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Lampiran1.Data Mentah Variabel Aksi Jual-Beli Asing (Net Foreign Fund) Tahun 2006-2008 (Dalam Rp Juta)
Lampiran2. Data Mentah Variabel Kurs Tahun 2006-2008 (Dalam Ribu USD)
Periode 2006 2007 2008 Januari 2.184.956,0 552.402,2 846.465,2 Februari 685.347,6 445.083,8 1.989.812,8 Maret 1.936.188,4 2.298.366,1 2.684.193,3 April 3.041.787,8 5.669.478,3 1.088.413,0 Mei 719.265,5 2.590.192,1 3.793.571,5 Juni 605.830,6 3.294.904,5 444.568,8 Juli 870.974,4 3.379.092,1 895.397,0 Agustus 1.836.430,1 5.217.357,0 467.202,3 September 920.364,7 3.054.291,9 2.694.415,1 Oktober 1.717.754,3 1.127.628,0 4.140.069,6 November 1.785.205,8 631.084,5 6.461.117,0 Desember 2.180.907,2 4.347.417,9 824.356,2 Periode 2006 2007 2008 Januari 9.395 9.090 9.291 Februari 9.230 9.160 9.051 Maret 9.075 9.118 9.217 April 8.775 9.083 9.234 Mei 9.220 8.828 9.318 Juni 9.300 9.054 9.225 Juli 9.070 9.186 9.118 Agustus 9.100 9.410 9.153 September 9.235 9.137 9.378 Oktober 9.110 9.103 10.995 November 9.165 9.376 12.151 Desember 9.020 9.419 10.950
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Lampiran3. Data Mentah Variabel SBI Tahun 2006-2008 (Dalam Persentase)
Lampiran4. Data Mentah Variabel Inflasi Tahun 2006-2008 (IHK Dalam Persentase)
Periode 2006 2007 2008 Januari 1,419 0,521 0,613 Februari 1,493 0,525 0,616 Maret 1,311 0,543 0,680 April 1,283 0,524 0,746 Mei 1,3 0,500 0,865 Juni 1,294 0,480 0,919 Juli 1,262 0,505 0,991 Agustus 1,241 0,542 0,987 September 1,212 0,579 1,011 Oktober 0,524 0,573 0,980 November 0,439 0,559 0,973 Desember 0,55 0,549 0,921 Sumber:Datadiolah Periode 2006 2007 2008 Januari 1,0625 0,7916 0,6667 Februari 1,0616 0,7708 0,6608 Maret 1,0608 0,75 0,6634 April 1,0616 0,75 0,6658 Mei 1,0416 0,7291 0,6925 Juni 1,0416 0,7084 0,7275 Juli 1,0208 0,6875 0,7691 Agustus 0,9791 0,6875 0,7734 September 0,9375 0,6875 0,8091 Oktober 0,8958 0,6875 0,915 November 0,8541 0,6875 0,937 Desember 0,8125 0,6667 0,915 Sumber:Datadiolah
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Lampiran5. Data Mentah Variabel PDB Tahun 2006-2008 (Dalam Miliar Rupiah)
Lampiran6. Data Mentah Variabel Indeks Hang Seng Tahun 2006-2008 (Dalam Satu Satuan Poin)
Periode 2006 2007 2008 Januari 260.926,2 306.292,1 372.526,5 Februari 260.926,2 306.292,1 372.526,5 Maret 260.926,2 306.292,1 372.526,5 April 270.989,4 321.596,6 409.818,8 Mei 270.989,4 321.596,6 409.818,8 Juni 270.989,4 321.596,6 409.818,8 Juli 290.183,8 343.597,3 444.172,2 Agustus 290.183,8 343.597,3 444.172,2 September 290.183,8 343.597,3 444.172,2 Oktober 291.060,3 344.954,3 424.762,4 November 291.060,3 344.954,3 424.762,4 Desember 291.060,3 344.954,3 424.762,4 Periode 2006 2007 2008 Januari 15.753,14 20.106,42 23.455,74 Februari 15.918,48 19.651,51 24.331,67 Maret 15.805,04 19.800,93 22.849,20 April 16.661,30 20.318,98 25.755,35 Mei 15.857,89 20.634,47 24.533,12 Juni 16.267,62 21.772,73 22.102,01 Juli 16.971,34 23.184,94 22.731,10 Agustus 17.392,27 23.984,14 21.261,89 September 17.543,05 27.142,47 18.016,21 Oktober 18.324,35 31.352,58 13.968,67 November 18.960,48 28.643,61 13.888,24 Desember 19.964,72 27.812,65 14.387,48
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Lampiran7. Data Mentah Variabel IHSG Tahun 2006-2008 (Dalam Satu Satuan Poin)
