V-Lab: Indonesian Rupiah Spline-GARCH Volatility Analysis

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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 ·

Parameter Estimates

	param	t-stat
$ω$	2.3731	3.39
$α$	0.1231	7.82
$β$	0.8589	51.28
$γ_{1}$	-0.1615	-1.91
$γ_{2}$	0.2720	2.09
$γ_{3}$	-0.1619	-1.52
$γ_{4}$	0.1092	1.39
$γ_{5}$	-0.1874	-2.21
$γ_{6}$	0.3325	3.65
$γ_{7}$	-0.3945	-4.39
$γ_{8}$	0.3745	2.97
$γ_{9}$	-0.3177	-1.91
$γ_{10}$	0.2196	0.98

Estimation Period:
Jun 30, 1998 to Jan 27, 2023

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Volatility Forecasts

Volatility Forecasts