Lampiran 1
Data Return Indeks Saham
AALI
No Date Adj Close Return
1 05/01/2009 11076.18 0.181471445 2 06/01/2009 11594.63 0.045745203 3 07/01/2009 11029.04 -0.050010266 4 08/01/2009 10227.79 -0.075423269 5 09/01/2009 11170.44 0.088162478 6 12/01/2009 11029.04 -0.012739209 7 13/01/2009 10416.32 -0.057157987 8 14/01/2009 10651.98 0.022371983 9 15/01/2009 10133.52 -0.04989705 10 16/01/2009 10369.19 0.022990169 11 19/01/2009 10604.85 0.022472534 12 20/01/2009 10604.85 0.000000000 13 21/01/2009 10651.98 0.004434347 14 22/01/2009 10463.45 -0.017857558 15 23/01/2009 10133.52 -0.032039492 16 27/01/2009 10557.72 0.041008605 17 28/01/2009 10416.32 -0.013483539 18 29/01/2009 10369.19 -0.004534898 19 30/01/2009 10274.92 -0.009132935 20 02/02/2009 10227.79 -0.004597449 21 03/02/2009 10086.39 -0.013921535 22 04/02/2009 10180.65 0.009301869
23 05/02/2009 10180.65 0
24 06/02/2009 11406.1 0.11365944 25 09/02/2009 12065.96 0.056239965 26 10/02/2009 11594.63 -0.039846205 27 11/02/2009 11830.3 0.020121977 28 12/02/2009 11406.1 -0.036515737 29 13/02/2009 11594.63 0.01639376 30 16/02/2009 11453.24 -0.0122694 31 17/02/2009 11500.37 0.004106549
32 18/02/2009 11500.37 0
33 19/02/2009 11406.1 -0.008230909
34 20/02/2009 11406.1 0
35 23/02/2009 11594.63 0.01639376
36 24/02/2009 11594.63 0
37 25/02/2009 12254.49 0.055350341 38 26/02/2009 12160.23 -0.00772161 39 27/02/2009 12113.09 -0.003884105
40 02/03/2009 12113.09 0
44 06/03/2009 11170.44 -0.069274528 45 10/03/2009 11547.5 0.03319796 46 11/03/2009 11830.3 0.024195074 47 12/03/2009 11783.17 -0.003991795 48 13/03/2009 12160.23 0.031498549 49 16/03/2009 11641.77 -0.043571298 50 17/03/2009 11500.37 -0.012220284 51 18/03/2009 11783.17 0.024293033 52 19/03/2009 11736.03 -0.004008645 53 20/03/2009 11641.77 -0.008064104 54 23/03/2009 12160.23 0.043571298 55 24/03/2009 12914.35 0.060168305 56 25/03/2009 12725.82 -0.014706096 57 27/03/2009 13432.81 0.054067221 58 30/03/2009 13055.75 -0.028471572 59 31/03/2009 13291.41 0.017889312 60 01/04/2009 13715.6 0.031415909 61 02/04/2009 14516.86 0.056776861 62 03/04/2009 14658.26 0.009693267 63 06/04/2009 14941.05 0.019108459 64 07/04/2009 14516.86 -0.028801726 65 08/04/2009 13668.47 -0.060219012 66 13/04/2009 14469.73 0.056967161 67 14/04/2009 14092.67 -0.026404077 68 15/04/2009 14375.46 0.019867782 69 16/04/2009 14328.33 -0.00328389 70 17/04/2009 14186.93 -0.009917578
71 20/04/2009 14186.93 0
93 20/05/2009 17863.28 0.00264186 94 22/05/2009 17486.22 -0.021334067 95 25/05/2009 17580.48 0.005376053 96 26/05/2009 16779.23 -0.046647384 97 27/05/2009 16637.83 -0.008462794 98 28/05/2009 16732.09 0.005649414 99 29/05/2009 16779.23 0.00281338 100 01/06/2009 17439.08 0.038571853
101 02/06/2009 17439.08 0
102 03/06/2009 17627.62 0.010753325 103 04/06/2009 17580.48 -0.002677794 104 05/06/2009 18298.15 0.040010766 105 08/06/2009 17965.46 -0.018348936 106 09/06/2009 17775.35 -0.01063836 107 10/06/2009 17727.82 -0.002677509 108 11/06/2009 17775.35 0.002677509 109 12/06/2009 17680.29 -0.005362206 110 15/06/2009 17537.71 -0.00809704 111 16/06/2009 17014.9 -0.030263989 112 17/06/2009 16967.38 -0.002796754 113 18/06/2009 15874.24 -0.066595008
114 19/06/2009 15874.24 0
115 22/06/2009 15779.18 -0.00600632 116 23/06/2009 16634.68 0.052798323 117 24/06/2009 16919.85 0.016997816
118 25/06/2009 16919.85 0
119 26/06/2009 16634.68 -0.016997816 120 29/06/2009 16254.46 -0.02312234 121 30/06/2009 16016.82 -0.014727913 122 01/07/2009 16634.68 0.037850253 123 02/07/2009 16587.15 -0.002861374
124 03/07/2009 16587.15 0
125 06/07/2009 16254.46 -0.020260967 126 07/07/2009 16349.52 0.005831206 127 09/07/2009 16016.82 -0.020559119 128 10/07/2009 15826.71 -0.011940401 129 13/07/2009 15208.85 -0.039821524 130 14/07/2009 15494.02 0.018576648 131 15/07/2009 15969.29 0.03021336 132 16/07/2009 15779.18 -0.011976153 133 17/07/2009 15731.66 -0.003016107 134 21/07/2009 17537.71 0.108678177 135 22/07/2009 17109.96 -0.02469267 136 23/07/2009 17014.9 -0.005571319
137 24/07/2009 17014.9 0
138 27/07/2009 17014.9 0
142 31/07/2009 18345.68 0.010416724 143 03/08/2009 18203.09 -0.007802765
144 04/08/2009 18203.09 0
145 05/08/2009 18012.98 -0.010498751 146 06/08/2009 18345.68 0.018301515
147 07/08/2009 18345.68 0
148 10/08/2009 20056.67 0.089167642 149 11/08/2009 21054.75 0.048564421 150 12/08/2009 20817.12 -0.011350463 151 13/08/2009 21339.92 0.024803772 152 14/08/2009 21862.72 0.024203406 153 18/08/2009 21197.34 -0.030907201 154 19/08/2009 20104.2 -0.052946954 155 20/08/2009 20151.73 0.002361392 156 21/08/2009 20056.67 -0.004728374 157 24/08/2009 21007.23 0.046304897
158 25/08/2009 21007.23 0
159 26/08/2009 21007.23 0
160 27/08/2009 20579.48 -0.020572201 161 28/08/2009 20531.95 -0.002312253 162 31/08/2009 20436.89 -0.004640608 163 01/09/2009 20151.73 -0.01405146 164 02/09/2009 19296.23 -0.043380401 165 03/09/2009 19676.45 0.019512749 166 04/09/2009 19866.56 0.009615427 167 07/09/2009 19961.62 0.004773514 168 08/09/2009 20484.42 0.025853167 169 09/09/2009 20199.26 -0.014018627 170 10/09/2009 20151.73 -0.002355829 171 11/09/2009 19866.56 -0.014252225 172 14/09/2009 19438.81 -0.021766333
173 15/09/2009 19438.81 0
174 16/09/2009 19914.09 0.024155938
175 17/09/2009 19914.09 0
191 15/10/2009 21482.5 -0.004415236 192 16/10/2009 21387.45 -0.004434349 193 19/10/2009 21482.5 0.004434349 194 20/10/2009 21387.45 -0.004434349 195 21/10/2009 21339.92 -0.002224804 196 22/10/2009 20674.53 -0.031676989 197 23/10/2009 20912.17 0.011428778
198 26/10/2009 20912.17 0
199 27/10/2009 20627.01 -0.013729904 200 28/10/2009 20531.95 -0.004619173 201 29/10/2009 20912.17 0.018349077 202 30/10/2009 20579.48 -0.016036823 203 02/11/2009 20598.68 0.000932533 204 03/11/2009 20550.67 -0.002333452 205 04/11/2009 20646.7 0.004661957
206 05/11/2009 20646.7 0
207 06/11/2009 20982.81 0.016148031 208 09/11/2009 21318.92 0.01589141
209 10/11/2009 21318.92 0
210 11/11/2009 21318.92 0
211 12/11/2009 21126.86 -0.009049725 212 13/11/2009 21270.9 0.006794725 213 16/11/2009 21991.14 0.033299704 214 17/11/2009 21751.06 -0.010977153 215 18/11/2009 21895.11 0.006600832 216 19/11/2009 21751.06 -0.006600832
217 20/11/2009 21751.06 0
218 23/11/2009 21847.09 0.00440524 219 24/11/2009 22471.29 0.028170763 220 25/11/2009 22567.32 0.004264348 221 26/11/2009 21318.92 -0.056907901 222 30/11/2009 21414.95 0.004494335 223 01/12/2009 22039.15 0.028731141 224 02/12/2009 22807.4 0.034264627 225 03/12/2009 22903.43 0.004201636 226 04/12/2009 23047.48 0.006269755
227 07/12/2009 23047.48 0
228 08/12/2009 22903.43 -0.006269755 229 09/12/2009 22855.42 -0.002098393 230 10/12/2009 22759.39 -0.004210481 231 11/12/2009 22951.45 0.008403308
232 14/12/2009 22951.45 0
233 15/12/2009 22951.45 0
234 16/12/2009 22999.46 0.002089622 235 17/12/2009 22663.35 -0.014721655 236 21/12/2009 21799.07 -0.038881774 237 22/12/2009 21318.92 -0.022272367
238 23/12/2009 21318.92 0
240 29/12/2009 21943.12 -0.004366767 241 30/12/2009 21847.09 -0.004385919 242 04/01/2010 22903.43 0.047218949 243 05/01/2010 23239.54 0.014568457 244 06/01/2010 23143.51 -0.004140743 245 07/01/2010 24055.81 0.038662152 246 08/01/2010 24247.87 0.007952231 247 11/01/2010 23959.78 -0.011952187 248 12/01/2010 24103.82 0.005993743 249 13/01/2010 23623.67 -0.020121159 250 14/01/2010 23767.71 0.006078761 251 15/01/2010 23719.7 -0.00202201
252 18/01/2010 23719.7 0
253 19/01/2010 23671.68 -0.00202653 254 20/01/2010 23527.64 -0.006103497 255 21/01/2010 23767.71 0.010152037 256 22/01/2010 23527.64 -0.010152037 257 25/01/2010 23287.56 -0.010256588
258 26/01/2010 23287.56 0
259 27/01/2010 23287.56 0
289 11/03/2010 23431.6 -0.022291053 290 12/03/2010 23671.68 0.010193858 291 15/03/2010 23431.6 -0.010193858 292 17/03/2010 24007.79 0.024292822 293 18/03/2010 23863.74 -0.006018209
294 19/03/2010 23863.74 0
295 22/03/2010 23431.6 -0.018274613 296 23/03/2010 23191.53 -0.010298413 297 24/03/2010 23239.54 0.002068013 298 25/03/2010 23287.56 0.002064174 299 26/03/2010 23431.6 0.006166226 300 29/03/2010 23239.54 -0.0082304 301 30/03/2010 23335.57 0.004123668 302 31/03/2010 23623.67 0.01227037 303 01/04/2010 23815.73 0.008097111 304 05/04/2010 23623.67 -0.008097111 305 06/04/2010 23431.6 -0.008163637 306 07/04/2010 23671.68 0.010193858 307 08/04/2010 23527.64 -0.006103497 308 09/04/2010 23239.54 -0.012320762 309 12/04/2010 23767.71 0.022472798 310 13/04/2010 23431.6 -0.014242398 311 14/04/2010 23383.59 -0.002051044 312 15/04/2010 23239.54 -0.006179356 313 16/04/2010 22903.43 -0.014568457 314 19/04/2010 22279.23 -0.027631827 315 20/04/2010 22567.32 0.012847988
316 21/04/2010 22567.32 0
317 22/04/2010 22999.46 0.018967895 318 23/04/2010 22711.37 -0.012605057 319 26/04/2010 22855.42 0.006322608 320 27/04/2010 22327.25 -0.023380383 321 28/04/2010 21751.06 -0.026145414 322 29/04/2010 21318.92 -0.020067551
323 30/04/2010 21318.92 0
338 24/05/2010 17573.7 0.002735662 339 25/05/2010 16421.33 -0.067822367 340 26/05/2010 18389.97 0.113224308 341 27/05/2010 18437.98 0.00260726 342 31/05/2010 19062.19 0.033294124 343 01/06/2010 18245.92 -0.043765299
344 02/06/2010 18245.92 0
345 03/06/2010 18918.14 0.036179757 346 04/06/2010 20646.7 0.08743425 347 07/06/2010 19974.48 -0.033100042 348 08/06/2010 20166.54 0.009569337 349 09/06/2010 20151.65 -0.000738624 350 10/06/2010 19804.21 -0.01739163 351 11/06/2010 19853.85 0.002503402 352 14/06/2010 20350.19 0.024692305 353 15/06/2010 20399.83 0.002436319 354 16/06/2010 20499.1 0.004854415
355 17/06/2010 20648 0.00723748
356 18/06/2010 20052.38 -0.029270612 357 21/06/2010 20151.65 0.004938321 358 22/06/2010 20201.29 0.002460293 359 23/06/2010 20300.56 0.004902008 360 24/06/2010 20201.29 -0.004902008 361 25/06/2010 20399.83 0.009780104 362 28/06/2010 20350.19 -0.002436319 363 29/06/2010 19853.85 -0.024692305 364 30/06/2010 19208.6 -0.033039848 365 01/07/2010 18364.81 -0.044921762 366 02/07/2010 18067 -0.016349264
367 05/07/2010 18067 0
368 06/07/2010 18910.79 0.045645589
369 07/07/2010 18910.79 0
370 08/07/2010 18513.71 -0.02122112 371 09/07/2010 18464.08 -0.002684316 372 12/07/2010 18563.35 0.005361984 373 13/07/2010 18662.62 0.005333386 374 14/07/2010 18464.08 -0.01069537 375 15/07/2010 18414.44 -0.002692084 376 16/07/2010 18612.98 0.010724047 377 19/07/2010 18861.15 0.013245064 378 20/07/2010 20102.02 0.063716057
379 21/07/2010 20102.02 0
387 02/08/2010 19258.23 -0.005141439 388 03/08/2010 18811.52 -0.023469054 389 04/08/2010 19059.69 0.013106186 390 05/08/2010 20697.63 0.082443567 391 06/08/2010 21045.08 0.016647603 392 09/08/2010 21293.25 0.011723317 393 10/08/2010 20945.81 -0.016451495 394 11/08/2010 20399.83 -0.026412059 395 12/08/2010 19903.48 -0.024631977 396 13/08/2010 20300.56 0.019753881 397 16/08/2010 19953.12 -0.01726295 398 18/08/2010 19655.31 -0.015037991 399 19/08/2010 19853.85 0.010050412 400 20/08/2010 19704.94 -0.007528577 401 23/08/2010 19853.85 0.007528577 402 24/08/2010 19953.12 0.004987579 403 25/08/2010 20052.38 0.004962328 404 26/08/2010 20151.65 0.004938321 405 27/08/2010 19804.21 -0.01739163 406 30/08/2010 19704.94 -0.005025176 407 31/08/2010 19506.4 -0.010126749 408 01/09/2010 19953.12 0.022642905
409 02/09/2010 19953.12 0
436 18/10/2010 23179.37 -0.019088528 437 19/10/2010 23626.08 0.019088528 438 20/10/2010 24023.15 0.016666762
439 21/10/2010 24023.15 0
440 22/10/2010 24122.42 0.00412375 441 25/10/2010 25611.46 0.059898209 442 26/10/2010 25810 0.007722106 443 27/10/2010 25800 -0.000387522 444 28/10/2010 25450 -0.013658749 445 29/10/2010 24900 -0.02184794 446 01/11/2010 25050 0.006006024 447 02/11/2010 25400 0.013875346 448 03/11/2010 24850 -0.021891421 449 04/11/2010 25650 0.031685819 450 05/11/2010 25950 0.011628038 451 08/11/2010 26200 0.009587801 452 09/11/2010 26000 -0.007662873 453 10/11/2010 26800 0.030305349
454 11/11/2010 26800 0
485 29/12/2010 25200 0.00796817 486 30/12/2010 26200 0.038915416 487 03/01/2011 26800 0.022642477 488 04/01/2011 26450 -0.013145729 489 05/01/2011 25950 -0.019084549
490 06/01/2011 25950 0
491 07/01/2011 25000 -0.037295785 492 10/01/2011 24500 -0.020202707
493 11/01/2011 23850 -0.0268889
494 12/01/2011 24950 0.045089605
495 13/01/2011 25800 0.03350067
496 14/01/2011 25500 -0.01169604 497 17/01/2011 25200 -0.011834458 498 18/01/2011 24900 -0.011976191 499 19/01/2011 24500 -0.016194686 500 20/01/2011 23450 -0.043802623 501 21/01/2011 22300 -0.050283816 502 24/01/2011 21250 -0.048229783 503 25/01/2011 22850 0.072594222 504 26/01/2011 22350 -0.022124796 505 27/01/2011 22250 -0.004484312 506 28/01/2011 21750 -0.022728251 507 31/01/2011 21700 -0.002301497 508 01/02/2011 22450 0.033978354 509 02/02/2011 22850 0.017660503 510 04/02/2011 22750 -0.004385972
511 07/02/2011 22750 0
512 08/02/2011 22200 -0.024472857 513 09/02/2011 21650 -0.025086834 514 10/02/2011 21700 0.002306806 515 11/02/2011 22250 0.025029748 516 14/02/2011 23000 0.033152207 517 16/02/2011 22300 -0.030907537 518 17/02/2011 21750 -0.024972921 519 18/02/2011 22050 0.013698844
520 21/02/2011 22050 0
521 22/02/2011 22250 0.009029407 522 23/02/2011 22200 -0.00224972 523 24/02/2011 21700 -0.022780028 524 25/02/2011 21450 -0.011587615 525 28/02/2011 21850 0.018476276 526 01/03/2011 22250 0.018141087 527 02/03/2011 22050 -0.009029407 528 03/03/2011 22100 0.002265007 529 04/03/2011 22600 0.022372298
530 07/03/2011 23000 0.01754431
534 11/03/2011 22050 -0.029052323 535 14/03/2011 22200 0.006779687 536 15/03/2011 21700 -0.022780028 537 16/03/2011 21900 0.009174376 538 17/03/2011 21750 -0.006872879 539 18/03/2011 22100 0.015963851 540 21/03/2011 22000 -0.004535155
541 22/03/2011 22000 0
542 23/03/2011 22600 0.026907453 543 24/03/2011 22550 -0.00221484 544 25/03/2011 22400 -0.006674107 545 28/03/2011 22850 0.019890158
546 29/03/2011 22850 0
547 30/03/2011 22900 0.002185793 548 31/03/2011 22700 -0.008771986 549 01/04/2011 22900 0.008771986 550 04/04/2011 22500 -0.017621601 551 05/04/2011 22650 0.006644543
552 06/04/2011 22650 0
553 07/04/2011 22800 0.006600684 554 08/04/2011 22500 -0.013245227 555 11/04/2011 22800 0.013245227 556 12/04/2011 22500 -0.013245227 557 13/04/2011 22750 0.011049836 558 14/04/2011 22550 -0.008830079
559 15/04/2011 22800 0.01102547
560 18/04/2011 22850 0.002190581 561 19/04/2011 22550 -0.013216051 562 20/04/2011 22950 0.017582871
563 21/04/2011 22950 0
564 25/04/2011 22850 -0.004366819 565 26/04/2011 22950 0.004366819 566 27/04/2011 23000 0.002176279 567 28/04/2011 23150 0.006500565
568 29/04/2011 23150 0
569 02/05/2011 24000 0.03605905
570 03/05/2011 23950 -0.002085506 571 04/05/2011 23800 -0.006282743 572 05/05/2011 23650 -0.006322466 573 06/05/2011 23400 -0.010627093 574 09/05/2011 23750 0.014846508
575 10/05/2011 23800 0.00210305
576 11/05/2011 24050 0.010449416 577 12/05/2011 23500 -0.023134575 578 13/05/2011 23650 0.006362694 579 16/05/2011 23600 -0.002116403
580 18/05/2011 23600 0
583 23/05/2011 23150 -0.03605905 584 24/05/2011 23350 0.008602204 585 25/05/2011 22750 -0.026031839 586 26/05/2011 23050 0.013100624 587 27/05/2011 23200 0.006486509 588 30/05/2011 23100 -0.004319661 589 31/05/2011 23600 0.021414095 590 01/06/2011 23650 0.002116403 591 03/06/2011 23850 0.008421102 592 06/06/2011 23600 -0.010537505 593 07/06/2011 23500 -0.004246291 594 08/06/2011 23400 -0.004264399 595 09/06/2011 23000 -0.017241806 596 10/06/2011 22800 -0.00873368 597 13/06/2011 22700 -0.004395611 598 14/06/2011 23050 0.015300845
599 15/06/2011 23050 0
600 16/06/2011 22700 -0.015300845 601 17/06/2011 22850 0.006586193 602 20/06/2011 23000 0.006543099 603 21/06/2011 23300 0.012959145 604 22/06/2011 23150 -0.00645858
605 23/06/2011 23150 0
606 24/06/2011 23000 -0.006500565 607 27/06/2011 22950 -0.002176279
608 28/06/2011 22950 0
609 30/06/2011 23500 0.023682485 610 01/07/2011 23250 -0.010695289 611 04/07/2011 23300 0.002148229 612 05/07/2011 23250 -0.002148229 613 06/07/2011 23100 -0.006472515 614 07/07/2011 23000 -0.004338402 615 08/07/2011 23050 0.002171554 616 11/07/2011 23000 -0.002171554 617 12/07/2011 22900 -0.004357305 618 13/07/2011 23100 0.008695707 619 14/07/2011 22800 -0.013072082 620 15/07/2011 22950 0.006557401
621 18/07/2011 22950 0
622 19/07/2011 22800 -0.006557401
623 20/07/2011 23000 0.00873368
624 21/07/2011 23050 0.002171554 625 22/07/2011 23200 0.006486509 626 25/07/2011 23350 0.006444705 627 26/07/2011 23450 0.004273511 628 27/07/2011 23700 0.010604553 629 28/07/2011 23500 -0.008474627
630 29/07/2011 23500 0
632 02/08/2011 23200 -0.012848142 633 03/08/2011 22900 -0.013015368 634 04/08/2011 23200 0.013015368 635 05/08/2011 21650 -0.069146824 636 08/08/2011 22300 0.029581224 637 09/08/2011 21200 -0.050585497
638 10/08/2011 21200 0
639 11/08/2011 21400 0.00938974
640 12/08/2011 21350 -0.002339182 641 15/08/2011 21850 0.023149182 642 16/08/2011 21700 -0.006888661 643 18/08/2011 22350 0.029514061 644 19/08/2011 21600 -0.034133006
645 22/08/2011 21600 0
646 23/08/2011 21550 -0.002317498
647 24/08/2011 21550 0
648 25/08/2011 21750 0.009237941 649 26/08/2011 21500 -0.011560822 650 05/09/2011 21850 0.016147986 651 06/09/2011 22150 0.013636575 652 07/09/2011 22500 0.015677813 653 08/09/2011 22200 -0.01342302
654 09/09/2011 22300 0.00449439
655 12/09/2011 21550 -0.034210862 656 13/09/2011 21750 0.009237941 657 14/09/2011 21800 0.002296212
658 15/09/2011 21800 0
659 16/09/2011 22400 0.027150989 660 19/09/2011 22000 -0.018018506 661 20/09/2011 21850 -0.006841532
662 21/09/2011 21850 0
663 22/09/2011 20950 -0.042062275
664 23/09/2011 20750 -0.0095924
665 26/09/2011 18800 -0.098689377 666 27/09/2011 19400 0.031416196 667 28/09/2011 19350 -0.002580647 668 29/09/2011 19300 -0.002587324
669 30/09/2011 19300 0
670 03/10/2011 17300 -0.109398594 671 04/10/2011 17000 -0.017493157 672 05/10/2011 16950 -0.00294551
673 06/10/2011 17650 0.04046795
681 18/10/2011 19000 -0.028536307 682 19/10/2011 19600 0.031090587 683 20/10/2011 19050 -0.028462465 684 21/10/2011 19250 0.010443959 685 24/10/2011 19850 0.030692946 686 25/10/2011 20200 0.017478597 687 26/10/2011 20400 0.009852296 688 27/10/2011 21450 0.050189745 689 28/10/2011 21000 -0.021202208 690 31/10/2011 21450 0.021202208 691 01/11/2011 21100 -0.016451605 692 02/11/2011 21000 -0.004750603 693 03/11/2011 21150 0.007117468 694 04/11/2011 21350 0.009411834 695 07/11/2011 21500 0.007001195 696 08/11/2011 21250 -0.01169604 697 09/11/2011 21950 0.032410244 698 10/11/2011 21300 -0.030060067 699 11/11/2011 21500 0.009345862 700 14/11/2011 21950 0.020714204 701 15/11/2011 22600 0.029182767 702 16/11/2011 22500 -0.004434597 703 17/11/2011 22750 0.011049836
704 18/11/2011 22750 0
705 21/11/2011 21550 -0.054189329
706 22/11/2011 22150 0.02746168
707 23/11/2011 21150 -0.046197591 708 24/11/2011 20800 -0.016686919 709 25/11/2011 20600 -0.009661911 710 28/11/2011 20900 0.014458083 711 29/11/2011 21800 0.042160811 712 30/11/2011 22400 0.027150989 713 01/12/2011 22600 0.008888947 714 02/12/2011 22250 -0.015607898 715 05/12/2011 22000 -0.011299555 716 06/12/2011 22250 0.011299555 717 07/12/2011 22450 0.008948606 718 08/12/2011 22050 -0.017978012 719 09/12/2011 21800 -0.011402632
720 12/12/2011 21800 0
721 13/12/2011 20900 -0.042160811 722 14/12/2011 20750 -0.007202912 723 15/12/2011 21000 0.011976191 724 16/12/2011 20600 -0.019231362
725 19/12/2011 20600 0
730 27/12/2011 21500 0.01169604
731 28/12/2011 21500 0
732 29/12/2011 21600 0.00464038
733 30/12/2011 21700 0.004618946 734 02/01/2012 21750 0.002301497 735 03/01/2012 21800 0.002296212
736 04/01/2012 21950 0.00685717
737 05/01/2012 21600 -0.016073825 738 06/01/2012 21750 0.006920443 739 09/01/2012 21700 -0.002301497 740 10/01/2012 21650 -0.002306806 741 11/01/2012 21750 0.004608303 742 12/01/2012 22250 0.022728251
743 13/01/2012 22300 0.00224467
744 16/01/2012 22250 -0.00224467
745 17/01/2012 22300 0.00224467
746 18/01/2012 22300 0
Lampiran 2
Hasil Uji Augmented Dickey-Fuller dengan EViews 5.1
AALI
Null Hypothesis: AALI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -27.97107 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
ANTM
Null Hypothesis: ANTM has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -29.74887 0.0000
Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
ASII
Null Hypothesis: ASII has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -27.73704 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
BBCA
Null Hypothesis: BBCA has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -29.21560 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
BBNI
Null Hypothesis: BBNI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -27.82784 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
BBRI
Null Hypothesis: BBRI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -18.94345 0.0000 Test critical values: 1% level -3.970335
5% level -3.415819
10% level -3.130170
*MacKinnon (1996) one-sided p-values.
BDMN
Null Hypothesis: BDMN has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -26.53496 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
BMRI
Null Hypothesis: BMRI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -28.07706 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
INCO
Null Hypothesis: INCO has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -29.79118 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
INDF
Null Hypothesis: INDF has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -26.93381 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
ISAT
Null Hypothesis: ISAT has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -27.26592 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
ITMG
Null Hypothesis: ITMG has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -26.41340 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
LPKR
Null Hypothesis: LPKR has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -25.70653 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
LSIP
Null Hypothesis: LSIP has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -28.27157 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
MEDC
Null Hypothesis: MEDC has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -27.43351 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
PGAS
Null Hypothesis: PGAS has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -27.70901 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
PTBA
Null Hypothesis: PTBA has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -26.24086 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
SMGR
Null Hypothesis: SMGR has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -31.19494 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
TINS
Null Hypothesis: TINS has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -28.95366 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
TLKM
Null Hypothesis: TLKM has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -29.35976 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
*MacKinnon (1996) one-sided p-values.
UNTR
Null Hypothesis: UNTR has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -27.89873 0.0000 Test critical values: 1% level -3.970302
5% level -3.415803
10% level -3.130160
Lampiran 3
Histogram dan Statistik dengan EViews 5.1
0 40 80 120 160 200 240
-0.10 -0.05 -0.00 0.05 0.10 0.15
Series: AALI
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.001097 Median 0.000000 Maximum 0.181471 Minimum -0.109399 Std. Dev. 0.025412 Skewness 0.764840 Kurtosis 8.794686
Jarque-Bera 1126.937 Probability 0.000000
0 40 80 120 160 200
-0.10 -0.05 -0.00 0.05 0.10 0.15
Series: ANTM
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.000797 Median 0.000000 Maximum 0.181901 Minimum -0.122821 Std. Dev. 0.028376 Skewness 0.576561 Kurtosis 7.099520
Jarque-Bera 569.0094 Probability 0.000000
0 40 80 120 160
-0.10 -0.05 -0.00 0.05 0.10 0.15
Series: ASII
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.002721 Median 0.001358 Maximum 0.145311 Minimum -0.103253 Std. Dev. 0.026112 Skewness 0.574779 Kurtosis 6.743089
0 20 40 60 80 100 120
-0.05 0.00 0.05 0.10
Series: BBCA
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.001263 Median 0.000000 Maximum 0.109199 Minimum -0.087598 Std. Dev. 0.022500 Skewness -0.062762 Kurtosis 4.669236
Jarque-Bera 87.91601 Probability 0.000000
0 40 80 120 160 200 240
-0.15 -0.10 -0.05 0.00 0.05 0.10 0.15
Series: BBNI
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.002262 Median 0.000000 Maximum 0.144824 Minimum -0.160623 Std. Dev. 0.025391 Skewness 0.225883 Kurtosis 7.915199
Jarque-Bera 764.3976 Probability 0.000000
0 40 80 120 160 200
-0.15 -0.10 -0.05 0.00 0.05 0.10
Series: BBRI
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.001605 Median 0.000000 Maximum 0.111227 Minimum -0.140582 Std. Dev. 0.026640 Skewness 0.067720 Kurtosis 5.061611
0 40 80 120 160 200
-0.2 -0.1 0.0 0.1
Series: BDMN
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.000558 Median 0.000000 Maximum 0.114775 Minimum -0.233196 Std. Dev. 0.029698 Skewness -0.453319 Kurtosis 10.35258
Jarque-Bera 1721.936 Probability 0.000000
0 40 80 120 160 200
-0.15 -0.10 -0.05 0.00 0.05 0.10
Series: BMRI
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.001653 Median 0.000000 Maximum 0.102781 Minimum -0.156842 Std. Dev. 0.025979 Skewness 0.043958 Kurtosis 5.510889
Jarque-Bera 198.0482 Probability 0.000000
0 40 80 120 160 200
-0.1 0.0 0.1
Series: INCO
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.001086 Median 0.000000 Maximum 0.183480 Minimum -0.144739 Std. Dev. 0.031269 Skewness 0.834879 Kurtosis 9.001100
0 40 80 120 160 200 240
-0.10 -0.05 -0.00 0.05 0.10
Series: INDF
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.002242 Median 0.000000 Maximum 0.105363 Minimum -0.139262 Std. Dev. 0.025517 Skewness 0.264055 Kurtosis 5.305262
Jarque-Bera 175.4846 Probability 0.000000
0 40 80 120 160 200 240 280
-0.15 -0.10 -0.05 0.00 0.05 0.10
Series: ISAT
Sample 1/05/2009 1/30/2012 Observations 753
Mean -1.41e-05 Median 0.000000 Maximum 0.097856 Minimum -0.157185 Std. Dev. 0.023082 Skewness -0.065411 Kurtosis 6.966391
Jarque-Bera 494.1365 Probability 0.000000
0 40 80 120 160 200
-0.10 -0.05 -0.00 0.05 0.10 0.15
Series: ITMG
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.001823 Median 0.000000 Maximum 0.180944 Minimum -0.127059 Std. Dev. 0.028883 Skewness 0.985660 Kurtosis 8.934519
0 40 80 120 160 200 240 280 320
-0.20 -0.15 -0.10 -0.05 0.00 0.05 0.10
Series: LPKR
Sample 1/05/2009 1/30/2012 Observations 753
Mean -0.000250 Median 0.000000 Maximum 0.100084 Minimum -0.194158 Std. Dev. 0.024064 Skewness -0.780927 Kurtosis 11.20425
Jarque-Bera 2188.378 Probability 0.000000
0 40 80 120 160 200
-0.10 -0.05 -0.00 0.05 0.10 0.15
Series: LSIP
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.002312 Median 0.000000 Maximum 0.181961 Minimum -0.119003 Std. Dev. 0.027916 Skewness 0.762355 Kurtosis 7.781482
Jarque-Bera 790.2518 Probability 0.000000
0 40 80 120 160 200 240
-0.1 -0.0 0.1 0.2
Series: MEDC
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.000375 Median 0.000000 Maximum 0.221928 Minimum -0.130620 Std. Dev. 0.027660 Skewness 1.065271 Kurtosis 11.01611
0 40 80 120 160 200 240
-0.10 -0.05 -0.00 0.05 0.10
Series: PGAS
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.000869 Median 0.000000 Maximum 0.120144 Minimum -0.137784 Std. Dev. 0.023769 Skewness 0.019517 Kurtosis 7.053839
Jarque-Bera 515.6522 Probability 0.000000
0 40 80 120 160 200
-0.10 -0.05 -0.00 0.05 0.10
Series: PTBA
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.001503 Median 0.000000 Maximum 0.136859 Minimum -0.091808 Std. Dev. 0.024313 Skewness 0.531617 Kurtosis 6.383326
Jarque-Bera 394.6147 Probability 0.000000
0 40 80 120 160 200 240
-0.05 0.00 0.05 0.10 0.15
Series: SMGR
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.001368 Median 0.000000 Maximum 0.144830 Minimum -0.083614 Std. Dev. 0.022331 Skewness 0.265262 Kurtosis 5.915700
0 40 80 120 160 200 240
-0.10 -0.05 -0.00 0.05 0.10 0.15
Series: TINS
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.000832 Median 0.000000 Maximum 0.154148 Minimum -0.115999 Std. Dev. 0.029316 Skewness 0.556363 Kurtosis 6.426712
Jarque-Bera 407.2637 Probability 0.000000
0 20 40 60 80 100 120
-0.05 0.00 0.05
Series: TLKM
Sample 1/05/2009 1/30/2012 Observations 753
Mean 9.83e-05 Median 0.000000 Maximum 0.069959 Minimum -0.090026 Std. Dev. 0.018689 Skewness 0.022386 Kurtosis 4.493124
Jarque-Bera 70.01096 Probability 0.000000
0 40 80 120 160 200
-0.10 -0.05 -0.00 0.05 0.10 0.15
Series: UNTR
Sample 1/05/2009 1/30/2012 Observations 753
Mean 0.002522 Median 0.000000 Maximum 0.181373 Minimum -0.099608 Std. Dev. 0.026994 Skewness 0.802565 Kurtosis 7.977233
Lampiran 4
Hasil Uji White Heteroskedsaticity dengan EViews 5.1
AALI
White Heteroskedasticity Test:
F-statistic 8.184392 Prob. F(2,749) 0.000305 Obs*R-squared 16.08287 Prob. Chi-Square(2) 0.000322
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 17:55 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000534 5.30E-05 10.08079 0.0000 AALI(-1) -0.004323 0.002058 -2.100801 0.0360 AALI(-1)^2 0.113030 0.028754 3.930883 0.0001
ANTM
White Heteroskedasticity Test:
F-statistic 5.017788 Prob. F(2,749) 0.006843 Obs*R-squared 9.942555 Prob. Chi-Square(2) 0.006934
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:13 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
ASII
White Heteroskedasticity Test:
F-statistic 4.633020 Prob. F(2,749) 0.010006 Obs*R-squared 9.189469 Prob. Chi-Square(2) 0.010105
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:18 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000588 5.78E-05 10.17880 0.0000 ASII(-1) 0.000137 0.002160 0.063458 0.9494 ASII(-1)^2 0.096478 0.033693 2.863457 0.0043
BBCA
White Heteroskedasticity Test:
F-statistic 10.29882 Prob. F(2,749) 0.000039 Obs*R-squared 20.12665 Prob. Chi-Square(2) 0.000043
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:21 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
BBNI
White Heteroskedasticity Test:
F-statistic 8.749827 Prob. F(2,749) 0.000175 Obs*R-squared 17.16862 Prob. Chi-Square(2) 0.000187
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:24 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000545 6.56E-05 8.308893 0.0000 BBNI(-1) 0.002801 0.002442 1.146851 0.2518 BBNI(-1)^2 0.137925 0.036284 3.801236 0.0002
BBRI
White Heteroskedasticity Test:
F-statistic 7.776971 Prob. F(2,749) 0.000454 Obs*R-squared 15.29855 Prob. Chi-Square(2) 0.000476
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:34 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
BDMN
White Heteroskedasticity Test:
F-statistic 14.82283 Prob. F(2,749) 0.000000 Obs*R-squared 28.63118 Prob. Chi-Square(2) 0.000001
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:37 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000703 0.000101 6.936610 0.0000 BDMN(-1) 0.005584 0.003270 1.707846 0.0881 BDMN(-1)^2 0.193200 0.036081 5.354620 0.0000
BMRI
White Heteroskedasticity Test:
F-statistic 2.594645 Prob. F(2,749) 0.075343 Obs*R-squared 5.174227 Prob. Chi-Square(2) 0.075237
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:39 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
INCO
White Heteroskedasticity Test:
F-statistic 4.440309 Prob. F(2,749) 0.012104 Obs*R-squared 8.811710 Prob. Chi-Square(2) 0.012206
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:41 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000835 9.91E-05 8.431371 0.0000 INCO(-1) -0.003871 0.003143 -1.231532 0.2185 INCO(-1)^2 0.104623 0.035296 2.964184 0.0031
INDF
White Heteroskedasticity Test:
F-statistic 15.97825 Prob. F(2,749) 0.000000 Obs*R-squared 30.77160 Prob. Chi-Square(2) 0.000000
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:43 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
ISAT
White Heteroskedasticity Test:
F-statistic 25.69550 Prob. F(2,749) 0.000000 Obs*R-squared 48.28395 Prob. Chi-Square(2) 0.000000
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:45 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000398 4.96E-05 8.020645 0.0000 ISAT(-1) 0.000839 0.001990 0.421692 0.6734 ISAT(-1)^2 0.252926 0.035299 7.165217 0.0000
ITMG
White Heteroskedasticity Test:
F-statistic 2.019521 Prob. F(2,749) 0.133441 Obs*R-squared 4.033469 Prob. Chi-Square(2) 0.133089
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:47 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
LPKR
White Heteroskedasticity Test:
F-statistic 0.893918 Prob. F(2,749) 0.409486 Obs*R-squared 1.790723 Prob. Chi-Square(2) 0.408460
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:49 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000549 7.08E-05 7.748252 0.0000 LPKR(-1) 0.002350 0.002895 0.811941 0.4171 LPKR(-1)^2 0.046341 0.037613 1.232028 0.2183
LSIP
White Heteroskedasticity Test:
F-statistic 3.376622 Prob. F(2,749) 0.034684 Obs*R-squared 6.719705 Prob. Chi-Square(2) 0.034740
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:51 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
MEDC
White Heteroskedasticity Test:
F-statistic 9.715845 Prob. F(2,749) 0.000068 Obs*R-squared 19.01617 Prob. Chi-Square(2) 0.000074
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:53 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000644 9.20E-05 7.002470 0.0000 MEDC(-1) 0.000814 0.003366 0.241736 0.8091 MEDC(-1)^2 0.155178 0.038329 4.048571 0.0001
PGAS
White Heteroskedasticity Test:
F-statistic 19.52068 Prob. F(2,749) 0.000000 Obs*R-squared 37.25578 Prob. Chi-Square(2) 0.000000
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:55 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
PTBA
White Heteroskedasticity Test:
F-statistic 10.31797 Prob. F(2,749) 0.000038 Obs*R-squared 20.16308 Prob. Chi-Square(2) 0.000042
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:57 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000487 4.92E-05 9.892032 0.0000 PTBA(-1) -0.004327 0.001936 -2.234239 0.0258 PTBA(-1)^2 0.149836 0.033892 4.421042 0.0000
SMGR
White Heteroskedasticity Test:
F-statistic 13.52005 Prob. F(2,749) 0.000002 Obs*R-squared 26.20246 Prob. Chi-Square(2) 0.000002
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:58 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
TINS
White Heteroskedasticity Test:
F-statistic 5.250872 Prob. F(2,749) 0.005438 Obs*R-squared 10.39802 Prob. Chi-Square(2) 0.005522
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 19:00 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000740 7.26E-05 10.19044 0.0000 TINS(-1) 0.001432 0.002353 0.608536 0.5430 TINS(-1)^2 0.099826 0.034268 2.913130 0.0037
TLKM
White Heteroskedasticity Test:
F-statistic 7.814844 Prob. F(2,749) 0.000438 Obs*R-squared 15.37153 Prob. Chi-Square(2) 0.000459
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 19:02 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
UNTR
White Heteroskedasticity Test:
F-statistic 2.014776 Prob. F(2,749) 0.134072 Obs*R-squared 4.024043 Prob. Chi-Square(2) 0.133718
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 19:03 Sample: 1/06/2009 11/23/2011 Included observations: 752
Variable Coefficient Std. Error t-Statistic Prob.
Lampiran 5
Contoh Perhitungan VaR EWMA
BBNI
Tanggal Return Forecast
Variance
Volatilitas
EWMA Posisi
Cornish Fisher
Holding
Lampiran 6
Tabel Signifikansi Model GARCH
NO Indeks
Saham Model Probability
Adjusted
R2 AIC SC
1 AALI AR(28) 0
0.089818 -4.802272 -4.764318
MA(28) 0
ARCH(1) 0
GARCH(1) 0
2 ANTM AR(34) 0
0.138281 -4.655133 -4.616931
MA(34) 0
ARCH(1) 0
GARCH(1) 0
3 ASII AR(36) 0
0.12263 -4.692228 -4.653943
MA(36) 0
ARCH(1) 0.0001
GARCH(1) 0
4 BBCA AR(29) 0
0.081961 -4.914804 -4.876808
MA(29) 0
ARCH(1) 0.0066
GARCH(1) 0
5 BBNI AR(36) 0
0.10054 -4.779668 -4.741383
MA(36) 0
ARCH(1) 0
GARCH(1) 0
6 BBRI AR(28) 0
0.133135 -4.623153 -4.585199
MA(28) 0
ARCH(1) 0.0002
GARCH(1) 0
7 BDMN AR(36) 0
0.119372 -4.538963 -4.500677
MA(36) 0
ARCH(1) 0
GARCH(1) 0
8 INCO AR(29) 0
0.094576 -4.526742 -4.488746
MA(29) 0
ARCH(1) 0
GARCH(1) 0
MA(35) 0
ARCH(1) 0
GARCH(1) 0
10 ISAT AR(30) 0
0.118512 -4.909147 -4.871111
MA(30) 0
ARCH(1) 0
GARCH(1) 0
11 LSIP AR(32) 0
0.113166 -4.637815 -4.599696
MA(32) 0
ARCH(1) 0
GARCH(1) 0
12 MEDC AR(35) 0
0.145401 -4.532699 -4.494456
MA(35) 0
ARCH(1) 0
GARCH(1) 0
13 PGAS AR(33) 0
0.101326 -4.964403 -4.926243
MA(33) 0
ARCH(1) 0
GARCH(1) 0
14 PTBA AR(36) 0
0.095245 -4.861786 -4.823501
MA(36) 0
ARCH(1) 0
GARCH(1) 0
15 SMGR AR(34) 0
0.065022 -4.904723 -4.866521
MA(34) 0
ARCH(1) 0
GARCH(1) 0
16 TINS AR(36) 0
0.083582 -4.45066 -4.412375
MA(36) 0
ARCH(1) 0
GARCH(1) 0
17 TLKM AR(28) 0
0.080396 -5.309785 -5.271831
MA(28) 0
ARCH(1) 0
Lampiran 7
Tabel Perhitungan VaR dengan metode GARCH
BBNI
No Tanggal Return Forecast Posisi Cornish
Fisher
Holding
Period VaR
1 05/01/2009 0.0571609 698.91 1.584865 1 2 06/01/2009 0.0137974 708.62 1.584865 1 3 07/01/2009 0.0136097 718.33 1.584865 1 4 08/01/2009 0.0266624 737.74 1.584865 1 5 09/01/2009 0.0387128 766.86 1.584865 1 6 12/01/2009 -0.0127297 757.16 1.584865 1 7 13/01/2009 0.0499995 795.98 1.584865 1 8 14/01/2009 -0.0372698 766.86 1.584865 1 9 15/01/2009 -0.0387128 737.74 1.584865 1 10 16/01/2009 0.0130760 747.45 1.584865 1 11 19/01/2009 0.0000000 747.45 1.584865 1 12 20/01/2009 0.0000000 747.45 1.584865 1 13 21/01/2009 -0.0811214 689.21 1.584865 1 14 22/01/2009 0.0277734 708.62 1.584865 1 15 23/01/2009 -0.0419622 679.5 1.584865 1 16 27/01/2009 0.0141888 689.21 1.584865 1 17 28/01/2009 0.0277734 708.62 1.584865 1 18 29/01/2009 0.0533480 747.45 1.584865 1 19 30/01/2009 0.0000000 747.45 1.584865 1 20 02/02/2009 0.0000000 747.45 1.584865 1 21 03/02/2009 0.0000000 747.45 1.584865 1 22 04/02/2009 -0.0263252 728.03 1.584865 1 23 05/02/2009 0.0000000 728.03 1.584865 1 24 06/02/2009 0.0263252 747.45 1.584865 1 25 09/02/2009 -0.0130760 737.74 1.584865 1 26 10/02/2009 -0.0266624 718.33 1.584865 1 27 11/02/2009 -0.0136097 708.62 1.584865 1 28 12/02/2009 0.0136097 718.33 1.584865 1 29 13/02/2009 0.0000000 718.33 1.584865 1 30 16/02/2009 0.0000000 718.33 1.584865 1 31 17/02/2009 -0.0274071 698.91 1.584865 1 32 18/02/2009 0.0274071 718.33 1.584865 1 33 19/02/2009 0.0134132 728.03 1.584865 1 34 20/02/2009 -0.0408203 698.91 1.584865 1 35 23/02/2009 0.0274071 718.33 1.584865 1 36 24/02/2009 -0.0274071 698.91 1.584865 1
Lampiran 8
Tabel backtesting dengan Simple Standard Deviation
BMRI
No Tanggal Return VaR Actual
Loss Overshoot 1 05/01/2009 0.08288784 89.059692
2 06/01/2009 -0.01142455 88.048015 23.64 3 07/01/2009 -0.0350934 85.011699 70.95
4 08/01/2009 -0.0487879 80.963706 94.59 1 5 09/01/2009 -0.0253193 78.939496 47.3
6 12/01/2009 -0.01030999 78.129812 18.92 7 13/01/2009 0.07484715 84.202015 0 8 14/01/2009 -0.03921787 80.963706 75.67 9 15/01/2009 -0.0253193 78.939496 47.3
10 16/01/2009 0 78.939496 0
11 19/01/2009 -0.02072738 77.320128 37.84 12 20/01/2009 0.00522226 77.724970 0
13 21/01/2009 -0.07571065 72.057609 132.43 1 14 22/01/2009 0.01117396 72.867293 0
15 23/01/2009 -0.01117396 72.057609 18.92 16 27/01/2009 0.00560259 72.462451 0 17 28/01/2009 0.00557137 72.867293 0 18 29/01/2009 0.01653026 74.081819 0 19 30/01/2009 -0.00547978 73.676977 9.46 20 02/02/2009 -0.02222444 72.057609 37.84
21 03/02/2009 0 72.057609 0
22 04/02/2009 0 72.057609 0
40 02/03/2009 -0.02325829 68.818872 37.84 41 03/03/2009 0.02898931 70.843083 0 42 04/03/2009 0.02817255 72.867293 0 43 05/03/2009 -0.02247419 71.247925 37.84
44 06/03/2009 0 71.247925 0
45 10/03/2009 0.02247419 72.867293 0 46 11/03/2009 0.02739485 74.891075 0 47 12/03/2009 -0.01086458 74.081819 18.91 48 13/03/2009 0.00544992 74.486661 0 49 16/03/2009 0.01080585 75.295917 0
50 17/03/2009 0 75.295917 0
51 18/03/2009 0.02127871 76.915286 0 52 19/03/2009 0.00524968 77.320128 0 53 20/03/2009 0.01558567 78.534654 0 54 23/03/2009 0.10278081 87.035909 0 55 24/03/2009 0.0115615 88.048015 0 56 25/03/2009 -0.0350934 85.011699 70.95 57 27/03/2009 0.0235319 87.035909 0
58 30/03/2009 -0.04763093 82.987489 94.6 1 59 31/03/2009 0.05919243 88.048015 0
60 01/04/2009 0.0338988 91.083902 0 61 02/04/2009 0.06453793 97.156105 0 62 03/04/2009 -0.01047195 96.144000 23.65 63 06/04/2009 -0.02127419 94.120218 47.29 64 07/04/2009 -0.03279179 91.083902 70.95
65 08/04/2009 -0.0454603 87.035909 94.59 1 66 13/04/2009 0.06744053 93.108113 0
67 14/04/2009 0.03208575 96.144000 0 68 15/04/2009 -0.01057827 95.132323 23.64 69 16/04/2009 -0.0324372 92.096007 70.95 70 17/04/2009 0.08426095 100.192421 0 71 20/04/2009 0.04926986 105.252519 0 72 21/04/2009 -0.03921892 101.204526 94.59 73 22/04/2009 -0.01005093 100.192421 23.65 74 23/04/2009 -0.01015298 99.180316 23.65
75 24/04/2009 0 99.180316 0
76 27/04/2009 0.02020392 101.204526 0 77 28/04/2009 -0.01005093 100.192421 23.65 78 29/04/2009 0.04926986 105.252519 0 79 30/04/2009 0.06513934 112.336827 0 80 01/05/2009 0.02666985 115.373143 0 81 04/05/2009 0.0344846 119.421135 0 82 05/05/2009 -0.02575041 116.385248 70.94
85 08/05/2009 0 114.361037 0 86 11/05/2009 -0.03604213 110.312617 94.6 87 12/05/2009 -0.01851626 108.288834 47.29 88 13/05/2009 0.01851626 110.312617 0
89 14/05/2009 -0.0469559 105.252519 118.24 1 90 15/05/2009 0.01904935 107.276729 0
91 18/05/2009 -0.02871185 104.240414 70.95 92 19/05/2009 0.07480184 112.336827 0 93 20/05/2009 0.0178587 114.361037 0 94 22/05/2009 -0.00888948 113.348932 23.65 95 25/05/2009 0 113.348932 0 96 26/05/2009 -0.0180196 111.324722 47.3 97 27/05/2009 0.06858018 119.227273 0 98 28/05/2009 -0.00881114 118.181360 24.44 99 29/05/2009 0.05173516 124.456412 0 100 01/06/2009 0.09607294 137.006516 0 101 02/06/2009 0 137.006516 0 102 03/06/2009 0.00760505 138.052429 0 103 04/06/2009 0.02247416 141.190169 0 104 05/06/2009 0.05757021 149.557048 0 105 08/06/2009 -0.03559302 144.327482 122.2 106 09/06/2009 0.0494801 151.648447 0
107 10/06/2009 -0.04225942 145.373395 146.63 1 108 11/06/2009 -0.01449387 143.281568 48.88
109 12/06/2009 -0.03717817 138.052429 122.19 110 15/06/2009 -0.00760505 137.006516 24.44 111 16/06/2009 -0.02316525 133.869204 73.31 112 17/06/2009 -0.00784363 132.823291 24.44
113 18/06/2009 -0.05669532 125.502325 171.07 1 114 19/06/2009 0.07232153 134.915117 0
130 14/07/2009 0.02298772 138.052429 0 131 15/07/2009 0 138.052429 0 132 16/07/2009 0.02247416 141.190169 0 133 17/07/2009 0 141.190169 0 134 21/07/2009 0.05055224 148.511135 0 135 22/07/2009 0.00701798 149.557048 0 136 23/07/2009 0 149.557048 0 137 24/07/2009 0.02076036 152.694360 0 138 27/07/2009 -0.01379414 150.602534 48.88 139 28/07/2009 0.02062051 153.740274 0 140 29/07/2009 0.00678008 154.786187 0 141 30/07/2009 0.05903425 164.198979 0 142 31/07/2009 0.06174654 174.657257 0 143 03/08/2009 0.01780566 177.794997 0 144 04/08/2009 -0.00590006 176.749083 24.44
145 05/08/2009 -0.05472561 167.336291 219.95 1 146 06/08/2009 -0.01257953 165.244464 48.88
265 04/02/2010 -0.01075244 194.292097 49.08
266 05/02/2010 -0.0442069 185.890126 196.33 1 267 08/02/2010 -0.02285739 181.689355 98.16
310 13/04/2010 -0.00947843 220.547774 49.08 311 14/04/2010 0 220.547774 0 312 15/04/2010 0 220.547774 0 313 16/04/2010 -0.02898856 214.246189 147.25 314 19/04/2010 0 214.246189 0 315 20/04/2010 0.01941747 218.446960 0 316 21/04/2010 0.02843896 224.748545 0 317 22/04/2010 0 224.748545 0 318 23/04/2010 -0.00938943 222.648160 49.08 319 26/04/2010 -0.00947843 220.547774 49.08 320 27/04/2010 0.00947843 222.648160 0 321 28/04/2010 0 222.648160 0 322 29/04/2010 0.04608964 233.150088 0 323 30/04/2010 0.0440604 243.652445 0 324 03/05/2010 -0.00865779 241.552059 49.08 325 04/05/2010 -0.0087334 239.451673 49.08
326 05/05/2010 -0.07275885 222.648160 392.65 1 327 06/05/2010 0 222.648160 0
328 07/05/2010 -0.02871113 216.346575 147.25 329 10/05/2010 0.05661902 228.949317 0
330 11/05/2010 -0.04695741 218.446960 245.41 1 331 12/05/2010 0.01904953 222.648160 0
332 14/05/2010 0.01869153 226.848931 0 333 17/05/2010 0 226.848931 0 334 18/05/2010 0.02739811 233.150088 0
335 19/05/2010 -0.05556807 220.547774 294.48 1 336 20/05/2010 -0.00957109 218.446960 49.09
337 21/05/2010 -0.03921946 210.045418 196.32 338 24/05/2010 0 210.045418 0 339 25/05/2010 -0.0304603 203.743833 147.25 340 26/05/2010 0.05026229 214.246189 0 341 27/05/2010 -0.00985198 212.145803 49.08 342 31/05/2010 0.05770841 224.748545 0 343 01/06/2010 -0.03810057 216.346575 196.33 344 02/06/2010 0.0192327 220.547774 0 345 03/06/2010 0.03738632 228.949317 0 346 04/06/2010 0.01818175 233.150088 0
347 07/06/2010 -0.04608964 222.648160 245.4 1 348 08/06/2010 0.01869153 226.848931 0
400 20/08/2010 -0.0082988 256.770868 50 401 23/08/2010 0.0082988 258.910626 0 402 24/08/2010 0 258.910626 0 403 25/08/2010 -0.0082988 256.770868 50 404 26/08/2010 0 256.770868 0 405 27/08/2010 -0.01680712 252.491354 100 406 30/08/2010 -0.01709443 248.211839 100 407 31/08/2010 0.01709443 252.491354 0 408 01/09/2010 0.01680712 256.770868 0 409 02/09/2010 -0.01680712 252.491354 100 410 03/09/2010 0.02510592 258.910626 0 411 06/09/2010 0.02449102 265.329897 0 412 07/09/2010 0.01600034 269.609412 0 413 15/09/2010 0.06899287 288.867227 0 414 16/09/2010 -0.01492565 284.587713 100 415 17/09/2010 0.03690456 295.286499 0
416 20/09/2010 -0.04445176 282.447955 300 1 417 21/09/2010 -0.03861484 271.749169 250
418 22/09/2010 -0.01587335 267.469655 100 419 23/09/2010 0.00796817 269.609412 0 420 24/09/2010 0.04652002 282.447955 0 421 27/09/2010 0.00754721 284.587713 0 422 28/09/2010 0.01492565 288.867227 0 423 29/09/2010 0.03636764 299.566013 0 424 30/09/2010 0.02817088 308.125042 0
425 01/10/2010 -0.04983237 293.146741 350 1 426 04/10/2010 0.0216615 299.566013 0
427 05/10/2010 -0.00716849 297.426256 50 428 06/10/2010 0.00716849 299.566013 0 429 07/10/2010 0 299.566013 0
430 08/10/2010 -0.04380262 286.727470 300 1 431 11/10/2010 0.01481509 291.006984 0
445 29/10/2010 0.00716849 299.566013 0 446 01/11/2010 0.01418463 303.845528 0 447 02/11/2010 -0.00706717 301.705770 50 448 03/11/2010 -0.00711747 299.566013 50 449 04/11/2010 0.01418463 303.845528 0 450 05/11/2010 0.01398624 308.125042 0 451 08/11/2010 -0.00696867 305.985285 50 452 09/11/2010 0 305.985285 0 453 10/11/2010 0 305.985285 0 454 11/11/2010 -0.00701757 303.845528 50 455 12/11/2010 -0.02857337 295.286499 200 456 15/11/2010 0.00722025 297.426256 0 457 16/11/2010 0.01428596 301.705770 0 458 18/11/2010 -0.00711747 299.566013 50 459 19/11/2010 0.01418463 303.845528 0 460 22/11/2010 0.02090668 310.264799 0 461 23/11/2010 -0.03509132 299.566013 250 462 24/11/2010 -0.01438874 295.286499 100 463 25/11/2010 0.00722025 297.426256 0 464 26/11/2010 -0.02919915 288.867227 200 465 29/11/2010 0.00738011 291.006984 0
466 30/11/2010 -0.06062462 273.888926 400 1 467 01/12/2010 0.04580954 286.727470 0
490 06/01/2011 -0.02214113 286.727470 150
491 07/01/2011 -0.04580954 273.888926 300 1 492 10/01/2011 -0.06453852 256.770868 400 1 493 11/01/2011 -0.03390155 248.211839 200
494 12/01/2011 0.01709443 252.491354 0 495 13/01/2011 -0.00851069 250.351597 50 496 14/01/2011 -0.01724181 246.072082 100 497 17/01/2011 -0.01754431 241.792568 100 498 18/01/2011 -0.00888895 239.652811 50 499 19/01/2011 0.02643326 246.072082 0 500 20/01/2011 0.00865806 248.211839 0 501 21/01/2011 -0.03509132 239.652811 200 502 24/01/2011 -0.01801851 235.373296 100 503 25/01/2011 0.02690745 241.792568 0 504 26/01/2011 0.05173567 254.631111 0 505 27/01/2011 0.00836825 256.770868 0 506 28/01/2011 0.0082988 258.910626 0 507 31/01/2011 -0.01666705 254.631111 100 508 01/02/2011 0.02489755 261.050383 0 509 02/02/2011 0 261.050383 0 510 04/02/2011 -0.02489755 254.631111 150 511 07/02/2011 0.00836825 256.770868 0 512 08/02/2011 -0.00836825 254.631111 50
513 09/02/2011 -0.04292504 243.932325 250 1 514 10/02/2011 -0.01769958 239.652811 100
625 22/07/2011 0.00660068 325.243100 0 626 25/07/2011 0.01307208 329.522614 0 627 26/07/2011 0.0192932 335.941886 0 628 27/07/2011 0.02515856 344.500915 0 629 28/07/2011 -0.01880933 338.081643 150 630 29/07/2011 -0.00634923 335.941886 50 631 01/08/2011 0.02515856 344.500915 0 632 02/08/2011 -0.01880933 338.081643 150 633 03/08/2011 -0.03215711 327.382857 250 634 04/08/2011 0.00651468 329.522614 0
635 05/08/2011 -0.04652002 314.544314 350 1 636 08/08/2011 0 314.544314 0
637 09/08/2011 -0.02061929 308.125042 150 638 10/08/2011 0.04082199 320.963586 0 639 11/08/2011 -0.02702867 312.404557 200 640 12/08/2011 -0.01379332 308.125042 100 641 15/08/2011 0.01379332 312.404557 0 642 16/08/2011 -0.00687288 310.264799 50 643 18/08/2011 0.01369884 314.544314 0
644 19/08/2011 -0.05595865 297.426256 400 1 645 22/08/2011 -0.02181905 291.006984 150
646 23/08/2011 0.0145988 295.286499 0 647 24/08/2011 -0.00727276 293.146741 50 648 25/08/2011 0.00727276 295.286499 0 649 26/08/2011 -0.00727276 293.146741 50 650 05/09/2011 0 293.146741 0 651 06/09/2011 -0.00732604 291.006984 50 652 07/09/2011 0.04317217 303.845528 0 653 08/09/2011 0.01398624 308.125042 0 654 09/09/2011 0 308.125042 0
655 12/09/2011 -0.04255961 295.286499 300 1 656 13/09/2011 -0.00727276 293.146741 50
657 14/09/2011 -0.06016852 276.028684 400 1 658 15/09/2011 -0.01562532 271.749169 100
659 16/09/2011 0.04616204 284.587713 0
660 19/09/2011 -0.04616204 271.749169 300 1 661 20/09/2011 -0.00790518 269.609412 50
662 21/09/2011 -0.01600034 265.329897 100
663 22/09/2011 -0.15684247 226.814267 900 1 664 23/09/2011 0.05505978 239.652811 0
670 03/10/2011 -0.09134978 246.072082 550 1 671 04/10/2011 -0.03540193 237.513053 200
672 05/10/2011 0.01785762 241.792568 0 673 06/10/2011 0.06840273 258.910626 0 674 07/10/2011 -0.0082988 256.770868 50 675 10/10/2011 0.04082199 267.469655 0 676 11/10/2011 0.03149867 276.028684 0 677 12/10/2011 0.03053672 284.587713 0 678 13/10/2011 0 284.587713 0 679 14/10/2011 -0.00754721 282.447955 50 680 17/10/2011 0.02247286 288.867227 0
681 18/10/2011 -0.05324451 273.888926 350 1 682 19/10/2011 0.03077166 282.447955 0
683 20/10/2011 -0.03077166 273.888926 200 684 21/10/2011 0.00778214 276.028684 0 685 24/10/2011 0.06744128 295.286499 0 686 25/10/2011 -0.0145988 291.006984 100 687 26/10/2011 0.00732604 293.146741 0 688 27/10/2011 0.0428637 305.985285 0 689 28/10/2011 0.00696867 308.125042 0 690 31/10/2011 -0.00696867 305.985285 50
691 01/11/2011 -0.05018974 291.006984 350 1 692 02/11/2011 0.04317217 303.845528 0
715 05/12/2011 0 286.727470 0 716 06/12/2011 -0.01503788 282.447955 100 717 07/12/2011 0.01503788 286.727470 0 718 08/12/2011 -0.00749067 284.587713 50 719 09/12/2011 -0.00754721 282.447955 50 720 12/12/2011 0 282.447955 0 721 13/12/2011 -0.01526747 278.168441 100 722 14/12/2011 -0.00772205 276.028684 50 723 15/12/2011 0 276.028684 0 724 16/12/2011 0.0380274 286.727470 0 725 19/12/2011 0.01481509 291.006984 0 726 20/12/2011 0.00732604 293.146741 0 727 21/12/2011 0 293.146741 0 728 22/12/2011 -0.01470615 288.867227 100 729 23/12/2011 0.00738011 291.006984 0 730 27/12/2011 -0.00738011 288.867227 50 731 28/12/2011 -0.02247286 282.447955 150 732 29/12/2011 0.01503788 286.727470 0 733 30/12/2011 0.00743498 288.867227 0 734 02/01/2012 -0.00743498 286.727470 50 735 03/01/2012 0.01481509 291.006984 0 736 04/01/2012 0.00732604 293.146741 0 737 05/01/2012 -0.01470615 288.867227 100 738 06/01/2012 -0.00743498 286.727470 50 739 09/01/2012 0 286.727470 0 740 10/01/2012 0.02214113 293.146741 0 741 11/01/2012 0 293.146741 0 742 12/01/2012 -0.00732604 291.006984 50 743 13/01/2012 0.00732604 293.146741 0 744 16/01/2012 -0.02214113 286.727470 150 745 17/01/2012 0.01481509 291.006984 0 746 18/01/2012 0.02181905 297.426256 0 747 19/01/2012 0.02135312 303.845528 0 748 20/01/2012 -0.00706717 301.705770 50 749 24/01/2012 0 301.705770 0 750 25/01/2012 -0.01428596 297.426256 100 751 26/01/2012 0 297.426256 0 752 27/01/2012 -0.01449301 293.146741 100 753 30/01/2012 -0.0296318 284.587713 200
Lampiran 9
Tabel backtesting dengan EWMA
BBNI
No Tanggal Return VaR Actual
Loss Overshoot 753 30/01/2012 -0.0204785 83.287822 75
752 27/01/2012 0.0067797 82.754166 0 751 26/01/2012 -0.0067797 83.842319 25 750 25/01/2012 0.0000000 86.123976 0 749 24/01/2012 0.0067797 88.361335 0 748 20/01/2012 -0.0067797 89.587412 25 747 19/01/2012 -0.0067340 92.089456 25 746 18/01/2012 0.0067340 94.681918 0 745 17/01/2012 0.0000000 96.063421 0 744 16/01/2012 -0.0067340 98.558990 25 743 13/01/2012 0.0067340 101.393256 0 742 12/01/2012 -0.0067340 102.931221 25 741 11/01/2012 -0.0066890 105.926835 25 740 10/01/2012 0.0066890 109.027231 0 739 09/01/2012 -0.0133335 110.743910 50 738 06/01/2012 -0.0196728 113.682288 75 737 05/01/2012 -0.0192932 115.721226 75 736 04/01/2012 0.0063898 117.867207 0 735 03/01/2012 0.0194181 119.816842 0 734 02/01/2012 0.0065574 117.502037 0 733 30/12/2011 -0.0130721 119.423431 50 732 29/12/2011 0.0065147 122.781957 0 731 28/12/2011 -0.0065147 124.825252 25 730 27/12/2011 -0.0192932 128.582066 75 729 23/12/2011 0.0192932 131.643842 0 728 22/12/2011 -0.0064725 129.700909 25 727 21/12/2011 -0.0064309 133.623602 25 726 20/12/2011 0.0064309 137.677736 0 725 19/12/2011 -0.0064309 140.056127 25 724 16/12/2011 0.0325762 144.333829 0 723 15/12/2011 -0.0196728 136.184766 75 722 14/12/2011 0.0065147 139.812261 0
721 13/12/2011 -0.0384663 142.224602 150 1 720 12/12/2011 0.0126584 141.083097 0
710 28/11/2011 0.0136057 149.836790 0 709 25/11/2011 -0.0136057 150.573120 50 708 24/11/2011 0.0136057 155.527645 0 707 23/11/2011 -0.0203397 156.372653 75 706 22
