Lampiran
Lampiran 1
Model GARCH Indeks Harga Saham Gabungan GARCH (1,0)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/06/14 Time: 12:12
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 28 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.086003 0.069119 1.244275 0.2134
BIRATE -0.009611 0.008849 -1.086069 0.2774
Variance Equation
C 0.001201 0.005723 0.209896 0.8337
GARCH(-1) 0.775965 1.083006 0.716492 0.4737
R-squared 0.030180 Mean dependent var 0.015622 Adjusted R-squared -0.013245 S.D. dependent var 0.073930 S.E. of regression 0.074418 Akaike info criterion -2.310063 Sum squared resid 0.371049 Schwarz criterion -2.182588 Log likelihood 86.00725 Hannan-Quinn criter. -2.259371 F-statistic 0.695000 Durbin-Watson stat 1.512131 Prob(F-statistic) 0.558331
GARCH (1,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/06/14 Time: 12:14
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 50 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
BIRATE 0.001241 0.007504 0.165332 0.8687
Variance Equation
C 0.002544 0.001496 1.701171 0.0889
RESID(-1)^2 0.548411 0.204498 2.681739 0.0073 GARCH(-1) 0.021620 0.328406 0.065833 0.9475
R-squared -0.008494 Mean dependent var 0.015622 Adjusted R-squared -0.069615 S.D. dependent var 0.073930 S.E. of regression 0.076460 Akaike info criterion -2.461484 Sum squared resid 0.385846 Schwarz criterion -2.302141 Log likelihood 92.38269 Hannan-Quinn criter. -2.398118 Durbin-Watson stat 1.456703
GARCH (1,2)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/06/14 Time: 12:15
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 29 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.006232 0.053972 0.115464 0.9081
BIRATE 0.001707 0.007452 0.229130 0.8188
Variance Equation
C 0.000584 0.001527 0.382260 0.7023
RESID(-1)^2 0.510401 0.194164 2.628714 0.0086 RESID(-2)^2 -0.367607 0.404342 -0.909151 0.3633 GARCH(-1) 0.758176 0.633097 1.197568 0.2311
GARCH (2,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/06/14 Time: 12:16
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 43 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 0.010826 0.052230 0.207276 0.8358
BIRATE 0.000982 0.007258 0.135231 0.8924
Variance Equation
C 0.002271 0.001439 1.578645 0.1144
RESID(-1)^2 0.539207 0.196848 2.739201 0.0062 GARCH(-1) -0.005104 0.354046 -0.014417 0.9885 GARCH(-2) 0.084587 0.203010 0.416667 0.6769
R-squared -0.006597 Mean dependent var 0.015622 Adjusted R-squared -0.084028 S.D. dependent var 0.073930 S.E. of regression 0.076974 Akaike info criterion -2.435691 Sum squared resid 0.385120 Schwarz criterion -2.244478 Log likelihood 92.46702 Hannan-Quinn criter. -2.359652 Durbin-Watson stat 1.459370
Model GARCH Saham Sektor Aneka Industri GARCH(1,0)
Dependent Variable: ANEKAINDUSTRI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:29
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 16 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
BIRATE -0.009625 0.011835 -0.813285 0.4161
Variance Equation
C 0.002065 0.006466 0.319377 0.7494
GARCH(-1) 0.803196 0.642037 1.251013 0.2109
R-squared 0.013691 Mean dependent var 0.028048 Adjusted R-squared -0.030472 S.D. dependent var 0.102021 S.E. of regression 0.103564 Akaike info criterion -1.655629 Sum squared resid 0.718611 Schwarz criterion -1.528154 Log likelihood 62.77481 Hannan-Quinn criter. -1.604936 F-statistic 0.310006 Durbin-Watson stat 1.854384 Prob(F-statistic) 0.818070
GARCH(1,1)
Dependent Variable: ANEKAINDUSTRI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:30
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 106 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.011337 0.066575 0.170288 0.8648
BIRATE 0.002211 0.009031 0.244806 0.8066
Variance Equation
C 0.005971 0.003788 1.576458 0.1149
RESID(-1)^2 0.546283 0.221401 2.467392 0.0136 GARCH(-1) -0.058161 0.392222 -0.148286 0.8821
R-squared -0.006587 Mean dependent var 0.028048 Adjusted R-squared -0.067592 S.D. dependent var 0.102021 S.E. of regression 0.105413 Akaike info criterion -1.741102 Sum squared resid 0.733385 Schwarz criterion -1.581758 Log likelihood 66.80912 Hannan-Quinn criter. -1.677736 Durbin-Watson stat 1.818428
Dependent Variable: ANEKAINDUSTRI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:31
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 21 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.096869 0.085519 1.132724 0.2573
BIRATE -0.009774 0.011691 -0.836035 0.4031
Variance Equation
C 0.005444 0.003080 1.767407 0.0772
RESID(-1)^2 0.226526 0.144371 1.569050 0.1166 RESID(-2)^2 -0.132073 0.104976 -1.258125 0.2083 GARCH(-1) 0.330820 0.468976 0.705409 0.4806
R-squared 0.013623 Mean dependent var 0.028048 Adjusted R-squared -0.062252 S.D. dependent var 0.102021 S.E. of regression 0.105149 Akaike info criterion -1.674651 Sum squared resid 0.718660 Schwarz criterion -1.483439 Log likelihood 65.45011 Hannan-Quinn criter. -1.598612 F-statistic 0.179549 Durbin-Watson stat 1.854244 Prob(F-statistic) 0.969349
GARCH(2,1)
Dependent Variable: ANEKAINDUSTRI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:31
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Failure to improve Likelihood after 155 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 0.043940 0.061028 0.719994 0.4715
Variance Equation
C 0.005385 0.007559 0.712431 0.4762
RESID(-1)^2 0.477610 0.208001 2.296192 0.0217 GARCH(-1) -0.127684 0.467547 -0.273094 0.7848 GARCH(-2) 0.167995 0.491067 0.342103 0.7323
R-squared 0.003385 Mean dependent var 0.028048 Adjusted R-squared -0.073278 S.D. dependent var 0.102021 S.E. of regression 0.105693 Akaike info criterion -1.727455 Sum squared resid 0.726120 Schwarz criterion -1.536243 Log likelihood 67.32467 Hannan-Quinn criter. -1.651416 F-statistic 0.044152 Durbin-Watson stat 1.835886 Prob(F-statistic) 0.998816
Model GARCH Saham Sektor Industri Dasar GARCH(1,0)
Dependent Variable: INDUSTRIDASAR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:22
