BAB V SIMPULAN DAN SARAN
B. Saran
Berdasarkan hasil penelitian yang telah dilakukan dan keterbatasan- keterbatasan yang diperoleh dalam penelitian ini maka peneliti memberikan beberapa saran, diantarannya:
1. Menambahkan perbandingan dengan model lain untuk menentukan model terbaik, seperti model IGARCH, PARCH, APARCH dan EGARCH-M. menggunakkan data penelitian yang memiliki jangka waktu yang panjang 2. Hasil pengamatan ini, dapat digunakan oleh investor maupun analisis
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sekuritas sebagai referensi dalam menilai atau memprediksi volatilitas yang ada pada sektor infrastruksur, utilitas dan transportasi.
122
DAFTAR PUSTAKA
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129 LAMPIRAN Lampiran 1:Sampel Data Penelitian
Data return variabel penelitian
date
MIRA LAPD META FREN SUPR
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LN return 1/1/2014 57 58 -1 103 113 -10 259.898 251.992 7.906006 53.7894 53.7894 0.0 6303 7842.67 -0.2 2/1/2014 56 55 1 90 102 -12 251.992 259.898 -7.90601 70.723 52.7933 0.3 6254.89 6303 0.0 3/1/2014 55 56 -1 83 89 -6 237.169 250.016 -12.847 61.7582 73.7113 -0.2 8155.41 6254.89 0.3 4/1/2014 51 55 -4 92 83 9 232.228 237.169 -4.94101 59.766 59.766 0.0 8011.07 8155.41 0.0 5/1/2014 50 51 -1 112 92 20 217.405 232.228 -14.823 58.7699 59.766 0.0 8035.13 8011.07 0.0 6/1/2014 50 50 0 67 110 -43 211.476 217.405 -5.929 54.7855 57.7738 -0.1 7938.9 7987.01 0.0 7/1/2014 50 50 0 61 60 1 205.547 212.464 -6.91701 54.7855 53.7894 0.0 7938.9 7938.9 0.0 8/1/2014 51 50 1 57 61 -4 203.57 205.547 -1.97699 68.7309 54.7855 0.2 7938.9 7938.9 0.0 9/1/2014 50 50 0 60 58 2 193.688 201.594 -7.90599 66.7386 67.7347 0.0 7938.9 7938.9 0.0 ######## 50 50 0 50 59 -9 193.688 192.7 0.988007 66.7386 66.7386 0.0 9141.76 9237.99 0.0 ######## 51 50 1 51 50 1 199.617 195.665 3.952011 98.6138 65.7426 0.4 7890.78 9141.76 -0.1 ######## 50 51 -1 50 51 -1 198.629 200.606 -1.977 90.645 99.6099 -0.1 8000 7890.78 0.0
126 1/1/2015 50 50 0 50 50 0 187.759 198.629 -10.87 82.6762 90.645 -0.1 7300 8000 -0.1 2/1/2015 50 50 0 50 50 0 191.712 187.759 3.953003 78.6918 84.6684 -0.1 8950 7300 0.2 3/1/2015 50 50 0 50 50 0 186.771 191.712 -4.94101 64.7465 77.6957 -0.2 8825 9000 0.0 4/1/2015 50 50 0 50 50 0 173.924 187.759 -13.835 71.7191 65.7426 0.1 11000 8825 0.2 5/1/2015 50 50 0 50 50 0 200.606 173.924 26.68201 70.723 71.7191 0.0 10000 11000 -0.1 6/1/2015 50 50 0 50 50 0 197.641 198.629 -0.98799 60.7621 70.723 -0.2 10000 10000 0.0 7/1/2015 50 50 0 50 50 0 173.924 215.429 -41.505 52.7933 61.7582 -0.2 9700 10000 0.0 8/1/2015 50 50 0 50 50 0 165 173.924 -8.924 51 53.7894 -0.1 6700 8400 -0.2 9/1/2015 50 50 0 50 50 0 141.313 157.125 -15.812 50.8011 49.805 0.0 8100 6700 0.2 ######## 50 50 0 50 50 0 117.596 142.301 -24.705 49.805 49.805 0.0 8400 8150 0.0 ######## 50 50 0 50 50 0 77.08 114.632 -37.552 49.805 49.805 0.0 8200 8400 0.0 ######## 50 50 0 50 50 0 73.1272 78.0682 -4.941 50.8011 49.805 0.0 8400 8200 0.0 1/1/2016 50 50 0 50 50 0 81.0328 73.1272 7.905602 49.805 50.8011 0.0 8600 8400 0.0 2/1/2016 50 50 0 50 50 0 104.75 83.0092 21.7408 49.805 49.805 0.0 8600 8600 0.0 3/1/2016 50 50 0 50 50 0 122.537 103.762 18.775 78.6918 49.805 0.5 8200 8600 0.0 4/1/2016 50 50 0 50 50 0 114.632 122.537 -7.905 71.7191 74.7074 0.0 7800 8200 -0.1 5/1/2016 50 50 0 50 50 0 110.679 114.632 -3.953 72.7152 71.7191 0.0 7800 7800 0.0
127 6/1/2016 50 50 0 50 50 0 116.608 110.679 5.929001 68.7309 73.7113 -0.1 8000 7800 0.0 7/1/2016 50 50 0 50 50 0 124.514 117.596 6.917999 73.7113 69.727 0.1 8000 8000 0.0 8/1/2016 50 50 0 50 50 0 126.49 124.514 1.975998 64.7465 73.7113 -0.1 8000 8000 0.0 9/1/2016 50 50 0 50 50 0 124.514 126.49 -1.976 58.7699 64.7465 -0.1 7500 8000 -0.1 ######## 50 50 0 50 50 0 131.431 123.526 7.904999 57.7738 58.7699 0.0 7000 7500 -0.1 ######## 50 50 0 50 50 0 129.455 131.431 -1.976 56.7777 57.7738 0.0 7000 7000 0.0 ######## 50 50 0 50 50 0 129.455 129.455 0 57 56.7777 0.0 7000 7000 0.0 1/1/2017 50 50 0 50 50 0 128.467 129.455 -0.98801 60.7621 52.7933 0.1 6500 7000 -0.1 2/1/2017 50 50 0 50 50 0 127.478 128.467 -0.989 49.805 60.7621 -0.2 6500 6500 0.0 3/1/2017 50 50 0 50 50 0 129.455 126.49 2.965004 53.7894 49.805 0.1 6500 6500 0.0 4/1/2017 50 50 0 50 50 0 130.443 130.443 0 51.7972 53.7894 0.0 6500 6500 0.0 5/1/2017 50 50 0 50 50 0 133.408 130.443 2.965012 49.805 51.7972 0.0 6500 6500 0.0 6/1/2017 50 50 0 50 50 0 133.408 133.408 0 49.805 49.805 0.0 6500 6500 0.0 7/1/2017 50 50 0 50 50 0 133.408 133.408 0 49.805 49.805 0.0 6500 6500 0.0 8/1/2017 50 50 0 50 50 0 133.408 133.408 0 49.805 49.805 0.0 6500 6500 0.0 9/1/2017 50 50 0 50 50 0 142.301 133.408 8.89299 49.805 49.805 0.0 6500 6500 0.0 ######## 50 50 0 50 50 0 187.759 143.29 44.46901 49.805 49.805 0.0 6500 6500 0.0
