Sum squared resid 0.758516 Schwarz criterion
-2.324541 Log likelihood
169.9982 Hannan-Quinn criter. -2.349255
F-statistic 90.16272 Durbin-Watson stat
1.980212 ProbF-statistic 0.000000
5. Data Varians Harga Minyak
Level
Null Hypothesis: RSR has a unit root Exogenous: Constant
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-9.495405 0.0000
Test critical values: 1 level
-3.476805 5
level -2.881830
10 level
-2.577668 MacKinnon 1996 one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: DRSR
Method: Least Squares Date: 080312 Time: 14:11
Sample adjusted: 2000M03 2011M12 Included observations: 142 after adjustments
Variable Coefficient
Std. Error t-Statistic
Prob. RSR-1 -0.776717
0.081799 -9.495405
0.0000 C 0.005519
0.006196 0.890749
0.3746 R-squared
0.391735 Mean dependent var 0.000859
Adjusted R-squared 0.387390 S.D. dependent var
0.094043 S.E. of regression
0.073607 Akaike info criterion -2.366172
Sum squared resid 0.758516 Schwarz criterion
-2.324541 Log likelihood
169.9982 Hannan-Quinn criter. -2.349255
F-statistic 90.16272 Durbin-Watson stat
1.980212 ProbF-statistic 0.000000
Lampiran 2
1.2. Plot ACF dan PACF Data Harga Minyak Pada Data Level
Date: 080312 Time: 14:14 Sample: 2000M01 2011M12
Included observations: 144 Autocorrelation Partial
Correlation AC PAC
Q-Stat Prob
.| .|
1 0.939
0.939 129.72
0.000 .||
|. | 2
0.853 -0.247 237.51
0.000
.|| .|. |
3 0.767 -0.001
325.30 0.000
.| | |. |
4 0.680 -0.073
394.71 0.000
.| | .|. |
5 0.594 -0.026
448.15 0.000
.| | .|. |
6 0.513 -0.024
488.30 0.000
.| | .| |
7 0.452
0.116 519.70
0.000 .| |
.|. | 8
0.399 -0.046 544.31
0.000 .| |
.| | 9
0.360 0.090
564.53 0.000
.| | .|. |
10 0.334
0.023 582.07
0.000 .| |
.|. | 11
0.309 -0.044 597.17
0.000 .| |
|. | 12
0.276 -0.099 609.27
0.000 .| |
.| | 13
0.252 0.117
619.45 0.000
.| | .|. |
14 0.241
0.043 628.81
0.000 .| |
.|. | 15
0.235 0.040
637.78 0.000
.| | .|. |
16 0.227 -0.029
646.21 0.000
.| | .| |
17 0.231
0.131 655.08
0.000 .| |
.|. | 18
0.240 -0.041 664.71
0.000 .| |
.|. | 19
0.241 -0.027 674.50
0.000 .| |
.|. | 20
0.242 0.016
684.44 0.000
Plot ACF dan PACF Perubahan Harga Minyak
Date: 080312 Time: 14:15 Sample: 2000M01 2011M12
Included observations: 143 Autocorrelation Partial
Correlation AC PAC
Q-Stat Prob
.| | .| |
1 0.329
0.329 15.824
0.000 .|. |
|. | 2
0.048 -0.068 16.162
0.000 .|. |
.|. | 3
0.003 0.010
16.163 0.001
.|. | .|. |
4 0.020
0.022 16.225
0.003 .|. |
.|. | 5 -0.001 -0.017
16.225 0.006
|. | |. |
6 -0.175 -0.190 20.859
0.002 |. |
.|. | 7 -0.150 -0.033
24.273 0.001
|. | |. |
8 -0.144 -0.099 27.460
0.001 |. |
.|. | 9 -0.105 -0.041
29.160 0.001
.|. | .| |
10 0.047
0.112 29.499
0.001 .|. |
.|. | 11
0.067 0.029
30.214 0.001
|. | |. |
12 -0.101 -0.184
31.838 0.001
|. | .|. |
13 -0.088 -0.018
33.073 0.002
.|. | .|. |
14 -0.038 -0.050
33.308 0.003
.|. | .|. |
15 0.062
0.040 33.929
0.003 |. |
|. | 16
-0.152 -0.220 37.703
0.002 |. |
.|. | 17
-0.108 0.052
39.610 0.001
.|. | .|. |
18 -0.017 -0.027
39.658 0.002
.|. | .|. |
19 -0.009 -0.028
39.673 0.004
.|. | .|. |
20 0.014 -0.026
39.707 0.005
Lampiran 3 1.3. Model
Tentatif ARIMA 1,1,1
Dependent Variable: DLO Method: Least Squares
Date: 080312 Time: 14:21 Sample adjusted: 2000M03 2011M12
Included observations: 142 after adjustments Convergence achieved after 7 iterations
MA Backcast: 2000M02 Variable
Coefficient Std. Error
t-Statistic Prob.
C 0.004964 0.007756
0.640038 0.5232
AR1 0.179775 0.244262
0.735994 0.4630
MA1 0.170647 0.244920
0.696745 0.4871
R-squared 0.111636 Mean dependent var
0.005003 Adjusted R-squared
0.098853 S.D. dependent var 0.068279
S.E. of regression 0.064817 Akaike info criterion
-2.613601 Sum squared resid
0.583970 Schwarz criterion -2.551154
Log likelihood 188.5657 Hannan-Quinn criter.
-2.588226 F-statistic
8.733662 Durbin-Watson stat 2.000603
ProbF-statistic 0.000267 Inverted AR Roots
.18 Inverted MA Roots
-.17
ARIMA 1,1,0
Dependent Variable: DLO Method: Least Squares
Date: 080312 Time: 14:21 Sample adjusted: 2000M03 2011M12
Included observations: 142 after adjustments Convergence achieved after 3 iterations
Variable Coefficient
Std. Error t-Statistic
Prob. C 0.004804
0.008093 0.593523
0.5538 AR1 0.329235
0.079644 4.133810
0.0001 R-squared
0.108782 Mean dependent var 0.005003
Adjusted R-squared 0.102416 S.D. dependent var
0.068279 S.E. of regression
0.064689 Akaike info criterion -2.624479
Sum squared resid 0.585846 Schwarz criterion
-2.582847 Log likelihood
188.3380 Hannan-Quinn criter. -2.607562
F-statistic 17.08838 Durbin-Watson stat
1.958953 ProbF-statistic 0.000061
Inverted AR Roots .33
ARIMA 0,1,1
Dependent Variable: DLO Method: Least Squares
Date: 080312 Time: 14:22 Sample adjusted: 2000M02 2011M12
Included observations: 143 after adjustments Convergence achieved after 6 iterations
MA Backcast: 2000M01 Variable
Coefficient Std. Error
t-Statistic Prob.
C 0.005343 0.007195
0.742540 0.4590
MA1 0.335290 0.079379
4.223893 0.0000
R-squared 0.110274 Mean dependent var
0.005349 Adjusted R-squared
0.103964 S.D. dependent var 0.068164
S.E. of regression 0.064523 Akaike info criterion
-2.629694 Sum squared resid
0.587019 Schwarz criterion -2.588256
Log likelihood 190.0231 Hannan-Quinn criter.
-2.612856 F-statistic
17.47577 Durbin-Watson stat 1.962709
ProbF-statistic 0.000051 Inverted MA Roots
-.34
Dependent Variable: DLO Method: Least Squares
Date: 080312 Time: 14:22 Sample adjusted: 2000M02 2011M12
Included observations: 143 after adjustments Convergence achieved after 6 iterations
MA Backcast: 2000M01 Variable
Coefficient Std. Error
t-Statistic Prob.
C 0.005343 0.007195
0.742540 0.4590
MA1 0.335290 0.079379
4.223893 0.0000
R-squared 0.110274 Mean dependent var
0.005349 Adjusted R-squared
0.103964 S.D. dependent var 0.068164
S.E. of regression 0.064523 Akaike info criterion
-2.629694 Sum squared resid
0.587019 Schwarz criterion -2.588256
Log likelihood 190.0231 Hannan-Quinn criter.
-2.612856 F-statistic
17.47577 Durbin-Watson stat 1.962709
ProbF-statistic 0.000051 Inverted MA Roots
-.34
2. Analisis Model ARCHGARCH
2.1. Plot ACF dan PACF Residual Kuadrat ARIMA 0,1,1