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 23 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.090212 0.074194 1.215893 0.2240
BIRATE -0.009306 0.009280 -1.002905 0.3159
Variance Equation
C 0.002032 0.009082 0.223690 0.8230
GARCH(-1) 0.732421 1.210880 0.604867 0.5453
R-squared 0.019491 Mean dependent var 0.022214 Adjusted R-squared -0.024412 S.D. dependent var 0.087653 S.E. of regression 0.088717 Akaike info criterion -1.958802 Sum squared resid 0.527337 Schwarz criterion -1.831327 Log likelihood 73.53748 Hannan-Quinn criter. -1.908109 F-statistic 0.443963 Durbin-Watson stat 1.773638 Prob(F-statistic) 0.722356
Dependent Variable: INDUSTRIDASAR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:23
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 26 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.022202 0.074498 0.298022 0.7657
BIRATE 0.000968 0.010246 0.094515 0.9247
Variance Equation
C 0.002014 0.002048 0.983382 0.3254
RESID(-1)^2 0.516785 0.247181 2.090710 0.0366 GARCH(-1) 0.274296 0.385052 0.712362 0.4762
R-squared -0.010135 Mean dependent var 0.022214 Adjusted R-squared -0.071355 S.D. dependent var 0.087653 S.E. of regression 0.090727 Akaike info criterion -2.078132 Sum squared resid 0.543270 Schwarz criterion -1.918788 Log likelihood 78.77367 Hannan-Quinn criter. -2.014766 Durbin-Watson stat 1.719314
GARCH(1,2)
Dependent Variable: INDUSTRIDASAR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:24
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 31 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.023218 0.073335 0.316606 0.7515
BIRATE 0.000741 0.010111 0.073249 0.9416
C 0.001209 0.002102 0.575056 0.5653 RESID(-1)^2 0.463959 0.243495 1.905416 0.0567 RESID(-2)^2 -0.146170 0.502475 -0.290900 0.7711 GARCH(-1) 0.548641 0.687880 0.797583 0.4251
R-squared -0.008133 Mean dependent var 0.022214 Adjusted R-squared -0.085682 S.D. dependent var 0.087653 S.E. of regression 0.091332 Akaike info criterion -2.051361 Sum squared resid 0.542194 Schwarz criterion -1.860149 Log likelihood 78.82332 Hannan-Quinn criter. -1.975322 Durbin-Watson stat 1.722769
GARCH(2,1)
Dependent Variable: INDUSTRIDASAR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:25
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 31 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 0.022197 0.075061 0.295719 0.7674
BIRATE 0.000972 0.010370 0.093746 0.9253
Variance Equation
C 0.002032 0.002054 0.989526 0.3224
RESID(-1)^2 0.519541 0.251624 2.064756 0.0389 GARCH(-1) 0.274882 0.539695 0.509328 0.6105 GARCH(-2) -0.004716 0.326579 -0.014442 0.9885
R-squared -0.010189 Mean dependent var 0.022214 Adjusted R-squared -0.087896 S.D. dependent var 0.087653 S.E. of regression 0.091425 Akaike info criterion -2.049970 Sum squared resid 0.543300 Schwarz criterion -1.858757 Log likelihood 78.77392 Hannan-Quinn criter. -1.973931 Durbin-Watson stat 1.719220
Dependent Variable: INFRASTRUKTUR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/28/14 Time: 01:08
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 42 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
GARCH -35.25713 444.0695 -0.079396 0.9367 C 0.258533 2.092210 0.123569 0.9017 BIRATE -0.012276 0.009548 -1.285717 0.1985
Variance Equation
C 0.000617 0.002162 0.285511 0.7753 GARCH(-1) 0.869431 0.457924 1.898634 0.0576
R-squared 0.043498 Mean dependent var 0.005908 Adjusted R-squared -0.014472 S.D. dependent var 0.067316 S.E. of regression 0.067801 Akaike info criterion -2.472325 Sum squared resid 0.303399 Schwarz criterion -2.312981 Log likelihood 92.76753 Hannan-Quinn criter. -2.408959 F-statistic 0.750354 Durbin-Watson stat 1.888190 Prob(F-statistic) 0.561321
GARCH(1,1)
Dependent Variable: INFRASTRUKTUR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:36
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 88 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.064273 0.049601 1.295802 0.1950
BIRATE -0.008480 0.006993 -1.212645 0.2253
Variance Equation
C 0.000442 0.000546 0.808780 0.4186
RESID(-1)^2 0.164320 0.094097 1.746282 0.0808 GARCH(-1) 0.739395 0.169941 4.350882 0.0000
Adjusted R-squared -0.032835 S.D. dependent var 0.067316 S.E. of regression 0.068412 Akaike info criterion -2.548361 Sum squared resid 0.308891 Schwarz criterion -2.389017 Log likelihood 95.46680 Hannan-Quinn criter. -2.484995 F-statistic 0.443653 Durbin-Watson stat 1.854585 Prob(F-statistic) 0.776605
GARCH(1,2)
Dependent Variable: INFRASTRUKTUR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:37
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 33 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.116569 0.050381 2.313735 0.0207
BIRATE -0.015026 0.006127 -2.452488 0.0142
Variance Equation
C 0.009010 0.001106 8.142774 0.0000
RESID(-1)^2 0.060410 0.063636 0.949306 0.3425 RESID(-2)^2 0.010051 0.077979 0.128890 0.8974 GARCH(-1) -1.074862 0.057262 -18.77084 0.0000
R-squared 0.018215 Mean dependent var 0.005908 Adjusted R-squared -0.057307 S.D. dependent var 0.067316 S.E. of regression 0.069218 Akaike info criterion -2.645853 Sum squared resid 0.311419 Schwarz criterion -2.454641 Log likelihood 99.92780 Hannan-Quinn criter. -2.569814 F-statistic 0.241184 Durbin-Watson stat 1.837931 Prob(F-statistic) 0.942734
GARCH(2,1)
Dependent Variable: INFRASTRUKTUR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:40
Included observations: 71 after adjustments Convergence achieved after 62 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 0.049084 0.047286 1.038031 0.2993
BIRATE -0.006192 0.006647 -0.931458 0.3516
Variance Equation
C 0.000757 0.000945 0.801017 0.4231
RESID(-1)^2 0.278779 0.102748 2.713219 0.0067 GARCH(-1) -0.021224 0.196874 -0.107807 0.9141 GARCH(-2) 0.574198 0.253872 2.261760 0.0237
