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
Indikator Pembentuk Sinyal Periode
Crisis Window
Indikator Komposit krisis 12
Bulan Periode
reer dc m2 cpi eq imv
ISP ISP
1995 jan
feb mar
0 0 0 0 0 0
0 0
apr 1 0 0 0 0 1
0 0
may 0 0 0 0 0 0
0 0
jun 0 0 0 0 1 0
0 0
jul 0 0 0 0 0 0
0 0
aug 0 0 0 0 0 0
0 0
sep 0 0 0 0 0 0
0 0
oct 0 0 0 0 0 0
0 0
nov 0 0 0 0 0 0
0 0
dec 0 0 0 0 0 0
0 0
1996 jan
0 0 0 0 0 0
0 0
feb 1 1 0 1 0 1
0 0
mar 0 0 1 0 0 0
0 0
apr 0 0 0 1 0 0
0 0
may 0 0 0 0 0 0
0 0
jun 0 0 0 0 0 0
0 0
jul 0 0 0 1 0 0
0 0
aug 0 0 0 0 1 0
0 0
sep 0 0 0 0 0 0
0 1
oct 0 0 0 0 0 0
0 1
nov 0 0 0 0 0 0
0 1
dec 0 0 1 0 0 0
0 1
1997 jan
0 0 1 0 0 0
0 1
feb 1 0 0 0 0 0
0 1
mar 0 0 0 0 0 0
0 1
apr 0 0 0 0 0 0
0 1
may 0 0 0 0 0 0
0 1
jun 0 0 0 0 0 0
0 1
jul 0 1 0 0 0 0
0 1
aug 0 0 0 0 0 0
1 1
sep 0 0 0 0 1 1
1 1
oct 0 0 0 0 0 0
1 1
nov 0 0 0 0 0 0
0 1
dec 0 0 0 0 0 0
0 1
1998 jan
1 0 0 0 0 0
0 1
feb 1 1 1 1 0 0
1 1
mar 1 1 1 1 0 1
0 1
apr 0 0 0 0 0 1
0 1
may 0 0 0 0 0 0
0 1
jun 1 0 1 0 0 0
1 1
Lampiran 7. Lanjutan