Periode 2006 2007 2008 Januari 1.232,32 1.805,52 2.627,25 Februari 1.230,66 1.740,97 2.721,94 Maret 1.322,97 1.830,92 2.447,30 April 1.464,41 1.999,17 2.304,52 Mei 1.330,00 2.084,32 2.444,35 Juni 1.310,26 2.139,28 2.394,10 Juli 1.351,65 2.348,67 2.304,51 Agustus 1.431,26 2.194,34 2.165,94 September 1.534,61 2.359,21 1.832,51 Oktober 1.528,63 2.643,49 1.256,70 November 1.718,96 2.688,33 1.241,54 Desember 1.805,52 2.745,83 1.355,41
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Lampiran8.Hasil Uji Unit Root ADF Variabel Aksi Jual-Beli Asing
Null Hypothesis: DN has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.343154 0.0001 Test critical values: 1% level -3.632900
5% level -2.948404 10% level -2.612874 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(DN)
Method: Least Squares Date: 01/05/04 Time: 10:03
Sample (adjusted): 2006M02 2008M12 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. DN(-1) -0.947841 0.177394 -5.343154 0.0000 C 1805555. 442471.6 4.080612 0.0003 R-squared 0.463844 Mean dependent var -60071.99 Adjusted R-squared 0.447597 S.D. dependent var 2163372. S.E. of regression 1607900. Akaike info criterion 31.47420 Sum squared resid 8.53E+13 Schwarz criterion 31.56308 Log likelihood -548.7985 F-statistic 28.54930 Durbin-Watson stat 1.928256 Prob(F-statistic) 0.000007
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Lampiran9. Hasil Uji Unit Root ADF Variabel Kurs
Null Hypothesis: KURS has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.946896 0.0046 Test critical values: 1% level -3.639407
5% level -2.951125 10% level -2.614300 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS)
Method: Least Squares Date: 01/04/04 Time: 23:16
Sample (adjusted): 2006M03 2008M12 Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. KURS(-1) -0.798741 0.202372 -3.946896 0.0004 D(KURS(-1)) 1.218434 0.325664 3.741385 0.0007 C 7386.814 1862.246 3.966616 0.0004 R-squared 0.341347 Mean dependent var 50.58824 Adjusted R-squared 0.298853 S.D. dependent var 436.0031 S.E. of regression 365.0851 Akaike info criterion 14.72224 Sum squared resid 4131902. Schwarz criterion 14.85691 Log likelihood -247.2780 F-statistic 8.032869 Durbin-Watson stat 1.868943 Prob(F-statistic) 0.001546
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Lampiran10. Hasil Uji Unit Root ADF Variabel SBI
Null Hypothesis: SBI has a unit root Exogenous: Constant
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.673247 0.0897 Test critical values: 1% level -3.653730
5% level -2.957110 10% level -2.617434 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBI)
Method: Least Squares Date: 01/04/04 Time: 23:31
Sample (adjusted): 2006M05 2008M12 Included observations: 32 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. SBI(-1) -0.075054 0.028076 -2.673247 0.0126 D(SBI(-1)) 0.497679 0.162568 3.061350 0.0049 D(SBI(-2)) -0.389031 0.197720 -1.967580 0.0595 D(SBI(-3)) 0.813218 0.251205 3.237272 0.0032 C 0.061878 0.022802 2.713708 0.0114 R-squared 0.629007 Mean dependent var -0.004581 Adjusted R-squared 0.574045 S.D. dependent var 0.030621 S.E. of regression 0.019985 Akaike info criterion -4.845074 Sum squared resid 0.010784 Schwarz criterion -4.616053 Log likelihood 82.52119 F-statistic 11.44441 Durbin-Watson stat 2.195136 Prob(F-statistic) 0.000015
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Lampiran11. Hasil Uji Unit Root ADF Variabel Inflasi
Null Hypothesis: INF has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.302632 0.1769 Test critical values: 1% level -3.639407
5% level -2.951125 10% level -2.614300 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF)
Method: Least Squares Date: 01/05/04 Time: 09:29