R-squared 0.023959 Mean dependent var 0.005908 Adjusted R-squared -0.051121 S.D. dependent var 0.067316 S.E. of regression 0.069015 Akaike info criterion -2.558217 Sum squared resid 0.309597 Schwarz criterion -2.367005 Log likelihood 96.81670 Hannan-Quinn criter. -2.482178 F-statistic 0.319117 Durbin-Watson stat 1.851067 Prob(F-statistic) 0.899758
Model GARCH Saham Sektor Keuangan GARCH(1,0)
Dependent Variable: KEUANGAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:41
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 17 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.078259 0.065818 1.189022 0.2344
BIRATE -0.008421 0.008244 -1.021523 0.3070
Variance Equation
C 0.001046 0.005479 0.190950 0.8486
R-squared 0.016922 Mean dependent var 0.017305 Adjusted R-squared -0.027097 S.D. dependent var 0.078511 S.E. of regression 0.079568 Akaike info criterion -2.176020 Sum squared resid 0.424179 Schwarz criterion -2.048545 Log likelihood 81.24871 Hannan-Quinn criter. -2.125327 F-statistic 0.384424 Durbin-Watson stat 1.854286 Prob(F-statistic) 0.764555
GARCH(1,1)
Dependent Variable: KEUANGAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:41
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 35 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.011855 0.055148 0.214969 0.8298
BIRATE 0.000979 0.007677 0.127540 0.8985
Variance Equation
C 0.001863 0.001928 0.966656 0.3337
RESID(-1)^2 0.369742 0.188938 1.956952 0.0504 GARCH(-1) 0.335868 0.487351 0.689172 0.4907
R-squared -0.004375 Mean dependent var 0.017305 Adjusted R-squared -0.065246 S.D. dependent var 0.078511 S.E. of regression 0.081032 Akaike info criterion -2.251892 Sum squared resid 0.433368 Schwarz criterion -2.092548 Log likelihood 84.94216 Hannan-Quinn criter. -2.188526 Durbin-Watson stat 1.816130
GARCH(1,2)
Dependent Variable: KEUANGAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:42
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.011359 0.055404 0.205021 0.8376
BIRATE 0.001057 0.007724 0.136798 0.8912
Variance Equation
C 0.001954 0.004678 0.417695 0.6762
RESID(-1)^2 0.372164 0.202493 1.837906 0.0661 RESID(-2)^2 0.016976 0.724542 0.023430 0.9813 GARCH(-1) 0.303108 1.498410 0.202287 0.8397
R-squared -0.004739 Mean dependent var 0.017305 Adjusted R-squared -0.082026 S.D. dependent var 0.078511 S.E. of regression 0.081668 Akaike info criterion -2.223761 Sum squared resid 0.433525 Schwarz criterion -2.032549 Log likelihood 84.94352 Hannan-Quinn criter. -2.147722 Durbin-Watson stat 1.815486
GARCH(2,1)
Dependent Variable: KEUANGAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:42
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 37 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 0.011384 0.055387 0.205538 0.8372
BIRATE 0.001053 0.007722 0.136369 0.8915
Variance Equation
C 0.001870 0.001975 0.946861 0.3437
R-squared -0.004723 Mean dependent var 0.017305 Adjusted R-squared -0.082010 S.D. dependent var 0.078511 S.E. of regression 0.081667 Akaike info criterion -2.223766 Sum squared resid 0.433518 Schwarz criterion -2.032554 Log likelihood 84.94370 Hannan-Quinn criter. -2.147727 Durbin-Watson stat 1.815513
Model GARCH Saham Sektor Konsumsi GARCH(1,0)
Dependent Variable: KONSUMSI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:43
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 20 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.105356 0.052859 1.993148 0.0462
BIRATE -0.011585 0.007221 -1.604393 0.1086
Variance Equation
C 0.000326 0.000405 0.806309 0.4201
GARCH(-1) 0.907008 0.130775 6.935614 0.0000
R-squared 0.057707 Mean dependent var 0.021403 Adjusted R-squared 0.015515 S.D. dependent var 0.058264 S.E. of regression 0.057810 Akaike info criterion -2.850576 Sum squared resid 0.223912 Schwarz criterion -2.723101 Log likelihood 105.1955 Hannan-Quinn criter. -2.799884 F-statistic 1.367719 Durbin-Watson stat 1.641337 Prob(F-statistic) 0.260192
GARCH(1,1)
Dependent Variable: KONSUMSI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:44
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.103879 0.050229 2.068106 0.0386
BIRATE -0.012011 0.006939 -1.731050 0.0834
Variance Equation
C 0.001337 0.001623 0.824190 0.4098
RESID(-1)^2 0.166347 0.141323 1.177067 0.2392 GARCH(-1) 0.412978 0.603527 0.684274 0.4938
R-squared 0.053782 Mean dependent var 0.021403 Adjusted R-squared -0.003564 S.D. dependent var 0.058264 S.E. of regression 0.058367 Akaike info criterion -2.838256 Sum squared resid 0.224845 Schwarz criterion -2.678913 Log likelihood 105.7581 Hannan-Quinn criter. -2.774891 F-statistic 0.937846 Durbin-Watson stat 1.634441 Prob(F-statistic) 0.447652
GARCH(1,2)
Dependent Variable: KONSUMSI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:44
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 26 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.094314 0.052448 1.798248 0.0721
BIRATE -0.010539 0.007264 -1.450889 0.1468
Variance Equation
C 0.000258 0.000368 0.702654 0.4823
RESID(-1)^2 0.204207 0.165867 1.231150 0.2183 RESID(-2)^2 -0.181715 0.171298 -1.060813 0.2888 GARCH(-1) 0.905860 0.173493 5.221318 0.0000
Adjusted R-squared -0.017984 S.D. dependent var 0.058264 S.E. of regression 0.058785 Akaike info criterion -2.823170 Sum squared resid 0.224620 Schwarz criterion -2.631957 Log likelihood 106.2225 Hannan-Quinn criter. -2.747131 F-statistic 0.752673 Durbin-Watson stat 1.636399 Prob(F-statistic) 0.587165
GARCH(2,1)
Dependent Variable: KONSUMSI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:45
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 158 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 0.096919 0.038718 2.503209 0.0123
BIRATE -0.009711 0.005110 -1.900383 0.0574
Variance Equation
C 0.002528 0.000480 5.267988 0.0000
RESID(-1)^2 0.086248 0.068092 1.266635 0.2053 GARCH(-1) 1.007144 0.120773 8.339150 0.0000 GARCH(-2) -0.910742 0.076363 -11.92650 0.0000
