Data Kurs Dolar Amerika, Suku Bunga SBI dan Inflasi Tahun 2000 - 2008
Variabel Dependen Variabel Dependen Tahun/Bulan
SBI INFLASI KURS IHSG 2000:01 11,16 1,32 7.425 636,370 2000:02 11,02 0,07 7.505 576,540 2000:03 10,91 -0,45 7.590 583,270 2000:04 10,88 0,56 7.945 526,730 2000:05 11,07 0,84 8.620 454,220 2000:06 12,33 0,50 8.735 515,110 2000:07 13,53 1,28 9.003 492,190 2000:08 13,56 0,51 8.290 466,380 2000:09 13,62 -0,06 8.780 421,330 2000:10 13,74 1,16 9.395 405,340 2000:11 14,15 1,32 9.530 429,210 2000:12 14,53 1,94 9.595 416,320 2001:01 14,74 0,33 9.450 425,610 2001:02 14,79 0,87 9.835 428,300 2001:03 15,58 0,89 10.400 381,050 2001:04 16,09 0,46 11.675 358,230 2001:05 16,33 1,13 11.058 405,860 2001:06 16,65 1,67 11.440 437,620 2001:07 17,17 2,12 9.525 444,080 2001:08 17,67 -0,21 8.865 435,550 2001:09 17,57 0,64 9.675 392,470 2001:10 17,58 0,68 10.435 383,740 2001:11 17,60 1,71 10.430 380,310 2001:12 17,62 1,62 10.400 392,030 2002:01 16,93 1,99 10.320 392,030 2002:02 16,86 1,50 10.189 453,250 2002:03 16,76 -0,02 9.233 481,860 2002:04 16,61 -0,24 8.976 544,850 2002:05 15,51 0,80 8.940 530,790 2002:06 15,11 0,36 8.876 505,010 2002:07 14,93 0,82 8.905 463,670 2002:08 14,35 0,29 8.908 456,400 2002:09 13,22 0,53 8.675 412,430 2002:10 13,10 0,54 8.279 371,140 2002:11 13,06 1,85 8.285 390,420
47 Variabel Dependen Variabel
Dependen Tahun/Bulan
SBI INFLASI KURS IHSG 2002:12 12,93 1,20 8.505 424,940 2003:01 12,69 0,80 8.940 425,000 2003:02 12,24 0,20 8.905 399,000 2003:03 11,40 -0,23 8.908 398,000 2003:04 11,06 0,15 8.675 451,000 2003:05 10,44 0,21 8.279 495,000 2003:06 9,53 0,09 8.285 505,000 2003:07 9,10 0,03 8.505 508,000 2003:08 8,91 0,84 8.535 530,000 2003:09 8,66 0,36 8.389 598,000 2003:10 8,48 0,55 8.495 626,000 2003:11 8,49 1,01 8.537 617,000 2003:12 8,31 0,94 8.465 692,000 2004:01 7,86 0,57 8.457 753,000 2004:02 7,48 -0,02 8.447 761,000 2004:03 7,42 0,36 8.587 736,000 2004:04 7,33 0,97 8.661 783,000 2004:05 7,32 0,88 9.268 732,000 2004:06 7,34 0,48 9.210 730,000 2004:07 7,34 0,39 9.130 756,000 2004:08 7,37 0,09 9.246 753,000 2004:09 7,39 0,02 9.155 816,000 2004:10 7,41 0,56 9.095 860,000 2004:11 7,41 0,89 9.025 977,000 2004:12 7,43 1,04 9.270 1.004,000 2005:01 7,42 1,43 9.167 1.046,000 2005:02 7,43 -0,17 9.258 1.083,000 2005:03 7,44 1,91 9.468 1.080,000 2005:04 7,70 0,34 9.568 1.038,000 2005:05 7,95 0,21 9.508 1.062,950 2005:06 8,25 0,50 9.761 1.122,370 2005:07 8,50 0,78 9.819 1.182,301 2005:08 9,51 0,55 10.240 1.050,090 2005:09 10,00 0,69 10.310 1.079,275 2005:10 11,00 8,70 10.090 1.066,224 2005:11 12,25 1,31 10.035 1.096,641 2005:12 12,75 -0,04 9.830 1.162,635 2006:01 12,75 1,36 9.395 1.232,320 2006:02 12,74 0,58 9.230 1.230,664 2006:03 12,73 0,03 9.075 1.322,974 2006:04 12,74 0,05 8.775 1.464,406
48 Variabel Dependen Variabel
Dependen Tahun/Bulan
SBI INFLASI KURS IHSG 2006:05 12,50 0,37 9.220 1.329,996 2006:06 12,50 0,45 9.300 1.310,263 2006:07 12,25 0,45 9.070 1.351,649 2006:08 11,75 0,33 9.100 1.431,262 2006:09 11,25 0,38 9.235 1.534,615 2006:10 10,75 0,86 9.110 1.582,626 2006:11 10,25 0,34 9.165 1.718,961 2006:12 9,75 1,21 9.020 1.805,523 2007:01 9,50 1,04 9.090 1.757,258 2007:02 9,25 0,62 9.160 1.740,971 2007:03 9,00 0,24 9.118 1.830,924 2007:04 9,00 -0,16 9.083 1.999,167 2007:05 8,75 0,10 8.828 2.084,324 2007:06 8,50 0,23 9.054 2.139,278 2007:07 8,25 0,72 9.186 2.348,673 2007:08 8,25 0,75 9.410 2.194,339 2007:09 8,25 0,80 9.145 2.359,206 2007:10 8,25 0,79 9.103 2.643,487 2007:11 8,25 0,18 9.376 2.688,332 2007:12 8,00 1,10 9.419 2.745,826 2008:01 8,00 1,77 9.291 2.627,251 2008:02 7,93 0,65 9.051 2.721,944 2008:03 7,96 0,95 9.217 2.447,299 2008:04 7,99 0,57 9.234 2.304,516 2008:05 8,31 1,41 9.318 2.444,349
49 2. Uji Stasioneritas pada Level
IHSG