128 ######## 50 50 0 50 50 0 211.476 186.771 24.705 49.805 49.805 0.0 6500 6500 0.0 ######## 50 50 0 50 50 0 213.452 211.476 1.975998 49.805 49.805 0.0 6800 6500 0.0 1/1/2018 50 50 0 50 50 0 223.334 213.452 9.882004 49.805 49.805 0.0 6800 6800 0.0 2/1/2018 50 50 0 50 50 0 209.499 225.311 -15.812 49.805 49.805 0.0 6800 6800 0.0 3/1/2018 50 50 0 50 50 0 201.594 209.499 -7.905 49.805 49.805 0.0 6800 6800 0.0 4/1/2018 50 50 0 50 50 0 193.688 201.594 -7.90599 57.7738 49.805 0.1 6800 6800 0.0 5/1/2018 50 50 0 50 50 0 192.7 193.688 -0.98801 98.6138 57.7738 0.5 6800 6800 0.0 6/1/2018 50 50 0 50 50 0 196.653 192.7 3.953003 75.7035 98.6138 -0.3 6800 6800 0.0 7/1/2018 50 50 0 50 50 0 203.57 197.641 5.929001 162.364 75.7035 0.8 6800 6800 0.0 8/1/2018 50 50 0 50 50 0 213.452 203.57 9.881989 116.544 165.352 -0.3 6800 6800 0.0 9/1/2018 50 50 0 50 50 0 243.098 217.405 25.69301 112.559 115.548 0.0 6800 6800 0.0 ######## 50 50 0 50 50 0 239.146 243.098 -3.95201 100.606 111.563 -0.1 6800 6800 0.0 ######## 50 50 0 50 50 0 241.122 237.169 3.952988 81 100.606 -0.2 6800 6800 0.0 ######## 50 50 0 50 50 0 206 237.169 -31.169 78 81 0.0 6800 6800 0.0 1/1/2019 50 50 0 50 50 0 216 206 10 147 78 0.6 6800 6800 0.0 2/1/2019 50 50 0 50 50 0 216 214 2 284 147 0.7 6800 6800 0.0 3/1/2019 50 50 0 50 50 0 202 210 -8 312 284 0.1 6800 6800 0.0
129 4/1/2019 50 50 0 50 50 0 198 202 -4 312 316 0.0 6800 6800 0.0 5/1/2019 50 50 0 50 50 0 198 198 0 284 312 -0.1 6800 6800 0.0 6/1/2019 50 50 0 50 50 0 195 198 -3 320 284 0.1 6800 6800 0.0 7/1/2019 50 50 0 50 50 0 190 190 0 173 324 -0.6 6800 6800 0.0 8/1/2019 50 50 0 50 50 0 188 190 -2 134 173 -0.3 5150 6800 -0.3 9/1/2019 50 50 0 50 50 0 195 188 7 170 134 0.2 4400 5150 -0.2 ######## 50 50 0 50 50 0 192 193 -1 149 172 -0.1 3170 4280 -0.3 ######## 50 50 0 50 50 0 191 189 2 125 149 -0.2 2110 3120 -0.4 ######## 50 50 0 50 50 0 220 188 32 138 125 0.1 3280 2110 0.4 1/1/2020 50 50 0 50 50 0 180 220 -40 103 138 -0.3 4000 3280 0.2 2/1/2020 50 50 0 50 50 0 136 185 -49 94 103 -0.1 4000 4000 0.0 date
GIAA CASS NELY TPMA CANI IATA
Close open
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return close open LN return clo se ope n LN retur n 1/1/2014 479.08 495.942 0.0 830 820 0.0 158 175 -0.1 314 310 0.0 242 250 0.0 242 250 -0.03
130 2/1/2014 476.105 480.072 0.0 950 830 0.1 165 153 0.1 304 314 0.0 247 241 0.0 247 241 0.02 3/1/2014 492.967 476.105 0.0 930 980 -0.1 165 165 0.0 280 300 -0.1 269 247 0.1 269 247 0.09 4/1/2014 461 492.967 -0.1 945 965 0.0 168 165 0.0 300 294 0.0 259 265 0.0 259 265 -0.02 5/1/2014 438 461 -0.1 970 945 0.0 166 168 0.0 237 300 -0.2 255 259 0.0 255 259 -0.02 6/1/2014 422 441 0.0 945 960 0.0 155 166 -0.1 249 237 0.0 260 255 0.0 260 255 0.02 7/1/2014 437 421 0.0 1070 965 0.1 150 150 0.0 368 298 0.2 256 260 0.0 256 260 -0.02 8/1/2014 433 437 0.0 1095 1070 0.0 162 150 0.1 390 368 0.1 254 256 0.0 254 256 -0.01 9/1/2014 415 433 0.0 1200 1095 0.1 157 162 0.0 370 390 -0.1 254 254 0.0 254 254 0.00 ######## 530 426 0.2 1200 1200 0.0 157 144 0.1 360 370 0.0 254 251 0.0 254 251 0.01 ######## 490 525 -0.1 1210 1200 0.0 149 157 -0.1 475 360 0.3 254 254 0.0 254 254 0.00 ######## 555 490 0.1 1250 1200 0.0 163 141 0.1 434 490 -0.1 265 254 0.0 265 254 0.04 1/1/2015 595 555 0.1 1200 1250 0.0 163 163 0.0 448 434 0.0 264 265 0.0 264 265 0.00 2/1/2015 525 590 -0.1 1205 1200 0.0 163 163 0.0 365 447 -0.2 264 264 0.0 264 264 0.00 3/1/2015 492 525 -0.1 1250 1200 0.0 163 163 0.0 370 370 0.0 264 264 0.0 264 264 0.00 4/1/2015 595 490 0.2 1210 1240 0.0 121 163 -0.3 377 400 -0.1 264 264 0.0 264 264 0.00 5/1/2015 469 595 -0.2 1210 1210 0.0 150 121 0.2 349 377 -0.1 264 264 0.0 264 264 0.00 6/1/2015 445 475 -0.1 1250 1200 0.0 128 150 -0.2 325 349 -0.1 264 264 0.0 264 264 0.00
131 7/1/2015 437 446 0.0 1200 1250 0.0 128 128 0.0 310 325 0.0 264 264 0.0 264 264 0.00 8/1/2015 326 436 -0.3 1195 1200 0.0 140 128 0.1 230 310 -0.3 264 264 0.0 264 264 0.00 9/1/2015 309 327 -0.1 1195 1200 0.0 140 140 0.0 257 230 0.1 264 264 0.0 264 264 0.00 ######## 320 318 0.0 1200 1195 0.0 138 140 0.0 220 257 -0.2 264 264 0.0 264 264 0.00 ######## 300 320 -0.1 1200 1200 0.0 138 138 0.0 241 220 0.1 264 264 0.0 264 264 0.00 ######## 309 300 0.0 1130 1200 -0.1 138 138 0.0 238 241 0.0 264 264 0.0 264 264 0.00 1/1/2016 395 309 0.2 1060 1130 -0.1 125 138 -0.1 201 238 -0.2 264 264 0.0 264 264 0.00 2/1/2016 408 393 0.0 1245 1060 0.2 125 125 0.0 200 201 0.0 264 264 0.0 264 264 0.00 3/1/2016 440 408 0.1 1130 1245 -0.1 119 125 0.0 223 200 0.1 263 264 0.0 263 264 0.00 4/1/2016 494 436 0.1 1100 1130 0.0 153 119 0.3 220 201 0.1 263 263 0.0 263 263 0.00 5/1/2016 454 443 0.0 1000 1065 -0.1 113 153 -0.3 170 218 -0.2 263 263 0.0 263 263 0.00 6/1/2016 472 496 0.0 975 1000 0.0 113 113 0.0 151 170 -0.1 263 263 0.0 263 263 0.00 7/1/2016 480 464 0.0 1000 975 0.0 105 113 -0.1 178 151 0.2 263 263 0.0 263 263 0.00 8/1/2016 450 480 -0.1 970 1000 0.0 96 105 -0.1 115 178 -0.4 326 263 0.2 326 263 0.21 9/1/2016 428 450 -0.1 930 970 0.0 86 96 -0.1 145 115 0.2 350 326 0.1 350 326 0.07 ######## 376 428 -0.1 930 930 0.0 95 86 0.1 228 145 0.5 695 350 0.7 695 350 0.69 ######## 382 376 0.0 960 930 0.0 86 95 -0.1 316 228 0.3 1270 695 0.6 127 0 695 0.60
132 ######## 338 382 -0.1 945 960 0.0 81 86 -0.1 316 316 0.0 1740 1270 0.3 174 0 127 0 0.31 1/1/2017 338 338 0.0 800 945 -0.2 91 76 0.2 300 316 -0.1 690 1740 -0.9 690 174 0 -0.92 2/1/2017 342 338 0.0 710 800 -0.1 89 91 0.0 312 300 0.0 585 690 -0.2 585 690 -0.17 3/1/2017 342 342 0.0 790 700 0.1 87 90 0.0 290 312 -0.1 500 590 -0.2 500 590 -0.17 4/1/2017 368 346 0.1 900 820 0.1 86 91 -0.1 240 290 -0.2 492 450 0.1 492 450 0.09 5/1/2017 368 368 0.0 800 900 -0.1 96 86 0.1 216 240 -0.1 402 492 -0.2 402 492 -0.20 6/1/2017 348 368 -0.1 755 800 -0.1 113 96 0.2 216 216 0.0 535 402 0.3 535 402 0.29 7/1/2017 346 348 0.0 740 755 0.0 167 113 0.4 184 216 -0.2 478 530 -0.1 478 530 -0.10 8/1/2017 326 348 -0.1 700 715 0.0 127 171 -0.3 175 184 -0.1 360 486 -0.3 360 486 -0.30 9/1/2017 334 326 0.0 700 700 0.0 122 127 0.0 170 175 0.0 354 360 0.0 354 360 -0.02 ######## 366 334 0.1 700 695 0.0 128 122 0.0 175 168 0.0 322 352 -0.1 322 352 -0.09 ######## 310 366 -0.2 840 740 0.1 126 123 0.0 175 174 0.0 318 322 0.0 318 322 -0.01 ######## 300 310 0.0 900 840 0.1 114 126 -0.1 165 175 -0.1 268 316 -0.2 268 316 -0.16 1/1/2018 314 300 0.0 730 900 -0.2 120 114 0.1 190 165 0.1 272 268 0.0 272 268 0.01 2/1/2018 312 314 0.0 700 725 0.0 135 120 0.1 212 180 0.2 270 272 0.0 270 272 -0.01 3/1/2018 294 312 -0.1 695 700 0.0 139 130 0.1 226 220 0.0 268 268 0.0 268 268 0.00
133 4/1/2018 286 296 0.0 710 690 0.0 124 142 -0.1 234 226 0.0 250 268 -0.1 250 268 -0.07 5/1/2018 254 286 -0.1 700 710 0.0 142 124 0.1 220 234 -0.1 222 250 -0.1 222 250 -0.12 6/1/2018 242 254 0.0 750 700 0.1 121 142 -0.2 191 220 -0.1 230 222 0.0 230 222 0.04 7/1/2018 228 242 -0.1 700 750 -0.1 126 121 0.0 300 180 0.5 218 214 0.0 218 214 0.02 8/1/2018 218 230 -0.1 715 700 0.0 134 126 0.1 254 370 -0.4 186 224 -0.2 186 224 -0.19 9/1/2018 206 218 -0.1 720 710 0.0 129 134 0.0 240 254 -0.1 171 186 -0.1 171 186 -0.08 ######## 202 206 0.0 690 720 0.0 116 129 -0.1 234 246 -0.1 160 179 -0.1 160 179 -0.11 ######## 222 202 0.1 705 690 0.0 120 118 0.0 236 224 0.1 162 162 0.0 162 162 0.00 ######## 298 222 0.3 700 700 0.0 133 120 0.1 248 236 0.0 264 162 0.5 264 162 0.49 1/1/2019 454 298 0.4 690 700 0.0 136 133 0.0 246 248 0.0 189 264 -0.3 189 264 -0.33 2/1/2019 545 454 0.2 690 695 0.0 142 138 0.0 264 246 0.1 192 228 -0.2 192 228 -0.17 3/1/2019 476 555 -0.2 685 685 0.0 150 140 0.1 274 262 0.0 180 192 -0.1 180 192 -0.06 4/1/2019 466 474 0.0 700 680 0.0 161 155 0.0 276 272 0.0 167 180 -0.1 167 180 -0.07 5/1/2019 432 466 -0.1 730 700 0.0 162 161 0.0 308 276 0.1 157 167 -0.1 157 167 -0.06 6/1/2019 366 432 -0.2 730 730 0.0 149 162 -0.1 294 308 0.0 157 157 0.0 157 157 0.00 7/1/2019 400 366 0.1 670 730 -0.1 155 149 0.0 288 290 0.0 158 167 -0.1 158 167 -0.06 8/1/2019 488 400 0.2 630 660 0.0 153 155 0.0 282 280 0.0 161 152 0.1 161 152 0.06
134 9/1/2019 510 488 0.0 645 650 0.0 152 153 0.0 284 282 0.0 210 216 0.0 210 216 -0.03 ######## 590 510 0.1 615 645 0.0 149 152 0.0 290 284 0.0 157 230 -0.4 157 230 -0.38 ######## 496 590 -0.2 620 625 0.0 135 149 -0.1 240 288 -0.2 147 150 0.0 147 150 -0.02 ######## 498 496 0.0 620 600 0.0 141 145 0.0 254 240 0.1 162 147 0.1 162 147 0.10 1/1/2020 404 498 -0.2 555 620 -0.1 134 141 -0.1 286 254 0.1 159 162 0.0 159 162 -0.02 2/1/2020 250 396 -0.5 570 555 0.0 130 133 0.0 294 284 0.0 172 159 0.1 172 159 0.08
139 Lampiran 2: Output Eviews
Analisis Deskriptif 0 10 20 30 40 50 60 70 -0.06 -0.04 -0.02 0.00 0.02 Series: MIRA Sample 1 74 Observations 74 Mean -0.001201 Median 0.000000 Maximum 0.020000 Minimum -0.072727 Std. Dev. 0.010269 Skewness -4.593844 Kurtosis 33.82923 Jarque-Bera 3190.802 Probability 0.000000 0 10 20 30 40 50 60 70 -0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 Series: LAPD Sample 1 74 Observations 74 Mean -0.006827 Median 0.000000 Maximum 0.217391 Minimum -0.390909 Std. Dev. 0.060184 Skewness -3.110278 Kurtosis 26.61003 Jarque-Bera 1838.063 Probability 0.000000
136 0 4 8 12 16 20 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 Series: META Sample 1 74 Observations 74 Mean -0.003220 Median -0.005038 Maximum 0.310343 Minimum -0.327587 Std. Dev. 0.095772 Skewness -0.036932 Kurtosis 6.180918 Jarque-Bera 31.21473 Probability 0.000000 0 5 10 15 20 25 30 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1.2 Series: FREN Sample 1 74 Observations 74 Mean 0.035125 Median 0.000000 Maximum 1.144736 Minimum -0.466049 Std. Dev. 0.263885 Skewness 2.263039 Kurtosis 9.001687 Jarque-Bera 174.2257 Probability 0.000000
137 0 10 20 30 40 50 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5 0.6 Series: SUPR Sample 1 74 Observations 74 Mean -0.002289 Median 0.000000 Maximum 0.554502 Minimum -0.323718 Std. Dev. 0.116738 Skewness 1.404596 Kurtosis 10.33247 Jarque-Bera 190.1080 Probability 0.000000 0 4 8 12 16 20 -0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5 Series: GIAA Sample 1 74 Observations 74 Mean -0.001365 Median -0.018148 Maximum 0.523490 Minimum -0.368687 Std. Dev. 0.132035 Skewness 0.956972 Kurtosis 6.203961 Jarque-Bera 42.94635 Probability 0.000000 0 4 8 12 16 20 -0.20 -0.15 -0.10 -0.05 0.00 0.05 0.10 0.15 Series: CASS Sample 1 74 Observations 74 Mean -0.003239 Median -0.002083 Maximum 0.174528 Minimum -0.188889 Std. Dev. 0.063036 Skewness 0.140570 Kurtosis 4.267300 Jarque-Bera 5.195689 Probability 0.074434
138 0 4 8 12 16 20 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5 Series: NELY Sample 1 74 Observations 74 Mean 0.004029 Median 0.000000 Maximum 0.477876 Minimum -0.261438 Std. Dev. 0.114741 Skewness 0.867556 Kurtosis 6.449196 Jarque-Bera 45.96499 Probability 0.000000 0 4 8 12 16 20 -0.4 -0.2 0.0 0.2 0.4 0.6 Series: TPMA Sample 1 74 Observations 74 Mean 0.008124 Median 0.000000 Maximum 0.666667 Minimum -0.353933 Std. Dev. 0.164581 Skewness 1.342676 Kurtosis 7.062515 Jarque-Bera 73.12170 Probability 0.000000
139 0 5 10 15 20 25 30 35 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 Series: CANI Sample 1 74 Observations 74 Mean 0.008364 Median 0.000000 Maximum 0.985714 Minimum -0.603448 Std. Dev. 0.210663 Skewness 2.173354 Kurtosis 12.07090 Jarque-Bera 311.9564 Probability 0.000000 0 10 20 30 40 50 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 Series: IATA Sample 1 74 Observations 74 Mean -0.005934 Median 0.000000 Maximum 0.424242 Minimum -0.197531 Std. Dev. 0.076569 Skewness 2.561701 Kurtosis 16.55971 Jarque-Bera 647.8545 Probability 0.000000
Lampiran 3: Output Uji Stasioneritas
Null Hypothesis: LAPD has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11) Null Hypothesis: MIRA has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.902173 0.0000 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
140
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -11.06883 0.0001 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: META has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.959047 0.0001 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: FREN has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.817454 0.0000 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: SUPR has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.267719 0.0000 Test critical values: 1% level -3.522887
5% level -2.901779
141 *MacKinnon (1996) one-sided p-values. Null Hypothesis: GIAA has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.617598 0.0000 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
*MacKinnon (1996) one-sided p-values. Null Hypothesis: NELY has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -11.69332 0.0001 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: CASS has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.340664 0.0000 Test critical values: 1% level -3.524233
5% level -2.902358
10% level -2.588587
*MacKinnon (1996) one-sided p-values. Null Hypothesis: TPMA has a unit root Exogenous: Constant
142
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.372393 0.0000 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: CANI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.248780 0.0000 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
*MacKinnon (1996) one-sided p-values. Null Hypothesis: IATA has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -10.33439 0.0001 Test critical values: 1% level -3.522887
5% level -2.901779
10% level -2.588280
*MacKinnon (1996) one-sided p-values.
Lampiran 4: Output Model ARIMA Dependent Variable: MIRA
Method: Least Squares Date: 12/27/20 Time: 14:01 Sample (adjusted): 4 74
Included observations: 71 after adjustments Convergence achieved after 10 iterations MA Backcast: -1 3
143
C -7.54E-07 6.95E-05 -0.010840 0.9914 AR(3) 0.203623 0.073720 2.762108 0.0074 MA(5) -0.995066 0.004791 -207.7097 0.0000 R-squared 0.903479 Mean dependent var -0.001063 Adjusted R-squared 0.900640 S.D. dependent var 0.010135 S.E. of regression 0.003195 Akaike info criterion -8.613397 Sum squared resid 0.000694 Schwarz criterion -8.517791 Log likelihood 308.7756 Hannan-Quinn criter. -8.575377 F-statistic 318.2535 Durbin-Watson stat 2.751886 Prob(F-statistic) 0.000000
Inverted AR Roots .59 -.29-.51i -.29+.51i
Inverted MA Roots 1.00 .31+.95i .31-.95i -.81-.59i -.81+.59i
Dependent Variable: LAPD Method: Least Squares Date: 12/27/20 Time: 14:48 Sample (adjusted): 5 74
Included observations: 70 after adjustments Convergence achieved after 9 iterations MA Backcast: 2 4
Variable Coefficient Std. Error t-Statistic Prob. C 1.82E-05 0.000164 0.110658 0.9122 AR(4) 0.267782 0.021587 12.40475 0.0000 MA(3) -0.997579 0.002242 -444.8536 0.0000 R-squared 0.972237 Mean dependent var -0.006885 Adjusted R-squared 0.971408 S.D. dependent var 0.067608 S.E. of regression 0.011432 Akaike info criterion -6.062914 Sum squared resid 0.008756 Schwarz criterion -5.966550 Log likelihood 215.2020 Hannan-Quinn criter. -6.024637 F-statistic 1173.133 Durbin-Watson stat 2.082034 Prob(F-statistic) 0.000000
Inverted AR Roots .72 .00-.72i -.00+.72i -.72 Inverted MA Roots 1.00 -.50-.87i -.50+.87i
Dependent Variable: META Method: Least Squares Date: 12/27/20 Time: 15:30 Sample (adjusted): 2 74
Included observations: 73 after adjustments Convergence achieved after 3 iterations
144
Variable Coefficient Std. Error t-Statistic Prob. C -0.011836 0.018674 -0.633815 0.5282 AR(1) 0.421387 0.116678 3.611524 0.0006 R-squared 0.155195 Mean dependent var -0.008458 Adjusted R-squared 0.143297 S.D. dependent var 0.099368 S.E. of regression 0.091973 Akaike info criterion -1.907623 Sum squared resid 0.600595 Schwarz criterion -1.844870 Log likelihood 71.62823 Hannan-Quinn criter. -1.882615 F-statistic 13.04310 Durbin-Watson stat 1.745088 Prob(F-statistic) 0.000564
Inverted AR Roots .42
Dependent Variable: FREN Method: Least Squares Date: 12/27/20 Time: 15:58 Sample (adjusted): 6 74
Included observations: 69 after adjustments Convergence achieved after 9 iterations MA Backcast: 1 5
Variable Coefficient Std. Error t-Statistic Prob. C 0.015589 0.014970 1.041321 0.3015 AR(5) 0.568935 0.102030 5.576163 0.0000 MA(5) -0.911346 0.032482 -28.05681 0.0000 R-squared 0.152144 Mean dependent var 0.008260 Adjusted R-squared 0.126452 S.D. dependent var 0.221101 S.E. of regression 0.206649 Akaike info criterion -0.273082 Sum squared resid 2.818461 Schwarz criterion -0.175947 Log likelihood 12.42132 Hannan-Quinn criter. -0.234545 F-statistic 5.921724 Durbin-Watson stat 2.087047 Prob(F-statistic) 0.004311
Inverted AR Roots .89 .28+.85i .28-.85i -.72-.53i -.72+.53i
Inverted MA Roots .98 .30+.93i .30-.93i -.79-.58i -.79+.58i
Dependent Variable: SUPR Method: Least Squares Date: 12/27/20 Time: 17:50 Sample (adjusted): 5 74
145 Included observations: 70 after adjustments Convergence achieved after 9 iterations MA Backcast: 1 4
Variable Coefficient Std. Error t-Statistic Prob. C -0.009055 0.003620 -2.501747 0.0148 AR(4) 0.295463 0.138165 2.138474 0.0361 MA(4) -0.896660 0.022248 -40.30305 0.0000 R-squared 0.232818 Mean dependent var -0.009491 Adjusted R-squared 0.209917 S.D. dependent var 0.108702 S.E. of regression 0.096622 Akaike info criterion -1.794119 Sum squared resid 0.625493 Schwarz criterion -1.697755 Log likelihood 65.79417 Hannan-Quinn criter. -1.755842 F-statistic 10.16627 Durbin-Watson stat 1.939688 Prob(F-statistic) 0.000139
Inverted AR Roots .74 -.00+.74i -.00-.74i -.74 Inverted MA Roots .97 -.00+.97i -.00-.97i -.97
Dependent Variable: GIAA Method: Least Squares Date: 12/27/20 Time: 18:57 Sample: 1 74
Included observations: 74
Convergence achieved after 7 iterations MA Backcast: -4 0
Variable Coefficient Std. Error t-Statistic Prob. C -0.006405 0.007395 -0.866150 0.3893 MA(5) -0.514638 0.116598 -4.413776 0.0000 R-squared 0.148391 Mean dependent var -0.009665 Adjusted R-squared 0.136563 S.D. dependent var 0.129163 S.E. of regression 0.120020 Akaike info criterion -1.375658 Sum squared resid 1.037150 Schwarz criterion -1.313386 Log likelihood 52.89933 Hannan-Quinn criter. -1.350816 F-statistic 12.54585 Durbin-Watson stat 1.446176 Prob(F-statistic) 0.000701
Inverted MA Roots .88 .27+.83i .27-.83i -.71-.51i -.71+.51i
Dependent Variable: NELY Method: Least Squares Date: 12/27/20 Time: 19:27
146 Sample (adjusted): 6 74
Included observations: 69 after adjustments Convergence achieved after 22 iterations MA Backcast: 1 5
Variable Coefficient Std. Error t-Statistic Prob. C -0.007186 0.011893 -0.604198 0.5478 AR(5) 0.760145 0.069788 10.89221 0.0000 MA(5) -0.965251 0.032049 -30.11823 0.0000 R-squared 0.170663 Mean dependent var -0.002089 Adjusted R-squared 0.145532 S.D. dependent var 0.115125 S.E. of regression 0.106418 Akaike info criterion -1.600371 Sum squared resid 0.747442 Schwarz criterion -1.503236 Log likelihood 58.21280 Hannan-Quinn criter. -1.561834 F-statistic 6.790817 Durbin-Watson stat 2.525345 Prob(F-statistic) 0.002080
Inverted AR Roots .95 .29-.90i .29+.90i -.77+.56i -.77-.56i
Inverted MA Roots .99 .31-.94i .31+.94i -.80-.58i -.80+.58i
Dependent Variable: CASS Method: Least Squares Date: 12/27/20 Time: 20:43 Sample (adjusted): 4 74
Included observations: 71 after adjustments Convergence achieved after 11 iterations MA Backcast: 1 3
Variable Coefficient Std. Error t-Statistic Prob. C -0.021609 0.013766 -1.569719 0.1211 AR(3) 0.895870 0.067636 13.24542 0.0000 MA(3) -0.930720 0.024869 -37.42488 0.0000 R-squared 0.049024 Mean dependent var -0.006777 Adjusted R-squared 0.021055 S.D. dependent var 0.062255 S.E. of regression 0.061596 Akaike info criterion -2.695101 Sum squared resid 0.257998 Schwarz criterion -2.599495 Log likelihood 98.67609 Hannan-Quinn criter. -2.657082 F-statistic 1.752757 Durbin-Watson stat 2.160004 Prob(F-statistic) 0.181033
Inverted AR Roots .96 -.48+.83i -.48-.83i Inverted MA Roots .98 -.49-.85i -.49+.85i
147 Dependent Variable: TPMA
Method: Least Squares Date: 12/27/20 Time: 21:15 Sample (adjusted): 6 74
Included observations: 69 after adjustments Convergence achieved after 18 iterations MA Backcast: 1 5
Variable Coefficient Std. Error t-Statistic Prob. C 0.003034 0.018532 0.163707 0.8705 AR(5) -0.791996 0.066534 -11.90356 0.0000 MA(5) 0.935685 0.031753 29.46765 0.0000 R-squared 0.145951 Mean dependent var 3.42E-05 Adjusted R-squared 0.120071 S.D. dependent var 0.157932 S.E. of regression 0.148147 Akaike info criterion -0.938717 Sum squared resid 1.448539 Schwarz criterion -0.841582 Log likelihood 35.38575 Hannan-Quinn criter. -0.900181 F-statistic 5.639484 Durbin-Watson stat 2.082648 Prob(F-statistic) 0.005482
Inverted AR Roots .77-.56i .77+.56i -.29+.91i -.29-.91i -.95
Inverted MA Roots .80-.58i .80+.58i -.30+.94i -.30-.94i -.99
Dependent Variable: CANI Method: Least Squares Date: 12/27/20 Time: 21:47 Sample (adjusted): 6 74
Included observations: 69 after adjustments Convergence achieved after 21 iterations MA Backcast: 1 5
Variable Coefficient Std. Error t-Statistic Prob. C -0.035462 0.025577 -1.386484 0.1703 AR(5) 0.750385 0.091996 8.156675 0.0000 MA(5) -0.923701 0.055800 -16.55390 0.0000 R-squared 0.077360 Mean dependent var -0.012114 Adjusted R-squared 0.049401 S.D. dependent var 0.202608 S.E. of regression 0.197540 Akaike info criterion -0.363244 Sum squared resid 2.575462 Schwarz criterion -0.266109 Log likelihood 15.53192 Hannan-Quinn criter. -0.324707 F-statistic 2.766932 Durbin-Watson stat 1.725448 Prob(F-statistic) 0.070156
148 -.76+.55i
Inverted MA Roots .98 .30+.94i .30-.94i -.80-.58i -.80+.58i
Dependent Variable: IATA Method: Least Squares Date: 12/27/20 Time: 22:28 Sample: 1 74
Included observations: 74
Convergence achieved after 16 iterations MA Backcast: -3 0
Variable Coefficient Std. Error t-Statistic Prob. C -0.009262 0.004804 -1.928081 0.0578 MA(4) -0.442566 0.089466 -4.946769 0.0000 R-squared 0.051827 Mean dependent var -0.008607 Adjusted R-squared 0.038658 S.D. dependent var 0.071842 S.E. of regression 0.070439 Akaike info criterion -2.441479 Sum squared resid 0.357241 Schwarz criterion -2.379207 Log likelihood 92.33472 Hannan-Quinn criter. -2.416638 F-statistic 3.935516 Durbin-Watson stat 2.319316 Prob(F-statistic) 0.051090
Inverted MA Roots .82 .00-.82i .00+.82i -.82 Lampiran 5: Output Uji ARCH-LM
MIRA
LAPD
Heteroskedasticity Test: ARCH
F-statistic 7.054206 Prob. F(1,67) 0.0099 Obs*R-squared 6.572756 Prob. Chi-Square(1) 0.0104
META
Heteroskedasticity Test: ARCH
F-statistic 17.39647 Prob. F(1,68) 0.0001 Obs*R-squared 14.25999 Prob. Chi-Square(1) 0.0002
149 Heteroskedasticity Test: ARCH
F-statistic 5.714546 Prob. F(1,70) 0.0195 Obs*R-squared 5.434191 Prob. Chi-Square(1) 0.0197
FREN
Heteroskedasticity Test: ARCH
F-statistic 5.978692 Prob. F(1,66) 0.0172 Obs*R-squared 5.648214 Prob. Chi-Square(1) 0.0175
SUPR
Heteroskedasticity Test: ARCH
F-statistic 50.85621 Prob. F(1,67) 0.0000 Obs*R-squared 29.77424 Prob. Chi-Square(1) 0.0000
GIAA
Heteroskedasticity Test: ARCH
F-statistic 5.313208 Prob. F(1,71) 0.0241 Obs*R-squared 5.082530 Prob. Chi-Square(1) 0.0242
CASS
Heteroskedasticity Test: ARCH
F-statistic 4.757325 Prob. F(1,68) 0.0326 Obs*R-squared 4.577034 Prob. Chi-Square(1) 0.0324
NELY
Heteroskedasticity Test: ARCH
F-statistic 13.82556 Prob. F(1,66) 0.0004 Obs*R-squared 11.77740 Prob. Chi-Square(1) 0.0006
TPMA
150
F-statistic 7.313142 Prob. F(1,66) 0.0087 Obs*R-squared 6.783145 Prob. Chi-Square(1) 0.0092
CANI
Heteroskedasticity Test: ARCH
F-statistic 5.195475 Prob. F(1,66) 0.0259 Obs*R-squared 4.962285 Prob. Chi-Square(1) 0.0259
IATA
Heteroskedasticity Test: ARCH
F-statistic 4.205027 Prob. F(1,71) 0.0440 Obs*R-squared 4.081735 Prob. Chi-Square(1) 0.0433
Lampiran 6: Estimasi Model GARCH
Lampiran 6 : Estimasi Model GARCH Estimasi GARCH MIRA
Dependent Variable: MIRA
Method: ML - ARCH (Marquardt) - Normal distribution Date: 12/27/20 Time: 14:03
Sample (adjusted): 4 74
Included observations: 71 after adjustments Failure to improve Likelihood after 50 iterations MA Backcast: -1 3
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*RESID(-2)^2
Variable Coefficient Std. Error z-Statistic Prob. C -2.17E-08 2.37E-08 -0.917015 0.3591 AR(3) -0.109746 0.010108 -10.85737 0.0000 MA(5) -0.178573 0.007373 -24.21975 0.0000 Variance Equation C 1.05E-14 4.83E-15 2.168404 0.0301 RESID(-1)^2 0.322218 0.070208 4.589511 0.0000 RESID(-2)^2 0.108143 0.020168 5.362119 0.0000 R-squared -0.032938 Mean dependent var -0.001063
151
Adjusted R-squared -0.063318 S.D. dependent var 0.010135 S.E. of regression 0.010450 Akaike info criterion -19.91234 Sum squared resid 0.007426 Schwarz criterion -19.72113 Log likelihood 712.8880 Hannan-Quinn criter. -19.83630 Durbin-Watson stat 1.134666
Inverted AR Roots .24+.41i .24-.41i -.48
Inverted MA Roots .71 .22-.67i .22+.67i -.57+.42i -.57-.42i
Evaluasi Model GARCH MIRA Output test Diagnostik heterokedasitas
Heteroskedasticity Test: ARCH
F-statistic 2.368160 Prob. F(1,68) 0.1285
Obs*R-squared 2.355770 Prob. Chi-Square(1) 0.1248
Output test Diagnostik Autokorelasi
152 0 5 10 15 20 25 -2 -1 0 1 2 3 4
Series: Standardized Residuals Sample 4 74 Observations 71 Mean -0.002609 Median 0.230165 Maximum 4.563188 Minimum -2.697069 Std. Dev. 1.453453 Skewness 0.416308 Kurtosis 4.105571 Jarque-Bera 5.666800 Probability 0.058813
Estimasi GARCH LAPD Dependent Variable: LAPD
Method: ML - ARCH (Marquardt) - Normal distribution Date: 12/27/20 Time: 14:53
Sample (adjusted): 5 74
Included observations: 70 after adjustments Failure to improve Likelihood after 42 iterations MA Backcast: 2 4
Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2
Variable Coefficient Std. Error z-Statistic Prob. C -2.71E-08 7.47E-07 -0.036233 0.9711 AR(4) 0.155266 0.006989 22.21592 0.0000 MA(3) -0.111383 0.002369 -47.01919 0.0000 Variance Equation C 4.01E-13 1.36E-13 2.942594 0.0033 RESID(-1)^2 0.301520 0.021772 13.84927 0.0000 R-squared 0.111380 Mean dependent var -0.006885 Adjusted R-squared 0.084854 S.D. dependent var 0.067608 S.E. of regression 0.064676 Akaike info criterion -19.84188 Sum squared resid 0.280256 Schwarz criterion -19.68127 Log likelihood 699.4656 Hannan-Quinn criter. -19.77808 Durbin-Watson stat 2.606523
Inverted AR Roots .63 .00+.63i -.00-.63i -.63 Inverted MA Roots .48 -.24-.42i -.24+.42i
153 Evaluasi Model GARCH LAPD
Output test Diagnostik heterokedasitas Heteroskedasticity Test: ARCH
F-statistic 0.070083 Prob. F(1,67) 0.7920 Obs*R-squared 0.072099 Prob. Chi-Square(1) 0.7883
Output test Diagnostik Autokorelasi
Output test Diagnostik Normalitas
0 10 20 30 40 50 -4 -3 -2 -1 0 1 2 3 4
Series: Standardized Residuals Sample 5 74 Observations 70 Mean 0.089203 Median 0.040647 Maximum 3.817636 Minimum -4.107317 Std. Dev. 1.347361 Skewness 0.087904 Kurtosis 7.065133 Jarque-Bera 48.28896 Probability 0.000000
Estimasi GARCH META Dependent Variable: META
Method: ML - ARCH (Marquardt) - Normal distribution Date: 12/27/20 Time: 15:36
154 Included observations: 73 after adjustments Convergence achieved after 87 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) + C(6)*GARCH(-2)
Variable Coefficient Std. Error z-Statistic Prob. C -0.013538 0.005009 -2.702860 0.0069 AR(1) 0.246551 0.134451 1.833767 0.0667 Variance Equation C 0.000884 0.000277 3.184794 0.0014 RESID(-1)^2 0.805767 0.185345 4.347383 0.0000 GARCH(-1) 0.792943 0.093596 8.472012 0.0000 GARCH(-2) -0.337024 0.049936 -6.749072 0.0000 R-squared 0.127740 Mean dependent var -0.008458 Adjusted R-squared 0.115454 S.D. dependent var 0.099368 S.E. of regression 0.093456 Akaike info criterion -2.337240 Sum squared resid 0.620114 Schwarz criterion -2.148983 Log likelihood 91.30925 Hannan-Quinn criter. -2.262216 Durbin-Watson stat 1.472909
Inverted AR Roots .25
Evaluasi Model GARCH META
Output test Diagnostik Heteroskedasitas Heteroskedasticity Test: ARCH
F-statistic 0.272898 Prob. F(1,70) 0.6030 Obs*R-squared 0.279605 Prob. Chi-Square(1) 0.5970
155 Output test Diagnostik Normalitas
0 2 4 6 8 10 12 14 -2 -1 0 1 2 3
Series: Standardized Residuals Sample 2 74 Observations 73 Mean 0.125375 Median 0.087928 Maximum 3.395197 Minimum -2.299961 Std. Dev. 1.011467 Skewness 0.639518 Kurtosis 4.642250 Jarque-Bera 13.17929 Probability 0.001375
Estimasi GARCH FREN Dependent Variable: FREN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 12/27/20 Time: 16:00
Sample (adjusted): 6 74
Included observations: 69 after adjustments Convergence achieved after 49 iterations MA Backcast: 1 5
Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2
Variable Coefficient Std. Error z-Statistic Prob. C -0.006081 0.009456 -0.643107 0.5202 AR(5) 0.551233 0.067820 8.127890 0.0000
156
MA(5) -0.885380 0.038411 -23.04988 0.0000 Variance Equation
C 0.013138 0.003821 3.437953 0.0006 RESID(-1)^2 0.980214 0.332867 2.944766 0.0032 R-squared 0.119332 Mean dependent var 0.008260 Adjusted R-squared 0.092645 S.D. dependent var 0.221101 S.E. of regression 0.210610 Akaike info criterion -0.514977 Sum squared resid 2.927536 Schwarz criterion -0.353085 Log likelihood 22.76671 Hannan-Quinn criter. -0.450749 Durbin-Watson stat 2.023245
Inverted AR Roots .89 .27-.84i .27+.84i -.72+.52i -.72-.52i
Inverted MA Roots .98 .30-.93i .30+.93i -.79+.57i -.79-.57i
Evaluasi Model GARCH FREN
Output test Diagnostik Heteroskedasitas Heteroskedasticity Test: ARCH
F-statistic 0.411127 Prob. F(1,66) 0.5236 Obs*R-squared 0.420963 Prob. Chi-Square(1) 0.5165
Output test Diagnostik Autokorelasi
157 0 2 4 6 8 10 12 14 -2 -1 0 1 2 3
Series: Standardized Residuals Sample 6 74 Observations 69 Mean 0.101880 Median 0.176280 Maximum 2.875742 Minimum -2.281470 Std. Dev. 1.002089 Skewness 0.729957 Kurtosis 3.842633 Jarque-Bera 8.168968 Probability 0.016832
Estimasi GARCH SUPR Dependent Variable: SUPR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 12/27/20 Time: 17:52
Sample (adjusted): 5 74
Included observations: 70 after adjustments Convergence achieved after 53 iterations MA Backcast: 1 4
Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2
Variable Coefficient Std. Error z-Statistic Prob. C -0.007005 0.005456 -1.283832 0.1992 AR(4) 0.507527 0.102664 4.943585 0.0000 MA(4) -0.872105 0.025170 -34.64923 0.0000 Variance Equation C 0.003364 0.000694 4.844082 0.0000 RESID(-1)^2 0.554832 0.263527 2.105407 0.0353 R-squared 0.188241 Mean dependent var -0.009491 Adjusted R-squared 0.164009 S.D. dependent var 0.108702 S.E. of regression 0.099389 Akaike info criterion -2.252588 Sum squared resid 0.661837 Schwarz criterion -2.091981 Log likelihood 83.84057 Hannan-Quinn criter. -2.188793 Durbin-Watson stat 1.884302
Inverted AR Roots .84 .00-.84i -.00+.84i -.84 Inverted MA Roots .97 .00-.97i -.00+.97i -.97
158 Output test Diagnostik Heteroskedasitas
Heteroskedasticity Test: ARCH
F-statistic 0.020435 Prob. F(1,67) 0.8868 Obs*R-squared 0.021038 Prob. Chi-Square(1) 0.8847
Output test Diagnostik Autokorelasi
Output test Diagnostik Normalitas
0 5 10 15 20 25 30 -4 -3 -2 -1 0 1 2 3
Series: Standardized Residuals Sample 5 74 Observations 70 Mean -0.043749 Median 0.056931 Maximum 3.324761 Minimum -4.359146 Std. Dev. 1.006183 Skewness -0.891705 Kurtosis 8.534773 Jarque-Bera 98.62495 Probability 0.000000
Estimasi GARCH GIAA Dependent Variable: GIAA
Method: ML - ARCH (Marquardt) - Normal distribution Date: 12/27/20 Time: 18:58
159 Included observations: 74
Convergence achieved after 24 iterations MA Backcast: -4 0
Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*RESID(-1)^2
Variable Coefficient Std. Error z-Statistic Prob. C -0.010337 0.005874 -1.759892 0.0784 MA(5) -0.514039 0.065885 -7.802117 0.0000
Variance Equation
C 0.004973 0.001922 2.587524 0.0097 RESID(-1)^2 1.057277 0.358771 2.946938 0.0032 R-squared 0.145054 Mean dependent var -0.009665 Adjusted R-squared 0.133180 S.D. dependent var 0.129163 S.E. of regression 0.120255 Akaike info criterion -1.515963 Sum squared resid 1.041214 Schwarz criterion -1.391419 Log likelihood 60.09063 Hannan-Quinn criter. -1.466281 Durbin-Watson stat 1.440014
Inverted MA Roots .88 .27+.83i .27-.83i -.71-.51i -.71+.51i
Evaluasi Model GARCH GIAA
Output test Diagnostik Heteroskedasitas Heteroskedasticity Test: ARCH
F-statistic 0.715090 Prob. F(1,71) 0.4006 Obs*R-squared 0.727902 Prob. Chi-Square(1) 0.3936
160 Output test Diagnostik Normalitas
0 2 4 6 8 10 12 -2 -1 0 1 2
Series: Standardized Residuals Sample 1 74 Observations 74 Mean 0.044299 Median 0.070129 Maximum 2.513538 Minimum -2.588895 Std. Dev. 1.005847 Skewness 0.055851 Kurtosis 3.276747 Jarque-Bera 0.274621 Probability 0.871700
Estimasi GARCH NELY Dependent Variable: NELY
Method: ML - ARCH (Marquardt) - Normal distribution Date: 12/27/20 Time: 19:28
Sample (adjusted): 6 74
Included observations: 69 after adjustments Convergence achieved after 61 iterations MA Backcast: 1 5
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*GARCH(-1) + C(6)*GARCH(-2)
Variable Coefficient Std. Error z-Statistic Prob. C -0.029882 0.018819 -1.587870 0.1123 AR(5) 0.863461 0.052540 16.43450 0.0000
161 MA(5) -0.994599 0.009623 -103.3576 0.0000 Variance Equation C 0.000103 2.39E-05 4.310168 0.0000 GARCH(-1) 1.999993 0.004915 406.8835 0.0000 GARCH(-2) -1.008535 0.004955 -203.5509 0.0000 R-squared 0.133367 Mean dependent var -0.002089 Adjusted R-squared 0.107105 S.D. dependent var 0.115125 S.E. of regression 0.108785 Akaike info criterion -2.061612 Sum squared resid 0.781056 Schwarz criterion -1.867342 Log likelihood 77.12563 Hannan-Quinn criter. -1.984539 Durbin-Watson stat 2.490993
Inverted AR Roots .97 .30-.92i .30+.92i -.79+.57i -.79-.57i
Inverted MA Roots 1.00 .31-.95i .31+.95i -.81-.59i -.81+.59i
Evaluasi Model GARCH NELY
Output test Diagnostik Heteroskedasitas Heteroskedasticity Test: ARCH
F-statistic 3.904644 Prob. F(1,66) 0.0523 Obs*R-squared 3.798257 Prob. Chi-Square(1) 0.0513
162 Output test Diagnostik Normalitas
0 2 4 6 8 10 12 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5
Series: Standardized Residuals Sample 6 74 Observations 69 Mean 0.133157 Median 0.298778 Maximum 2.490064 Minimum -2.480713 Std. Dev. 0.952169 Skewness -0.352627 Kurtosis 3.132075 Jarque-Bera 1.480131 Probability 0.477083
Estimasi GARCH CASS Dependent Variable: CASS
Method: ML - ARCH (Marquardt) - Normal distribution Date: 12/27/20 Time: 20:44
Sample (adjusted): 4 74
Included observations: 71 after adjustments Convergence achieved after 228 iterations MA Backcast: 1 3
163
GARCH = C(4) + C(5)*GARCH(-1) + C(6)*GARCH(-2)
Variable Coefficient Std. Error z-Statistic Prob. C -0.053568 0.096660 -0.554189 0.5794 AR(3) 0.975603 0.054130 18.02335 0.0000 MA(3) -0.943768 0.026630 -35.43984 0.0000 Variance Equation C 4.03E-05 1.20E-05 3.356368 0.0008 GARCH(-1) 2.009746 0.017929 112.0954 0.0000 GARCH(-2) -1.019838 0.018213 -55.99557 0.0000 R-squared 0.031605 Mean dependent var -0.006777 Adjusted R-squared 0.003123 S.D. dependent var 0.062255 S.E. of regression 0.062158 Akaike info criterion -2.770515 Sum squared resid 0.262723 Schwarz criterion -2.579302 Log likelihood 104.3533 Hannan-Quinn criter. -2.694476