Sample (adjusted): 2006M03 2008M12 Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. INF(-1) -0.153789 0.066788 -2.302632 0.0282 D(INF(-1)) 0.162622 0.164172 0.990560 0.3296 C 0.110557 0.058592 1.886910 0.0686 R-squared 0.160817 Mean dependent var -0.016824 Adjusted R-squared 0.106676 S.D. dependent var 0.130865 S.E. of regression 0.123688 Akaike info criterion -1.258016 Sum squared resid 0.474258 Schwarz criterion -1.123337 Log likelihood 24.38627 F-statistic 2.970343 Durbin-Watson stat 1.913021 Prob(F-statistic) 0.066036
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Lampiran12. Hasil Uji Unit Root ADF Variabel Inflasi Pada Diferensi Tingkat Pertama
Null Hypothesis: D(INF) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.989073 0.0003 Test critical values: 1% level -3.639407
5% level -2.951125 10% level -2.614300 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF,2)
Method: Least Squares Date: 01/05/04 Time: 09:31
Sample (adjusted): 2006M03 2008M12 Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(INF(-1)) -0.869277 0.174236 -4.989073 0.0000 C -0.015109 0.022709 -0.665334 0.5106 R-squared 0.437519 Mean dependent var -0.003706 Adjusted R-squared 0.419942 S.D. dependent var 0.172974 S.E. of regression 0.131740 Akaike info criterion -1.158951 Sum squared resid 0.555374 Schwarz criterion -1.069165 Log likelihood 21.70216 F-statistic 24.89085 Durbin-Watson stat 1.859495 Prob(F-statistic) 0.000021
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Lampiran13. Hasil Uji Unit Root ADF Variabel Produk Domestik Bruto
Null Hypothesis: PDB has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.792227 0.0067 Test critical values: 1% level -3.632900
5% level -2.948404 10% level -2.612874 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PDB)
Method: Least Squares Date: 01/04/04 Time: 23:25
Sample (adjusted): 2006M02 2008M12 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. PDB(-1) -0.616930 0.162683 -3.792227 0.0006 C 207084.8 54788.28 3.779728 0.0006 R-squared 0.303518 Mean dependent var 4681.034 Adjusted R-squared 0.282413 S.D. dependent var 86398.41 S.E. of regression 73188.56 Akaike info criterion 25.29491 Sum squared resid 1.77E+11 Schwarz criterion 25.38379 Log likelihood -440.6609 F-statistic 14.38099 Durbin-Watson stat 2.192005 Prob(F-statistic) 0.000604
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Lampiran14. Hasil Uji Unit Root ADF Variabel Indeks Hang Seng
Null Hypothesis: IH has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.060869 0.7200 Test critical values: 1% level -3.632900
5% level -2.948404 10% level -2.612874 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IH)
Method: Least Squares Date: 01/04/04 Time: 22:47
Sample (adjusted): 2006M02 2008M12 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. IH(-1) -0.076298 0.071921 -1.060869 0.2965 C 1536.475 1516.353 1.013270 0.3183 R-squared 0.032980 Mean dependent var -39.01886 Adjusted R-squared 0.003676 S.D. dependent var 1815.390 S.E. of regression 1812.050 Akaike info criterion 17.89775 Sum squared resid 1.08E+08 Schwarz criterion 17.98663 Log likelihood -311.2106 F-statistic 1.125444 Durbin-Watson stat 1.571825 Prob(F-statistic) 0.296452
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Lampiran15. Hasil Uji Unit Root ADF Variabel Indeks Hang Seng Pada Diferensi Tingkat Pertama
Null Hypothesis: D(IH) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.712876 0.0006 Test critical values: 1% level -3.639407
