V-Lab
US Dollar to Indonesian Rupiah MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
3.76%
1 Week
3.94%
1 Month
4.50%
Analysis last updated: Sunday, July 26, 2026 at 01:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 1990 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 45% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.1820 | 29.10*** |
β GARCH Volatility persistence | 0.7677 | 85.03*** |
γ leverage Additional response to negative shocks | -0.0566 | -7.10*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0002 | 6.17*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0334 | 7.02*** |
λ₃ tau persistence Long-term factor persistence | 0.9666 | 192.32*** |
Persistence:
0.921
Half-life:
8 days
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