Null Hypothesis: IHSG has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 1.368297 0.9988 Test critical values: 1% level -3.497029
5% level -2.890623
10% level -2.582353
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHSG)
Method: Least Squares Date: 09/15/08 Time: 00:23
Sample (adjusted): 2000M02 2008M05 Included observations: 100 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
IHSG(-1) 0.015207 0.011114 1.368297 0.1743
C 3.004402 13.33410 0.225317 0.8222
R-squared 0.018746 Mean dependent var 18.07979 Adjusted R-squared 0.008734 S.D. dependent var 75.43687 S.E. of regression 75.10673 Akaike info criterion 11.49549 Sum squared resid 552820.1 Schwarz criterion 11.54760 Log likelihood -572.7747 F-statistic 1.872238 Durbin-Watson stat 1.864003 Prob(F-statistic) 0.174348
50 KURS Dolar Amerika Serikat
Null Hypothesis: KURS has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.282821 0.0183 Test critical values: 1% level -3.497029
5% level -2.890623
10% level -2.582353
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS)
Method: Least Squares Date: 09/15/08 Time: 00:26
Sample (adjusted): 2000M02 2008M05 Included observations: 100 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
KURS(-1) -0.161394 0.049163 -3.282821 0.0014
C 1500.004 452.5370 3.314656 0.0013
R-squared 0.099074 Mean dependent var 18.93000 Adjusted R-squared 0.089880 S.D. dependent var 369.8913 S.E. of regression 352.8770 Akaike info criterion 14.58991 Sum squared resid 12203172 Schwarz criterion 14.64202 Log likelihood -727.4957 F-statistic 10.77691 Durbin-Watson stat 1.698617 Prob(F-statistic) 0.001425
51 Suku Bunga SBI
Null Hypothesis: SBI has a unit root Exogenous: Constant
Lag Length: 5 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.087613 0.2501 Test critical values: 1% level -3.500669
5% level -2.892200
10% level -2.583192
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBI)
Method: Least Squares Date: 09/15/08 Time: 00:27
Sample (adjusted): 2000M07 2008M05 Included observations: 95 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
SBI(-1) -0.019548 0.009364 -2.087613 0.0397 D(SBI(-1)) 0.591627 0.094404 6.266947 0.0000 D(SBI(-2)) -0.063916 0.109134 -0.585669 0.5596 D(SBI(-3)) 0.138816 0.108828 1.275558 0.2055 D(SBI(-4)) 0.297253 0.109242 2.721060 0.0078 D(SBI(-5)) -0.154692 0.096369 -1.605197 0.1120
C 0.203712 0.110159 1.849248 0.0678
R-squared 0.576650 Mean dependent var -0.042316 Adjusted R-squared 0.547785 S.D. dependent var 0.413361 S.E. of regression 0.277972 Akaike info criterion 0.348237 Sum squared resid 6.799632 Schwarz criterion 0.536418 Log likelihood -9.541264 F-statistic 19.97764 Durbin-Watson stat 2.078693 Prob(F-statistic) 0.000000
52 Inflasi
Null Hypothesis: INFLASI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.762203 0.0000 Test critical values: 1% level -3.497029
5% level -2.890623
10% level -2.582353
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI) Method: Least Squares
Date: 09/15/08 Time: 00:27
Sample (adjusted): 2000M02 2008M05 Included observations: 100 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
INFLASI(-1) -0.879150 0.100334 -8.762203 0.0000
C 0.657361 0.123255 5.333345 0.0000
R-squared 0.439283 Mean dependent var 0.000900 Adjusted R-squared 0.433561 S.D. dependent var 1.300409 S.E. of regression 0.978715 Akaike info criterion 2.814645 Sum squared resid 93.87257 Schwarz criterion 2.866748 Log likelihood -138.7323 F-statistic 76.77621 Durbin-Watson stat 1.960663 Prob(F-statistic) 0.000000
53 3. Uji Stasioneritas pada First Difference
IHSG First Difference
Null Hypothesis: D(IHSG) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.990868 0.0000 Test critical values: 1% level -3.497727
5% level -2.890926
10% level -2.582514
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHSG,2)