5% level -2.951125 10% level -2.614300 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IH,2)
Method: Least Squares Date: 01/05/04 Time: 17:06
Sample (adjusted): 2006M03 2008M12 Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(IH(-1)) -0.820573 0.174113 -4.712876 0.0000 C -35.18782 315.8063 -0.111422 0.9120 R-squared 0.409716 Mean dependent var 9.820588 Adjusted R-squared 0.391270 S.D. dependent var 2359.115 S.E. of regression 1840.609 Akaike info criterion 17.93060 Sum squared resid 1.08E+08 Schwarz criterion 18.02039 Log likelihood -302.8203 F-statistic 22.21120 Durbin-Watson stat 2.045636 Prob(F-statistic) 0.000046
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Lampiran16. Hasil Uji Unit Root ADF Variabel IHSG
Null Hypothesis: IHSG has a unit root Exogenous: Constant
Lag Length: 7 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.744436 0.0794 Test critical values: 1% level -3.689194
5% level -2.971853 10% level -2.625121 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHSG)
Method: Least Squares Date: 01/04/04 Time: 22:55
Sample (adjusted): 2006M09 2008M12 Included observations: 28 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. IHSG(-1) -0.186328 0.067893 -2.744436 0.0129 D(IHSG(-1)) 0.262696 0.161815 1.623435 0.1210 D(IHSG(-2)) -0.074121 0.177573 -0.417410 0.6811 D(IHSG(-3)) 0.315648 0.209951 1.503436 0.1492 D(IHSG(-4)) -0.032743 0.221548 -0.147791 0.8841 D(IHSG(-5)) 0.293083 0.220595 1.328605 0.1997 D(IHSG(-6)) 0.280635 0.218774 1.282759 0.2150 D(IHSG(-7)) 0.900365 0.223739 4.024181 0.0007 C 320.3326 139.9285 2.289260 0.0337 R-squared 0.597500 Mean dependent var -2.708929 Adjusted R-squared 0.428026 S.D. dependent var 183.4389 S.E. of regression 138.7329 Akaike info criterion 12.95807 Sum squared resid 365689.8 Schwarz criterion 13.38628 Log likelihood -172.4130 F-statistic 3.525617 Durbin-Watson stat 2.146542 Prob(F-statistic) 0.011480
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Lampiran17.Hasil Uji GARCH (1,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:30
Sample: 2006M01 2008M12 Included observations: 36
Convergence achieved after 495 iterations Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2 + C(10)*GARCH(-1)
Coefficient Std. Error z-Statistic Prob. C 2597.122 673.9695 3.853471 0.0001 DN 3.00E-06 1.22E-05 0.245929 0.8057 KURS -0.067542 0.042142 -1.602716 0.1090 SBI -1971.682 425.1038 -4.638118 0.0000 INF 214.0541 100.3433 2.133217 0.0329 PDB 0.000559 0.000428 1.304778 0.1920 IH 0.057986 0.010244 5.660326 0.0000 Variance Equation C 2369.610 2748.567 0.862126 0.3886 RESID(-1)^2 0.744087 0.589984 1.261199 0.2072 GARCH(-1) 0.115067 0.246359 0.467072 0.6404 R-squared 0.942469 Mean dependent var 1913.586 Adjusted R-squared 0.922554 S.D. dependent var 508.4170 S.E. of regression 141.4878 Akaike info criterion 12.49254 Sum squared resid 520488.8 Schwarz criterion 12.93241 Log likelihood -214.8658 F-statistic 47.32543 Durbin-Watson stat 1.101475 Prob(F-statistic) 0.000000
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Lampiran18. Hasil Uji GARCH (1,2)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:41
Sample: 2006M01 2008M12 Included observations: 36
Convergence achieved after 67 iterations Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2 + C(10)*RESID(-2)^2 + C(11) *GARCH(-1)
