c. IM2
Dependent Variable: IM2 Method: ML - ARCH Marquardt
Date: 081506 Time: 14:41 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 84 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.000229
0.008994 -0.025465
0.9797 IM2-1 0.066201
0.123357 0.536663
0.5915 Variance Equation
C 0.005996 0.000421
14.23840 0.0000
ARCH1 0.180687 0.164854
1.096040 0.2731
R-squared -0.009236 Mean dependent var
-8.76E-05 Adjusted R-squared
-0.033266 S.D. dependent var 0.088039
S.E. of regression 0.089492 Akaike info criterion
-2.081445 Sum squared resid
1.009104 Schwarz criterion -1.993213
Log likelihood 139.2939 Durbin-Watson stat
2.177553
d. ICPI
Dependent Variable: ICPI Method: ML - ARCH Marquardt
Date: 081506 Time: 12:36 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
Lampiran 6. Lanjutan
e. IEQ
Dependent Variable: IEQ Method: ML - ARCH Marquardt
Date: 081506 Time: 12:37 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 43 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.000979
0.008474 -0.115517
0.9080 IEQ-1 0.111025
0.100942 1.099884
0.2714 Variance Equation
C 0.006973 0.000626
11.13953 0.0000
ARCH1 0.074926 0.123506
0.606660 0.5441
R-squared 0.012874 Mean dependent var
-8.55E-05 Adjusted R-squared
-0.010629 S.D. dependent var 0.088040
S.E. of regression 0.088506 Akaike info criterion
-1.997370 Sum squared resid
0.987003 Schwarz criterion -1.909139
Log likelihood 133.8291 F-statistic
0.547773 Durbin-Watson stat
1.945850 ProbF-statistic 0.650547
f. IMV
Dependent Variable: IIMV Method: ML - ARCH Marquardt
Date: 081506 Time: 12:58 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 19 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.004405
0.011149 -0.395066
0.6928 IIMV-1 0.004540
0.119499 0.037994
0.9697 Variance Equation
C 0.015943 0.002079
7.668935 0.0000
ARCH1 0.475020 0.196240
2.420613 0.0155
R-squared 0.000244 Mean dependent var
-0.000345 Adjusted R-squared
-0.023560 S.D. dependent var 0.162990
S.E. of regression 0.164899 Akaike info criterion
-0.886026 Sum squared resid
3.426152 Schwarz criterion -0.797794
Log likelihood 61.59169 F-statistic
0.010254 Durbin-Watson stat
1.799909 ProbF-statistic 0.998570
Lampiran 6. Lanjutan
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