Method: Least Squares Date: 09/15/08 Time: 00:28
Sample (adjusted): 2000M03 2008M05 Included observations: 99 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(IHSG(-1)) -0.917097 0.102003 -8.990868 0.0000
C 17.46985 7.783981 2.244333 0.0271
R-squared 0.454553 Mean dependent var 2.016798 Adjusted R-squared 0.448930 S.D. dependent var 101.7564 S.E. of regression 75.53800 Akaike info criterion 11.50714 Sum squared resid 553481.0 Schwarz criterion 11.55957 Log likelihood -567.6036 F-statistic 80.83570 Durbin-Watson stat 1.965199 Prob(F-statistic) 0.000000
54 KURS Dolar Amerika Serikat First Difference
Null Hypothesis: D(KURS) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.882580 0.0000 Test critical values: 1% level -3.497727
5% level -2.890926
10% level -2.582514
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,2) Method: Least Squares
Date: 09/15/08 Time: 00:28
Sample (adjusted): 2000M03 2008M05 Included observations: 99 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(KURS(-1)) -0.897121 0.100998 -8.882580 0.0000
C 16.43325 37.39786 0.439417 0.6613
R-squared 0.448551 Mean dependent var 0.040404 Adjusted R-squared 0.442866 S.D. dependent var 497.9149 S.E. of regression 371.6507 Akaike info criterion 14.69378 Sum squared resid 13398051 Schwarz criterion 14.74621 Log likelihood -725.3422 F-statistic 78.90023 Durbin-Watson stat 1.986119 Prob(F-statistic) 0.000000
55 Suku BungaSBI First Difference
Null Hypothesis: D(SBI) has a unit root Exogenous: Constant
Lag Length: 4 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.946490 0.0439 Test critical values: 1% level -3.500669
5% level -2.892200
10% level -2.583192
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBI,2)
Method: Least Squares Date: 09/15/08 Time: 00:29
Sample (adjusted): 2000M07 2008M05 Included observations: 95 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(SBI(-1)) -0.249551 0.084694 -2.946490 0.0041 D(SBI(-1),2) -0.132961 0.111886 -1.188360 0.2379 D(SBI(-2),2) -0.206473 0.107937 -1.912899 0.0590 D(SBI(-3),2) -0.079932 0.100805 -0.792937 0.4299 D(SBI(-4),2) 0.204979 0.095054 2.156441 0.0337
C -0.018347 0.029180 -0.628764 0.5311
R-squared 0.314251 Mean dependent var -0.009895 Adjusted R-squared 0.275726 S.D. dependent var 0.332730 S.E. of regression 0.283168 Akaike info criterion 0.375521 Sum squared resid 7.136379 Schwarz criterion 0.536819 Log likelihood -11.83727 F-statistic 8.157036 Durbin-Watson stat 2.060920 Prob(F-statistic) 0.000002
56 INFLASI First Difference
Null Hypothesis: D(INFLASI) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -12.04445 0.0001 Test critical values: 1% level -3.498439
5% level -2.891234
10% level -2.582678
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI,2) Method: Least Squares
Date: 09/15/08 Time: 00:29
Sample (adjusted): 2000M04 2008M05 Included observations: 98 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(INFLASI(-1)) -1.908479 0.158453 -12.04445 0.0000 D(INFLASI(-1),2) 0.365774 0.094785 3.858990 0.0002
C 0.020368 0.113717 0.179107 0.8582
R-squared 0.739675 Mean dependent var 0.013878 Adjusted R-squared 0.734194 S.D. dependent var 2.183493 S.E. of regression 1.125730 Akaike info criterion 3.104874 Sum squared resid 120.3904 Schwarz criterion 3.184006 Log likelihood -149.1388 F-statistic 134.9639 Durbin-Watson stat 2.134333 Prob(F-statistic) 0.000000
57 4. Hasil Estimasi ARCH dan GARCH
Dependent Variable: DLOG(IHSG)
Method: ML - ARCH (Marquardt) - Normal distribution Date: 09/08/08 Time: 15:37
Sample (adjusted): 2000M02 2008M05 Included observations: 100 after adjustments Convergence achieved after 72 iterations
Bollerslev-Wooldrige robust standard errors & covariance Variance backcast: OFF
GARCH = C(6) + C(7)*RESID(-1)^2 + C(8)*GARCH(-1)
Coefficient Std. Error z-Statistic Prob.
GARCH -58.28778 47.71207 -1.221657 0.2218
C 0.195369 0.148484 1.315757 0.1883
D(INFLASI) -0.001017 0.001916 -0.530692 0.5956 DLOG(KURS) -1.124514 0.160341 -7.013257 0.0000
D(SBI) -0.008312 0.009602 -0.865630 0.3867
Variance Equation
C 0.002105 0.000496 4.244602 0.0000
RESID(-1)^2 0.114532 0.094082 1.217356 0.2235 GARCH(-1) 0.211962 0.114454 1.851935 0.0640 R-squared 0.265366 Mean dependent var 0.013458
Adjusted R-squared 0.209470 S.D. dependent var 0.067013 S.E. of regression 0.059583 Akaike info criterion -2.741077 Sum squared resid 0.326610 Schwarz criterion -2.532664 Log likelihood 145.0539 F-statistic 4.747494 Durbin-Watson stat 1.906285 Prob(F-statistic) 0.000138
Estimation Command:
=====================
ARCH(ARCHM=VAR,H,DERIV=AN) DLOG(IHSG) C D(INFLASI) DLOG(KURS) D(SBI)
58 Estimation Equation:
=====================
DLOG(IHSG) = C(1)*GARCH + C(2) + C(3)*D(INFLASI) + C(4)*DLOG(KURS) + C(5)*D(SBI) GARCH = C(6) + C(7)*RESID(-1)^2 + C(8)*GARCH(-1)
Substituted Coefficients:
=====================
DLOG(IHSG) = -58.28777707*GARCH + 0.1953693736 - 0.001016745225*D(INFLASI) - 1.124513594*DLOG(KURS) - 0.008311534978*D(SBI)
GARCH = 0.002105232269 + 0.1145318153*RESID(-1)^2 + 0.2119619762*GARCH(-1)
59 5. Pemeriksaan Kenormalan Sisaan
60 6. Pemeriksaan Otokorelasi
Date: 09/08/08 Time: 15:39
61 .*| . | . | . | 36 -0.062 0.011 27.400 0.848
62 7. Pemeriksaan Multikolinieritas
8. Pemeriksaan Homoskedastisitas
ARCH Test: lag 1
F-statistic 0.055058 Probability 0.814979 Obs*R-squared 0.056161 Probability 0.812669
Test Equation:
Dependent Variable: STD_RESID^2 Method: Least Squares
Date: 09/08/08 Time: 15:40
Sample (adjusted): 2000M03 2008M05 Included observations: 99 after adjustments
White Heteroskedasticity-Consistent Standard Errors & Covariance
Variable Coefficient Std. Error t-Statistic Prob.
C 1.043383 0.187043 5.578292 0.0000
STD_RESID^2(-1) -0.023694 0.078624 -0.301360 0.7638 R-squared 0.000567 Mean dependent var 1.018859 Adjusted R-squared -0.009736 S.D. dependent var 1.452681 S.E. of regression 1.459736 Akaike info criterion 3.614383 Sum squared resid 206.6904 Schwarz criterion 3.666810 Log likelihood -176.9120 F-statistic 0.055058 Durbin-Watson stat 1.989759 Prob(F-statistic) 0.814979
63 ARCH Test: lag 2
F-statistic 0.281217 Probability 0.755490 Obs*R-squared 0.576781 Probability 0.749469
Test Equation:
Dependent Variable: STD_RESID^2 Method: Least Squares
Date: 09/08/08 Time: 15:40
Sample (adjusted): 2000M04 2008M05 Included observations: 98 after adjustments
White Heteroskedasticity-Consistent Standard Errors & Covariance
Variable Coefficient Std. Error t-Statistic Prob.
C 0.965775 0.179436 5.382290 0.0000
STD_RESID^2(-1) -0.018973 0.077695 -0.244205 0.8076 STD_RESID^2(-2) 0.073622 0.065846 1.118090 0.2663 R-squared 0.005886 Mean dependent var 1.023360 Adjusted R-squared -0.015043 S.D. dependent var 1.459456 S.E. of regression 1.470392 Akaike info criterion 3.639069 Sum squared resid 205.3951 Schwarz criterion 3.718201 Log likelihood -175.3144 F-statistic 0.281217 Durbin-Watson stat 2.018786 Prob(F-statistic) 0.755490