Coefficient Std. Error z-Statistic Prob. C 3108.633 555.6552 5.594537 0.0000 DN 6.90E-06 1.33E-05 0.517503 0.6048 KURS -0.045240 0.048293 -0.936776 0.3489 SBI -2610.301 420.9193 -6.201430 0.0000 INF 386.2074 137.1416 2.816121 0.0049 PDB -6.30E-05 0.000676 -0.093156 0.9258 IH 0.050145 0.008092 6.197101 0.0000 Variance Equation C 8464.205 9306.365 0.909507 0.3631 RESID(-1)^2 0.577372 0.615465 0.938106 0.3482 RESID(-2)^2 0.670966 0.425414 1.577207 0.1147 GARCH(-1) -0.696798 0.340609 -2.045740 0.0408 R-squared 0.945652 Mean dependent var 1913.586 Adjusted R-squared 0.923913 S.D. dependent var 508.4170 S.E. of regression 140.2413 Akaike info criterion 12.62206 Sum squared resid 491690.9 Schwarz criterion 13.10592 Log likelihood -216.1971 F-statistic 43.49981 Durbin-Watson stat 0.900173 Prob(F-statistic) 0.000000
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Lampiran19. Hasil Uji GARCH (0,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:25
Sample: 2006M01 2008M12 Included observations: 36
Convergence achieved after 146 iterations Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2
Coefficient Std. Error z-Statistic Prob. C 2706.341 744.9069 3.633127 0.0003 DN 2.66E-06 1.16E-05 0.229158 0.8187 KURS -0.068562 0.044851 -1.528641 0.1264 SBI -2104.917 413.4710 -5.090845 0.0000 INF 251.2601 91.16481 2.756108 0.0058 PDB 0.000595 0.000394 1.509497 0.1312 IH 0.056731 0.011007 5.154016 0.0000 Variance Equation C 3725.268 2587.634 1.439642 0.1500 RESID(-1)^2 0.724781 0.582448 1.244370 0.2134 R-squared 0.943629 Mean dependent var 1913.586 Adjusted R-squared 0.926926 S.D. dependent var 508.4170 S.E. of regression 137.4359 Akaike info criterion 12.47005 Sum squared resid 509993.0 Schwarz criterion 12.86593 Log likelihood -215.4609 F-statistic 56.49617 Durbin-Watson stat 1.153882 Prob(F-statistic) 0.000000
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Lampiran20. Hasil Uji GARCH (0,2)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:26
Sample: 2006M01 2008M12 Included observations: 36
Convergence achieved after 340 iterations Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2 + C(10)*RESID(-2)^2
Coefficient Std. Error z-Statistic Prob. C 2615.512 671.2532 3.896460 0.0001 DN 2.73E-06 1.21E-05 0.225919 0.8213 KURS -0.066095 0.042316 -1.561924 0.1183 SBI -1995.824 425.5233 -4.690282 0.0000 INF 218.2834 98.03821 2.226514 0.0260 PDB 0.000528 0.000439 1.202417 0.2292 IH 0.057765 0.010192 5.667539 0.0000 Variance Equation C 2659.249 2849.601 0.933200 0.3507 RESID(-1)^2 0.742138 0.586334 1.265726 0.2056 RESID(-2)^2 0.102814 0.238749 0.430638 0.6667 R-squared 0.943168 Mean dependent var 1913.586 Adjusted R-squared 0.923495 S.D. dependent var 508.4170 S.E. of regression 140.6260 Akaike info criterion 12.49267 Sum squared resid 514167.4 Schwarz criterion 12.93254 Log likelihood -214.8681 F-statistic 47.94279 Durbin-Watson stat 1.092175 Prob(F-statistic) 0.000000
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Lampiran21. Hasil Uji GARCH (0,3)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:27
Sample: 2006M01 2008M12 Included observations: 36
Failure to improve Likelihood after 15 iterations Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2 + C(10)*RESID(-2)^2 + C(11) *RESID(-3)^2