R-squared 0.045630 Mean dependent var 0.021403 Adjusted R-squared -0.027784 S.D. dependent var 0.058264 S.E. of regression 0.059067 Akaike info criterion -2.875107 Sum squared resid 0.226782 Schwarz criterion -2.683895 Log likelihood 108.0663 Hannan-Quinn criter. -2.799068 F-statistic 0.621546 Durbin-Watson stat 1.620994 Prob(F-statistic) 0.683819
Model GARCH Saham Sektor Manufaktur GARCH(1,0)
Dependent Variable: MANUFAKTUR
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 20 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.098637 0.070551 1.398107 0.1621
BIRATE -0.010414 0.009219 -1.129701 0.2586
Variance Equation
C 0.001027 0.003538 0.290250 0.7716
GARCH(-1) 0.802071 0.701758 1.142946 0.2531
R-squared 0.033814 Mean dependent var 0.022731 Adjusted R-squared -0.009448 S.D. dependent var 0.072436 S.E. of regression 0.072777 Akaike info criterion -2.362966 Sum squared resid 0.354869 Schwarz criterion -2.235491 Log likelihood 87.88531 Hannan-Quinn criter. -2.312274 F-statistic 0.781605 Durbin-Watson stat 1.629380 Prob(F-statistic) 0.508365
GARCH(1,1)
Dependent Variable: MANUFAKTUR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:47
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 41 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.045745 0.059722 0.765963 0.4437
BIRATE -0.002768 0.008336 -0.332010 0.7399
Variance Equation
C 0.002264 0.001304 1.736358 0.0825
RESID(-1)^2 0.533794 0.210543 2.535325 0.0112 GARCH(-1) 0.100982 0.246956 0.408905 0.6826
Adjusted R-squared -0.047324 S.D. dependent var 0.072436 S.E. of regression 0.074130 Akaike info criterion -2.436287 Sum squared resid 0.362689 Schwarz criterion -2.276943 Log likelihood 91.48819 Hannan-Quinn criter. -2.372921 F-statistic 0.209244 Durbin-Watson stat 1.594501 Prob(F-statistic) 0.932425
GARCH(1,2)
Dependent Variable: MANUFAKTUR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:48
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 43 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.044711 0.054820 0.815601 0.4147
BIRATE -0.002565 0.007534 -0.340393 0.7336
Variance Equation
C 0.000721 0.002633 0.273999 0.7841
RESID(-1)^2 0.538192 0.219900 2.447440 0.0144 RESID(-2)^2 -0.428714 0.512920 -0.835831 0.4033 GARCH(-1) 0.774025 0.876579 0.883007 0.3772
R-squared 0.011048 Mean dependent var 0.022731 Adjusted R-squared -0.065025 S.D. dependent var 0.072436 S.E. of regression 0.074754 Akaike info criterion -2.413964 Sum squared resid 0.363230 Schwarz criterion -2.222751 Log likelihood 91.69571 Hannan-Quinn criter. -2.337925 F-statistic 0.145235 Durbin-Watson stat 1.592140 Prob(F-statistic) 0.980780
GARCH(2,1)
Dependent Variable: MANUFAKTUR
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:48
Included observations: 71 after adjustments Failure to improve Likelihood after 27 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 0.053366 0.051474 1.036748 0.2999
BIRATE -0.003726 0.007225 -0.515752 0.6060
Variance Equation
C 0.002174 0.001263 1.720645 0.0853
RESID(-1)^2 0.590881 0.234154 2.523470 0.0116 GARCH(-1) 0.146032 0.253577 0.575887 0.5647 GARCH(-2) -0.080782 0.230755 -0.350075 0.7263
R-squared 0.015612 Mean dependent var 0.022731 Adjusted R-squared -0.060110 S.D. dependent var 0.072436 S.E. of regression 0.074581 Akaike info criterion -2.447420 Sum squared resid 0.361554 Schwarz criterion -2.256208 Log likelihood 92.88342 Hannan-Quinn criter. -2.371381 F-statistic 0.206179 Durbin-Watson stat 1.599434 Prob(F-statistic) 0.958756
Model GARCH Saham Sektor Perdagangan dan Jasa GARCH(1,0)
Dependent Variable: PERDAGANGANJASA
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:49
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 43 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.149097 0.065447 2.278150 0.0227
BIRATE -0.017768 0.008519 -2.085747 0.0370
Variance Equation
GARCH(-1) -0.986072 0.058233 -16.93335 0.0000
R-squared 0.087464 Mean dependent var 0.017332 Adjusted R-squared 0.046604 S.D. dependent var 0.085297 S.E. of regression 0.083286 Akaike info criterion -2.103147 Sum squared resid 0.464744 Schwarz criterion -1.975673 Log likelihood 78.66174 Hannan-Quinn criter. -2.052455 F-statistic 2.140583 Durbin-Watson stat 1.408596 Prob(F-statistic) 0.103288
GARCH(1,1)
Dependent Variable: PERDAGANGANJASA
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:50
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 22 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.171690 0.008468 20.27462 0.0000
BIRATE -0.021631 0.001974 -10.95932 0.0000
Variance Equation
C -0.000118 0.000235 -0.501487 0.6160
RESID(-1)^2 -0.026201 0.014661 -1.787094 0.0739 GARCH(-1) 1.046413 0.042259 24.76178 0.0000
R-squared 0.094023 Mean dependent var 0.017332 Adjusted R-squared 0.039115 S.D. dependent var 0.085297 S.E. of regression 0.083612 Akaike info criterion -2.181371 Sum squared resid 0.461404 Schwarz criterion -2.022027 Log likelihood 82.43866 Hannan-Quinn criter. -2.118005 F-statistic 1.712376 Durbin-Watson stat 1.417300 Prob(F-statistic) 0.157742
GARCH(1,2)
Dependent Variable: PERDAGANGANJASA
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:51
Included observations: 71 after adjustments Convergence achieved after 58 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.079318 0.052587 1.508304 0.1315
BIRATE -0.007422 0.006967 -1.065335 0.2867
Variance Equation
C 0.002043 0.003009 0.679048 0.4971
RESID(-1)^2 0.414842 0.138834 2.988039 0.0028 RESID(-2)^2 -0.279965 0.157093 -1.782160 0.0747 GARCH(-1) 0.550499 0.679170 0.810548 0.4176
R-squared 0.041104 Mean dependent var 0.017332 Adjusted R-squared -0.032657 S.D. dependent var 0.085297 S.E. of regression 0.086678 Akaike info criterion -2.146337 Sum squared resid 0.488355 Schwarz criterion -1.955124 Log likelihood 82.19495 Hannan-Quinn criter. -2.070297 F-statistic 0.557258 Durbin-Watson stat 1.344950 Prob(F-statistic) 0.732259
GARCH(2,1)
Dependent Variable: PERDAGANGANJASA
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:52
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 90 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 0.061677 0.063925 0.964840 0.3346
BIRATE -0.004329 0.009065 -0.477612 0.6329
Variance Equation
C 0.004628 0.001848 2.504129 0.0123
GARCH(-1) -0.146196 0.157033 -0.930989 0.3519 GARCH(-2) -0.043244 0.088116 -0.490770 0.6236
R-squared 0.008062 Mean dependent var 0.017332 Adjusted R-squared -0.068241 S.D. dependent var 0.085297 S.E. of regression 0.088159 Akaike info criterion -2.149011 Sum squared resid 0.505183 Schwarz criterion -1.957798 Log likelihood 82.28988 Hannan-Quinn criter. -2.072972 F-statistic 0.105656 Durbin-Watson stat 1.301622 Prob(F-statistic) 0.990659
Model GARCH Saham Sektor Pertambangan GARCH(1,0)
Dependent Variable: PERTAMBANGAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:53
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 24 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.023589 0.118942 0.198322 0.8428
BIRATE -0.000887 0.014716 -0.060258 0.9520
Variance Equation
C 0.009664 2.115839 0.004567 0.9964
GARCH(-1) 0.411252 128.8906 0.003191 0.9975
R-squared 0.000052 Mean dependent var 0.017278 Adjusted R-squared -0.044722 S.D. dependent var 0.129067 S.E. of regression 0.131922 Akaike info criterion -1.158531 Sum squared resid 1.166027 Schwarz criterion -1.031056 Log likelihood 45.12784 Hannan-Quinn criter. -1.107838 F-statistic 0.001152 Durbin-Watson stat 1.112704 Prob(F-statistic) 0.999945
GARCH(1,1)
Dependent Variable: PERTAMBANGAN
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 24 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C -0.218819 0.086093 -2.541652 0.0110
BIRATE 0.034990 0.011577 3.022320 0.0025
Variance Equation
C 0.001716 0.001028 1.669011 0.0951
RESID(-1)^2 0.260031 0.110375 2.355876 0.0185 GARCH(-1) 0.648240 0.091252 7.103873 0.0000
R-squared -0.116503 Mean dependent var 0.017278 Adjusted R-squared -0.184170 S.D. dependent var 0.129067 S.E. of regression 0.140451 Akaike info criterion -1.344440 Sum squared resid 1.301940 Schwarz criterion -1.185096 Log likelihood 52.72762 Hannan-Quinn criter. -1.281074 Durbin-Watson stat 1.003615
GARCH(1,2)
Dependent Variable: PERTAMBANGAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:54
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 189 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C -0.081147 0.118451 -0.685069 0.4933
BIRATE 0.014682 0.015690 0.935739 0.3494
Variance Equation
C 0.013047 0.004593 2.840449 0.0045
R-squared -0.022135 Mean dependent var 0.017278 Adjusted R-squared -0.100761 S.D. dependent var 0.129067 S.E. of regression 0.135414 Akaike info criterion -1.318260 Sum squared resid 1.191899 Schwarz criterion -1.127048 Log likelihood 52.79823 Hannan-Quinn criter. -1.242221 Durbin-Watson stat 1.091305
GARCH(2,1)
Dependent Variable: PERTAMBANGAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:55
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 33 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 -0.197053 0.084374 -2.335465 0.0195
BIRATE 0.031597 0.011323 2.790462 0.0053
Variance Equation
C 0.002204 0.001414 1.557988 0.1192
RESID(-1)^2 0.357081 0.169157 2.110947 0.0348 GARCH(-1) 0.155977 0.396573 0.393312 0.6941 GARCH(-2) 0.364059 0.318996 1.141264 0.2538
R-squared -0.093601 Mean dependent var 0.017278 Adjusted R-squared -0.177724 S.D. dependent var 0.129067 S.E. of regression 0.140068 Akaike info criterion -1.339221 Sum squared resid 1.275234 Schwarz criterion -1.148009 Log likelihood 53.54235 Hannan-Quinn criter. -1.263182 Durbin-Watson stat 1.023756
Model GARCH Saham Sektor Pertanian GARCH(1,0)
Dependent Variable: PERTANIAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:56
Included observations: 71 after adjustments Convergence achieved after 39 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.057643 0.067182 0.858013 0.3909
BIRATE -0.008082 0.009467 -0.853694 0.3933
Variance Equation
C -9.96E-05 0.000233 -0.426661 0.6696
GARCH(-1) 0.982229 0.023227 42.28770 0.0000
R-squared -0.020071 Mean dependent var 0.015702 Adjusted R-squared -0.065746 S.D. dependent var 0.118530 S.E. of regression 0.122364 Akaike info criterion -1.571328 Sum squared resid 1.003195 Schwarz criterion -1.443853 Log likelihood 59.78214 Hannan-Quinn criter. -1.520635 Durbin-Watson stat 1.398215
GARCH(1,1)
Dependent Variable: PERTANIAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:56
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 83 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C -0.024396 0.070427 -0.346394 0.7290
BIRATE 0.005032 0.010158 0.495354 0.6204
Variance Equation
C 0.000282 0.000684 0.412959 0.6796
RESID(-1)^2 0.139563 0.043094 3.238601 0.0012 GARCH(-1) 0.824634 0.066698 12.36365 0.0000
Sum squared resid 0.989882 Schwarz criterion -1.353542 Log likelihood 58.70743 Hannan-Quinn criter. -1.449519 Durbin-Watson stat 1.417195
GARCH(1,2)
Dependent Variable: PERTANIAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:57
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 49 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C -0.188451 0.072548 -2.597591 0.0094
BIRATE 0.031643 0.010651 2.970794 0.0030
Variance Equation
C -9.19E-05 0.000129 -0.711468 0.4768
RESID(-1)^2 0.261799 0.144102 1.816764 0.0693 RESID(-2)^2 -0.323150 0.142185 -2.272742 0.0230 GARCH(-1) 1.078974 0.038011 28.38604 0.0000
R-squared -0.152203 Mean dependent var 0.015702 Adjusted R-squared -0.240834 S.D. dependent var 0.118530 S.E. of regression 0.132034 Akaike info criterion -1.742808 Sum squared resid 1.133141 Schwarz criterion -1.551596 Log likelihood 67.86970 Hannan-Quinn criter. -1.666769 Durbin-Watson stat 1.240434
GARCH(2,1)
Dependent Variable: PERTANIAN
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:57
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Failure to improve Likelihood after 15 iterations Presample variance: backcast (parameter = 0.7)
C(6)*GARCH(-2)
Variable Coefficient Std. Error z-Statistic Prob.
C -0.026939 0.084516 -0.318744 0.7499
BIRATE 0.008149 0.010164 0.801767 0.4227
Variance Equation
C 0.008175 0.004440 1.841182 0.0656
RESID(-1)^2 0.373547 0.244909 1.525248 0.1272 GARCH(-1) 0.149468 0.421067 0.354974 0.7226 GARCH(-2) -0.120768 0.185671 -0.650442 0.5154
R-squared -0.029324 Mean dependent var 0.015702 Adjusted R-squared -0.108503 S.D. dependent var 0.118530 S.E. of regression 0.124795 Akaike info criterion -1.431487 Sum squared resid 1.012295 Schwarz criterion -1.240275 Log likelihood 56.81779 Hannan-Quinn criter. -1.355448 Durbin-Watson stat 1.385971
Model GARCH Saham Sektor Properti GARCH(1,0)
Dependent Variable: PROPERTI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:58
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 26 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.121944 0.064826 1.881098 0.0600
BIRATE -0.015168 0.009366 -1.619424 0.1054
Variance Equation
C 0.000165 0.000329 0.501835 0.6158
GARCH(-1) 0.954675 0.047100 20.26893 0.0000
Log likelihood 75.48042 Hannan-Quinn criter. -1.962840 F-statistic 0.314399 Durbin-Watson stat 1.638915 Prob(F-statistic) 0.814905
GARCH(1,1)
Dependent Variable: PROPERTI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:59
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 14 iterations Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.124940 0.010367 12.05207 0.0000
BIRATE -0.014893 0.000396 -37.63128 0.0000
Variance Equation
C 0.000307 0.000233 1.319773 0.1869
RESID(-1)^2 -0.115905 0.087195 -1.329260 0.1838 GARCH(-1) 1.064423 0.088546 12.02115 0.0000
R-squared 0.017251 Mean dependent var 0.017867 Adjusted R-squared -0.042309 S.D. dependent var 0.088924 S.E. of regression 0.090785 Akaike info criterion -2.107694 Sum squared resid 0.543971 Schwarz criterion -1.948350 Log likelihood 79.82314 Hannan-Quinn criter. -2.044328 F-statistic 0.289646 Durbin-Watson stat 1.644535 Prob(F-statistic) 0.883700
GARCH(1,2)
Dependent Variable: PROPERTI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 22:59
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 22 iterations Presample variance: backcast (parameter = 0.7)
Variable Coefficient Std. Error z-Statistic Prob.
C 0.119090 0.003203 37.17491 0.0000
BIRATE -0.014128 0.000708 -19.94579 0.0000
Variance Equation
C 0.000345 0.000277 1.244573 0.2133
RESID(-1)^2 -0.018072 0.215778 -0.083751 0.9333 RESID(-2)^2 -0.122960 0.192280 -0.639480 0.5225 GARCH(-1) 1.093254 0.099954 10.93756 0.0000
R-squared 0.018185 Mean dependent var 0.017867 Adjusted R-squared -0.057339 S.D. dependent var 0.088924 S.E. of regression 0.091438 Akaike info criterion -2.080818 Sum squared resid 0.543454 Schwarz criterion -1.889605 Log likelihood 79.86903 Hannan-Quinn criter. -2.004779 F-statistic 0.240788 Durbin-Watson stat 1.646105 Prob(F-statistic) 0.942928
GARCH(2,1)
Dependent Variable: PROPERTI
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/07/14 Time: 23:00
Sample (adjusted): 2007M02 2012M12 Included observations: 71 after adjustments Convergence achieved after 28 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 0.125411 0.012744 9.841020 0.0000
BIRATE -0.015607 0.000286 -54.64823 0.0000
Variance Equation
C 0.000425 0.000376 1.131334 0.2579
RESID(-1)^2 -0.185614 0.073657 -2.519988 0.0117 GARCH(-1) 0.200037 0.119977 1.667296 0.0955 GARCH(-2) 0.894156 0.134962 6.625255 0.0000
Lampiran 2
Indeks Harga Saham Gabungan
Aneka Industri Maximum 2.278930 Minimum -2.406038 Std. Dev. 1.006978 Skewness -0.189870 Kurtosis 3.076828 Jarque-Bera 0.444059 Maximum 2.146772 Minimum -2.679126 Std. Dev. 1.007216 Skewness -0.227966 Kurtosis 2.609973 Jarque-Bera 1.064987 Median -0.001169 Maximum 2.059294 Minimum -2.418695 Std. Dev. 1.002866 Skewness -0.105991 Kurtosis 2.719182
Infrastruktur Maximum 4.109921 Minimum -3.088321 Std. Dev. 1.313170 Skewness 0.611019 Kurtosis 3.718853
Jarque-Bera 5.946626 Median -0.004718 Maximum 2.029503 Minimum -2.974468 Std. Dev. 1.006072 Skewness -0.166827 Kurtosis 2.990730
Jarque-Bera 0.329589 Maximum 2.860451 Minimum -2.917503 Std. Dev. 1.003578 Skewness -0.057994 Kurtosis 3.928882
Manufaktur
Perdagangan dan Jasa
Pertambangan Maximum 2.698101 Minimum -2.574340 Std. Dev. 1.005376 Skewness -0.106450 Kurtosis 3.177776
Jarque-Bera 0.227587 Maximum 2.242061 Minimum -3.906740 Std. Dev. 1.110530 Skewness -0.667599 Kurtosis 4.059943
Jarque-Bera 8.597596 Median -0.019148 Maximum 2.624542 Minimum -2.291648 Std. Dev. 0.999946 Skewness -0.247521 Kurtosis 3.504903
Pertanian Median -0.101303 Maximum 2.750506 Minimum -2.966283 Std. Dev. 1.079529 Skewness -0.083920 Kurtosis 3.262141
Jarque-Bera 0.286626 Median -0.011270 Maximum 1.913197 Minimum -2.476446 Std. Dev. 1.057423 Skewness -0.305917 Kurtosis 2.471788
Lampiran 3
ARCH LM Test
IHSG
Heteroskedasticity Test: ARCH
F-statistic 0.001799 Prob. F(1,68) 0.9663
Obs*R-squared 0.001852 Prob. Chi-Square(1) 0.9657
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/07/14 Time: 22:19
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.005898 0.214770 4.683600 0.0000
WGT_RESID^2(-1) 0.005150 0.121412 0.042416 0.9663
R-squared 0.000026 Mean dependent var 1.011120 Adjusted R-squared -0.014679 S.D. dependent var 1.461739 S.E. of regression 1.472428 Akaike info criterion 3.639858 Sum squared resid 147.4271 Schwarz criterion 3.704101 Log likelihood -125.3950 Hannan-Quinn criter. 3.665376 F-statistic 0.001799 Durbin-Watson stat 1.997031 Prob(F-statistic) 0.966292
Aneka Industri
Heteroskedasticity Test: ARCH
F-statistic 0.041474 Prob. F(1,68) 0.8392
Obs*R-squared 0.042668 Prob. Chi-Square(1) 0.8364
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:39
Variable Coefficient Std. Error t-Statistic Prob.
C 1.037650 0.197512 5.253601 0.0000
WGT_RESID^2(-1) -0.024710 0.121333 -0.203652 0.8392
R-squared 0.000610 Mean dependent var 1.012593 Adjusted R-squared -0.014087 S.D. dependent var 1.283694 S.E. of regression 1.292704 Akaike info criterion 3.379505 Sum squared resid 113.6338 Schwarz criterion 3.443748 Log likelihood -116.2827 Hannan-Quinn criter. 3.405023 F-statistic 0.041474 Durbin-Watson stat 1.989656 Prob(F-statistic) 0.839233
Industri Dasar
Heteroskedasticity Test: ARCH
F-statistic 0.021552 Prob. F(1,68) 0.8837
Obs*R-squared 0.022179 Prob. Chi-Square(1) 0.8816
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:40
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.029226 0.202017 5.094759 0.0000
WGT_RESID^2(-1) -0.017800 0.121251 -0.146806 0.8837
R-squared 0.000317 Mean dependent var 1.011225 Adjusted R-squared -0.014384 S.D. dependent var 1.333697 S.E. of regression 1.343255 Akaike info criterion 3.456223 Sum squared resid 122.6946 Schwarz criterion 3.520466 Log likelihood -118.9678 Hannan-Quinn criter. 3.481741 F-statistic 0.021552 Durbin-Watson stat 1.993179 Prob(F-statistic) 0.883719
Infrastruktur
Heteroskedasticity Test: ARCH
Obs*R-squared 1.043063 Prob. Chi-Square(1) 0.3071
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:42
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.010927 0.297173 3.401808 0.0011
WGT_RESID^2(-1) 0.122009 0.120302 1.014193 0.3141
R-squared 0.014901 Mean dependent var 1.151075 Adjusted R-squared 0.000414 S.D. dependent var 2.201631 S.E. of regression 2.201175 Akaike info criterion 4.444015 Sum squared resid 329.4716 Schwarz criterion 4.508258 Log likelihood -153.5405 Hannan-Quinn criter. 4.469533 F-statistic 1.028588 Durbin-Watson stat 1.991459 Prob(F-statistic) 0.314086
Keuangan
Heteroskedasticity Test: ARCH
F-statistic 0.061234 Prob. F(1,68) 0.8053
Obs*R-squared 0.062978 Prob. Chi-Square(1) 0.8018
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:43
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.025101 0.212998 4.812730 0.0000
WGT_RESID^2(-1) -0.030073 0.121528 -0.247455 0.8053
Log likelihood -124.4839 Hannan-Quinn criter. 3.639342 F-statistic 0.061234 Durbin-Watson stat 1.984327 Prob(F-statistic) 0.805302
Konsumsi
Heteroskedasticity Test: ARCH
F-statistic 1.241679 Prob. F(1,68) 0.2691
Obs*R-squared 1.255277 Prob. Chi-Square(1) 0.2625
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:44
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.864463 0.232532 3.717606 0.0004
WGT_RESID^2(-1) 0.134386 0.120601 1.114306 0.2691
R-squared 0.017933 Mean dependent var 0.993495 Adjusted R-squared 0.003490 S.D. dependent var 1.690076 S.E. of regression 1.687124 Akaike info criterion 3.912083 Sum squared resid 193.5544 Schwarz criterion 3.976326 Log likelihood -134.9229 Hannan-Quinn criter. 3.937601 F-statistic 1.241679 Durbin-Watson stat 2.043941 Prob(F-statistic) 0.269071
Manufaktur
Heteroskedasticity Test: ARCH
F-statistic 0.062467 Prob. F(1,68) 0.8034
Obs*R-squared 0.064245 Prob. Chi-Square(1) 0.7999
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:44
Variable Coefficient Std. Error t-Statistic Prob.
