V-Lab
V-Lab

Indonesian Rupiah Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, January 30th, 2023:7.55% (-0.40%)

Analysis last updated: Friday, January 27, 2023, 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Indonesian Rupiah SGARCH
paramt-stat
ω2.37313.39
α0.12317.82
β0.858951.28
γ1-0.1615-1.91
γ20.27202.09
γ3-0.1619-1.52
γ40.10921.39
γ5-0.1874-2.21
γ60.33253.65
γ7-0.3945-4.39
γ80.37452.97
γ9-0.3177-1.91
γ100.21960.98
Estimation Period:
Jun 30, 1998 to Jan 27, 2023
Impact of return on volatility tomorrow
Volatility Forecasts