Coefficient Std. Error z-Statistic Prob. C 3108.639 730.9952 4.252613 0.0000 DN 4.24E-06 1.62E-05 0.262572 0.7929 KURS -0.039370 0.070461 -0.558755 0.5763 SBI -2610.387 535.8198 -4.871762 0.0000 INF 386.5665 158.8249 2.433916 0.0149 PDB -0.000176 0.000873 -0.201354 0.8404 IH 0.049763 0.009164 5.430404 0.0000 Variance Equation C 9010.290 4691.129 1.920708 0.0548 RESID(-1)^2 0.343182 0.273151 1.256381 0.2090 RESID(-2)^2 0.293212 0.255538 1.147433 0.2512 RESID(-3)^2 -0.257441 0.162881 -1.580540 0.1140 R-squared 0.946247 Mean dependent var 1913.586 Adjusted R-squared 0.924746 S.D. dependent var 508.4170 S.E. of regression 139.4712 Akaike info criterion 12.61568 Sum squared resid 486305.3 Schwarz criterion 13.09953 Log likelihood -216.0822 F-statistic 44.00923 Durbin-Watson stat 0.914304 Prob(F-statistic) 0.000000
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Lampiran22. Hasil Uji GARCH (2,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:31
Sample: 2006M01 2008M12 Included observations: 36
Convergence achieved after 46 iterations Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2 + C(10)*GARCH(-1) + C(11) *GARCH(-2)
Coefficient Std. Error z-Statistic Prob. C 3108.638 1014.940 3.062878 0.0022 DN -1.67E-06 1.42E-05 -0.117909 0.9061 KURS -0.051328 0.109007 -0.470873 0.6377 SBI -2610.389 325.3006 -8.024543 0.0000 INF 386.5653 85.98820 4.495562 0.0000 PDB 0.000279 0.000423 0.659782 0.5094 IH 0.049891 0.010047 4.965773 0.0000 Variance Equation C 7918.133 10218.83 0.774857 0.4384 RESID(-1)^2 0.622456 0.472383 1.317694 0.1876 GARCH(-1) 0.422370 0.296837 1.422903 0.1548 GARCH(-2) -0.476765 0.530500 -0.898709 0.3688 R-squared 0.948989 Mean dependent var 1913.586 Adjusted R-squared 0.928584 S.D. dependent var 508.4170 S.E. of regression 135.8678 Akaike info criterion 12.60802 Sum squared resid 461501.8 Schwarz criterion 13.09187 Log likelihood -215.9444 F-statistic 46.50888 Durbin-Watson stat 1.099199 Prob(F-statistic) 0.000000
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Lampiran23. Uji TARCH (0,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:17
Sample: 2006M01 2008M12 Included observations: 36
Convergence achieved after 8 iterations
Bollerslev-Wooldrige robust standard errors & covariance Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2 + C(10)*RESID(-1)^2*(RESID( -1)<0)
Coefficient Std. Error z-Statistic Prob. C 3108.630 168.0460 18.49869 0.0000 DN -4.29E-06 1.22E-07 -35.13649 0.0000 KURS -0.045728 0.012808 -3.570270 0.0004 SBI -2610.360 101.8251 -25.63573 0.0000 INF 386.6186 58.51478 6.607195 0.0000 PDB 0.000141 2.58E-05 5.473780 0.0000 IH 0.048908 0.002165 22.58646 0.0000 Variance Equation C 8074.152 3626.133 2.226657 0.0260 RESID(-1)^2 0.615549 0.336294 1.830391 0.0672 RESID(-1)^2*(RESID(-1)<0) -0.749333 0.341390 -2.194947 0.0282 R-squared 0.948074 Mean dependent var 1913.586 Adjusted R-squared 0.930099 S.D. dependent var 508.4170 S.E. of regression 134.4193 Akaike info criterion 12.52430 Sum squared resid 469782.2 Schwarz criterion 12.96417 Log likelihood -215.4374 F-statistic 52.74539 Durbin-Watson stat 1.038776 Prob(F-statistic) 0.000000
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Lampiran24. Correlogram Of Standardized Squared
Date: 01/07/04 Time: 11:14 Sample: 2006M01 2008M12 Included observations: 36
Autocorrelation Partial Correlation AC PAC Q-Stat Prob . |* . | . |* . | 1 0.123 0.123 0.5877 0.443 . |* . | . |* . | 2 0.095 0.081 0.9509 0.622 . *| . | . *| . | 3 -0.135 -0.159 1.7042 0.636 . | . | . | . | 4 0.002 0.031 1.7044 0.790 . |* . | . |* . | 5 0.093 0.123 2.0879 0.837 . | . | . *| . | 6 -0.057 -0.117 2.2377 0.897 . |* . | . |* . | 7 0.086 0.095 2.5841 0.921 . *| . | . *| . | 8 -0.098 -0.075 3.0497 0.931 . | . | . | . | 9 0.042 0.018 3.1394 0.959 . |**. | . |**. | 10 0.219 0.273 5.6628 0.843 . |* . | . | . | 11 0.122 0.032 6.4794 0.840 . | . | . *| . | 12 0.004 -0.101 6.4803 0.890 . *| . | . | . | 13 -0.125 -0.015 7.4043 0.880 . *| . | . *| . | 14 -0.111 -0.117 8.1771 0.880 . | . | . | . | 15 -0.018 -0.012 8.1977 0.916 . | . | . |* . | 16 0.033 0.073 8.2743 0.940
