US Dollar to Indonesian Rupiah EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
5.04%
increased by 0.38%
1 Week
5.25%
increased by 0.59%
1 Month
6.19%
increased by 1.53%
Analysis last updated: Monday, July 13, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 1990 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 18% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0167 | 10.84*** |
α ARCH Response to squared shocks | 0.2308 | 38.66*** |
β GARCH Volatility persistence | 0.9892 | 1,360.69*** |
γ leverage Additional response to negative shocks | 0.0190 | 3.64*** |
Persistence:
0.989
Half-life:
64 days
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