH	0.8675	62.70***

γ₁	-0.0694	-1.07
γ₂	0.1259	1.17
γ₃	-0.0520	-0.43
γ₄	-0.0647	-0.52
γ₅	0.1577	1.74*
γ₆	-0.1898	-2.51**
γ₇	0.2071	2.45**
γ₈	-0.2182	-2.13**
γ₉	0.1782	1.74*
γ₁₀	-0.2095	-1.79*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9172	3.94***
α ARCH Response to squared shocks	0.1141	8.72***
β GARCH Volatility persistence	0.8675	62.70***

γ₁	-0.0694	-1.07
γ₂	0.1259	1.17
γ₃	-0.0520	-0.43
γ₄	-0.0647	-0.52
γ₅	0.1577	1.74*
γ₆	-0.1898	-2.51**
γ₇	0.2071	2.45**
γ₈	-0.2182	-2.13**
γ₉	0.1782	1.74*
γ₁₀	-0.2095	-1.79*

V-Lab

Indonesian Rupiah Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indonesian Rupiah Analyses