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Lampiran25. Histogram-Normality Test
0 1 2 3 4 5 6 -2 -1 0 1
Series: Standardized Residuals Sample 2006M01 2008M12 Observations 36 Mean 0.033277 Median 0.136424 Maximum 1.596892 Minimum -1.881771 Std. Dev. 1.013193 Skewness -0.152501 Kurtosis 1.963864 Jarque-Bera 1.749905 Probability 0.416882
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Lampiran24. Uji TARCH (1,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:19
Sample: 2006M01 2008M12 Included observations: 36
Convergence achieved after 38 iterations
Bollerslev-Wooldrige robust standard errors & covariance Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2 + C(10)*RESID(-1)^2*(RESID( -1)<0) + C(11)*GARCH(-1)
Coefficient Std. Error z-Statistic Prob. C 3108.639 163.8680 18.97039 0.0000 DN -1.50E-06 7.74E-08 -19.35573 0.0000 KURS -0.055640 0.010404 -5.347723 0.0000 SBI -2610.382 148.4238 -17.58735 0.0000 INF 386.5686 55.00784 7.027518 0.0000 PDB 0.000399 1.50E-05 26.66516 0.0000 IH 0.048406 0.003260 14.84703 0.0000 Variance Equation C 7986.393 3962.687 2.015398 0.0439 RESID(-1)^2 0.931153 0.311982 2.984635 0.0028 RESID(-1)^2*(RESID(-1)<0) -0.949790 0.309712 -3.066686 0.0022 GARCH(-1) -0.188544 0.093112 -2.024919 0.0429 R-squared 0.943195 Mean dependent var 1913.586 Adjusted R-squared 0.920473 S.D. dependent var 508.4170 S.E. of regression 143.3763 Akaike info criterion 12.59497 Sum squared resid 513918.9 Schwarz criterion 13.07882 Log likelihood -215.7094 F-statistic 41.51023 Durbin-Watson stat 1.035991 Prob(F-statistic) 0.000000
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Lampiran25. Hasil Uji TARCH (2,1) Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/05/04 Time: 10:20
Sample: 2006M01 2008M12 Included observations: 36
Convergence achieved after 9 iterations
Bollerslev-Wooldrige robust standard errors & covariance Variance backcast: ON
GARCH = C(8) + C(9)*RESID(-1)^2 + C(10)*RESID(-1)^2*(RESID( -1)<0) + C(11)*GARCH(-1) + C(12)*GARCH(-2)
Coefficient Std. Error z-Statistic Prob. C 3108.638 275.3747 11.28876 0.0000 DN -6.57E-06 4.13E-07 -15.89676 0.0000 KURS -0.041352 0.019776 -2.090957 0.0365 SBI -2610.389 179.4960 -14.54288 0.0000 INF 386.5694 61.65086 6.270300 0.0000 PDB -3.69E-05 3.87E-05 -0.951617 0.3413 IH 0.050015 0.004305 11.61865 0.0000 Variance Equation C 7918.134 6440.412 1.229445 0.2189 RESID(-1)^2 0.571740 0.310028 1.844154 0.0652 RESID(-1)^2*(RESID(-1)<0) -0.446631 0.419167 -1.065520 0.2866 GARCH(-1) 0.156882 0.791568 0.198192 0.8429 GARCH(-2) -0.308170 0.158580 -1.943304 0.0520 R-squared 0.948528 Mean dependent var 1913.586 Adjusted R-squared 0.924937 S.D. dependent var 508.4170 S.E. of regression 139.2941 Akaike info criterion 12.83391 Sum squared resid 465668.1 Schwarz criterion 13.36175 Log likelihood -219.0104 F-statistic 40.20689 Durbin-Watson stat 1.031943 Prob(F-statistic) 0.000000
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Lampiran26. Hasil Uji Beberapa Alternatif Model
Model Akaike Schwarz R-squared
GARCH (1,1) 12,49 12,93 94,2% GARCH (1,2) 12,62 13,10 94,5% GARCH (0,1) 12,47 12,86 94,3% GARCH (0,2) 12,49 12,93 94,3% GARCH (0,3) 12,61 13,09 94,6% GARCH (2,1) 12,60 13,09 94,8% TARCH (0,1) 12,52 12,96 94,8% TARCH (1,1) 12,59 13,07 94,3% TARCH (2,1) 12,83 13,36 94.8%