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 Monday, July 29th, 2024:4.41% (-0.09%)

Analysis last updated: Friday, July 26, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.6410	3.60
$α$	0.1184	8.32
$β$	0.8622	57.83
$γ_{1}$	-0.0786	-1.26
$γ_{2}$	0.1357	1.37
$γ_{3}$	-0.0497	-0.47
$γ_{4}$	-0.0750	-0.65
$γ_{5}$	0.1750	2.07
$γ_{6}$	-0.2068	-3.34
$γ_{7}$	0.2223	3.52
$γ_{8}$	-0.2544	-3.32
$γ_{9}$	0.2557	2.33

Estimation Period:
Jun 30, 1998 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts