c. DC
Dependent Variable: IDC Method: ML - ARCH Marquardt
Date: 081406 Time: 08:38 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 48 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C 0.002601
0.007166 0.363005
0.7166 IDC-1 0.113334
0.113834 0.995602
0.3194 Variance Equation
C 0.005552 0.000242
22.95979 0.0000
ARCH1 0.207974 0.125189
1.661282 0.0967
R-squared 0.009775 Mean dependent var
0.000222 Adjusted R-squared
-0.013802 S.D. dependent var 0.088008
S.E. of regression 0.088613 Akaike info criterion
-2.144683 Sum squared resid
0.989396 Schwarz criterion -2.056451
Log likelihood 143.4044 F-statistic
0.414592 Durbin-Watson stat
1.997981 ProbF-statistic 0.742813
d. ER
Dependent Variable: IER Method: ML - ARCH Marquardt
Date: 081406 Time: 08:38 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 23 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.003357
0.001415 -2.373072
0.0176 IER-1 0.042483
0.020575 2.064726
0.0389 Variance Equation
C 0.000177 4.36E-05
4.060037 0.0000
ARCH1 3.455911 0.417914
8.269431 0.0000
R-squared 0.003671 Mean dependent var
-4.87E-05 Adjusted R-squared
-0.020051 S.D. dependent var 0.088043
S.E. of regression 0.088922 Akaike info criterion
-3.277836 Sum squared resid
0.996288 Schwarz criterion -3.189605
Log likelihood 217.0594 F-statistic
0.154759 Durbin-Watson stat
1.905281 ProbF-statistic 0.926455
Lampiran 6. Lanjutan
e. CPI
Dependent Variable: ICPI Method: ML - ARCH Marquardt
Date: 081406 Time: 08:39 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 56 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.001055
0.009100 -0.115886
0.9077 ICPI-1 0.616501
0.113900 5.412644
0.0000 Variance Equation
C 0.003860 0.000281
13.75059 0.0000
ARCH1 0.212853 0.090132
2.361573 0.0182
R-squared 0.293247 Mean dependent var
-0.000378 Adjusted R-squared
0.276419 S.D. dependent var 0.087938
S.E. of regression 0.074803 Akaike info criterion
-2.508216 Sum squared resid
0.705035 Schwarz criterion -2.419984
Log likelihood 167.0340 F-statistic
17.42666 Durbin-Watson stat
2.050558 ProbF-statistic 0.000000
f. IBV
Dependent Variable: IIBV Method: ML - ARCH Marquardt
Date: 081506 Time: 06:24 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 28 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.015692
0.009335 -1.681017
0.0928 IIBV-1 0.456209
0.040864 11.16405
0.0000 Variance Equation
C 0.013468 0.002654
5.073826 0.0000
ARCH1 1.686954 0.336316
5.015979 0.0000
R-squared -0.035777 Mean dependent var
-0.001196 Adjusted R-squared
-0.060439 S.D. dependent var 0.284622
S.E. of regression 0.293097 Akaike info criterion
-0.076033 Sum squared resid
10.82415 Schwarz criterion 0.012198
Log likelihood 8.942172 Durbin-Watson stat
2.487157
Lampiran 7. Sinyal dan Crisis Window untuk Krisis Nilai Tukar
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