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
B. Hasil Estamasi GARCH untuk Indikator IBV
a. LDR
Dependent Variable: ILDR Method: ML - ARCH Marquardt
Date: 081506 Time: 06:22 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 93 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.011328
0.003514 -3.223447
0.0013 ILDR-1 -0.402478
0.078350 -5.136906
0.0000 Variance Equation
C 0.001122 0.000143
7.838870 0.0000
ARCH1 3.193179 0.562862
5.673114 0.0000
R-squared 0.006572 Mean dependent var
-0.000117 Adjusted R-squared
-0.017081 S.D. dependent var 0.088035
S.E. of regression 0.088783 Akaike info criterion
-2.600154 Sum squared resid
0.993195 Schwarz criterion -2.511922
Log likelihood 173.0100 F-statistic
0.277849 Durbin-Watson stat
1.545541 ProbF-statistic 0.841298
b. FL
Dependent Variable: IFL Method: ML - ARCH Marquardt
Date: 081406 Time: 08:37 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 15 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.000815
0.006611 -0.123254
0.9019 IFL-1 0.033144
0.097979 0.338270
0.7352 Variance Equation
C 0.004385 0.000380
11.54164 0.0000
ARCH1 0.471736 0.107637
4.382656 0.0000
R-squared 0.003706 Mean dependent var
3.95E-05 Adjusted R-squared
-0.020015 S.D. dependent var 0.088044
S.E. of regression 0.088921 Akaike info criterion
-2.190065 Sum squared resid
0.996268 Schwarz criterion -2.101833
Log likelihood 146.3542 F-statistic
0.156233 Durbin-Watson stat
1.899939 ProbF-statistic 0.925501
Lampiran 6. Lanjutan
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