C 1.042509 0.217792 4.786709 0.0000
WGT_RESID^2(-1) -0.030253 0.121044 -0.249933 0.8034
R-squared 0.000918 Mean dependent var 1.012015 Adjusted R-squared -0.013775 S.D. dependent var 1.499123 S.E. of regression 1.509412 Akaike info criterion 3.689473 Sum squared resid 154.9262 Schwarz criterion 3.753716 Log likelihood -127.1316 Hannan-Quinn criter. 3.714991 F-statistic 0.062467 Durbin-Watson stat 1.998219 Prob(F-statistic) 0.803392
Perdagangan dan jasa
Heteroskedasticity Test: ARCH
F-statistic 0.041893 Prob. F(1,68) 0.8384
Obs*R-squared 0.043099 Prob. Chi-Square(1) 0.8355
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:45
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.199512 0.297771 4.028308 0.0001
WGT_RESID^2(-1) 0.024786 0.121099 0.204678 0.8384
R-squared 0.000616 Mean dependent var 1.229831 Adjusted R-squared -0.014081 S.D. dependent var 2.146128 S.E. of regression 2.161185 Akaike info criterion 4.407346 Sum squared resid 317.6090 Schwarz criterion 4.471589 Log likelihood -152.2571 Hannan-Quinn criter. 4.432864 F-statistic 0.041893 Durbin-Watson stat 1.997925 Prob(F-statistic) 0.838435
Pertambangan
F-statistic 0.904505 Prob. F(1,68) 0.3449 Obs*R-squared 0.918886 Prob. Chi-Square(1) 0.3378
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:46
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.890771 0.227267 3.919493 0.0002
WGT_RESID^2(-1) 0.114386 0.120273 0.951055 0.3449
R-squared 0.013127 Mean dependent var 1.005014 Adjusted R-squared -0.001386 S.D. dependent var 1.613031 S.E. of regression 1.614149 Akaike info criterion 3.823648 Sum squared resid 177.1724 Schwarz criterion 3.887891 Log likelihood -131.8277 Hannan-Quinn criter. 3.849166 F-statistic 0.904505 Durbin-Watson stat 1.987261 Prob(F-statistic) 0.344945
Pertanian
Heteroskedasticity Test: ARCH
F-statistic 0.543819 Prob. F(1,68) 0.4634
Obs*R-squared 0.555372 Prob. Chi-Square(1) 0.4561
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:47
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.272948 0.255137 4.989275 0.0000
WGT_RESID^2(-1) -0.088985 0.120668 -0.737441 0.4634
Sum squared resid 216.7420 Schwarz criterion 4.089475 Log likelihood -138.8831 Hannan-Quinn criter. 4.050750 F-statistic 0.543819 Durbin-Watson stat 2.023854 Prob(F-statistic) 0.463391
Properti
Heteroskedasticity Test: ARCH
F-statistic 0.151046 Prob. F(1,68) 0.6988
Obs*R-squared 0.155144 Prob. Chi-Square(1) 0.6937
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 04/08/14 Time: 21:48
Sample (adjusted): 2007M03 2012M12 Included observations: 70 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.157683 0.211775 5.466574 0.0000
WGT_RESID^2(-1) -0.047081 0.121142 -0.388646 0.6988
Lampiran 4
ACF dan PACF untuk lag 1-10 IHSG
Aneka Industri
AC PAC Q-Stat Prob
1 0.012 0.012 0.0108 0.917 2 0.112 0.112 0.9548 0.620 3 0.187 0.186 3.6060 0.307 4 -0.098 -0.116 4.3514 0.361 5 0.000 -0.044 4.3514 0.500 6 0.120 0.118 5.4909 0.483 7 -0.149 -0.114 7.2886 0.399 8 -0.004 -0.038 7.2896 0.506 9 -0.053 -0.068 7.5245 0.583 10 -0.138 -0.067 9.1352 0.519
Industri Dasar
AC PAC Q-Stat Prob
1 0.082 0.082 0.4924 0.483 2 -0.130 -0.138 1.7630 0.414 3 0.163 0.191 3.7775 0.287 4 0.083 0.030 4.3094 0.366 5 -0.079 -0.045 4.7986 0.441 6 -0.001 -0.001 4.7986 0.570 7 -0.091 -0.137 5.4658 0.603 8 0.001 0.048 5.4659 0.707 9 0.011 -0.020 5.4758 0.791 AC PAC Q-Stat Prob
10 -0.139 -0.109 7.1284 0.713
Infrastruktur
AC PAC Q-Stat Prob
1 0.032 0.032 0.0778 0.780 2 -0.188 -0.190 2.7423 0.254 3 0.163 0.183 4.7634 0.190 4 0.160 0.112 6.7333 0.151 5 -0.103 -0.058 7.5596 0.182 6 -0.023 0.006 7.6024 0.269 7 -0.093 -0.180 8.3068 0.306 8 0.004 0.027 8.3078 0.404 9 -0.027 -0.055 8.3701 0.497 10 -0.126 -0.088 9.7095 0.466
Keuangan
AC PAC Q-Stat Prob
1 0.006 0.006 0.0029 0.957 2 -0.159 -0.159 1.9037 0.386 3 0.194 0.201 4.7773 0.189 4 0.066 0.034 5.1162 0.276 5 -0.019 0.043 5.1449 0.398 6 0.002 -0.024 5.1452 0.525 7 -0.013 -0.030 5.1585 0.641 8 0.002 -0.007 5.1588 0.740 9 0.102 0.104 6.0219 0.738 10 -0.107 -0.112 6.9903 0.726
Konsumsi
AC PAC Q-Stat Prob
9 -0.155 -0.137 6.3436 0.705 10 0.143 0.191 8.0895 0.620
Manufaktur
AC PAC Q-Stat Prob
1 0.164 0.164 1.9817 0.159 2 -0.001 -0.028 1.9817 0.371 3 0.159 0.168 3.9060 0.272 4 -0.062 -0.124 4.2017 0.379 5 0.085 0.137 4.7646 0.445 6 0.061 -0.018 5.0629 0.536 7 -0.026 0.009 5.1171 0.646 8 0.016 -0.025 5.1391 0.743 9 -0.088 -0.083 5.7799 0.762 10 -0.060 -0.028 6.0894 0.808
Perdagangan dan jasa
AC PAC Q-Stat Prob
1 0.247 0.247 4.5147 0.034 2 0.003 -0.061 4.5156 0.105 3 0.173 0.200 6.7909 0.079 4 -0.079 -0.195 7.2707 0.122 5 -0.094 0.001 7.9706 0.158 6 -0.098 -0.141 8.7287 0.189 7 0.026 0.161 8.7855 0.268 8 0.014 -0.065 8.8013 0.359 9 -0.047 0.020 8.9885 0.438 10 -0.119 -0.219 10.191 0.424
Pertambangan
AC PAC Q-Stat Prob
7 0.062 0.149 9.1228 0.244 8 0.009 -0.014 9.1300 0.331 9 -0.152 -0.170 11.058 0.272 10 -0.171 -0.191 13.535 0.195
Pertanian
AC PAC Q-Stat Prob
1 0.120 0.120 1.0728 0.300 2 -0.077 -0.093 1.5155 0.469 3 0.076 0.100 1.9590 0.581 4 -0.139 -0.176 3.4544 0.485 5 -0.023 0.041 3.4974 0.624 6 -0.086 -0.138 4.0846 0.665 7 0.040 0.118 4.2123 0.755 8 0.039 -0.045 4.3374 0.825 9 -0.128 -0.087 5.6974 0.770 10 -0.210 -0.250 9.4347 0.491
Properti
AC PAC Q-Stat Prob
