Penggunaan Metode EWMA Dan GARCH Pada Perhitungan Value At Risk Saham LQ 45

Lampiran 1

Data Return Indeks Saham

AALI

No

Date

Adj Close

Return

1 05/01/2009 11076.18 0.181471445 2 06/01/2009 11594.63 0.045745203 3 07/01/2009 11029.04 -0.050010266 4 08/01/2009 10227.79 -0.075423269 5 09/01/2009 11170.44 0.088162478 6 12/01/2009 11029.04 -0.012739209 7 13/01/2009 10416.32 -0.057157987 8 14/01/2009 10651.98 0.022371983 9 15/01/2009 10133.52 -0.04989705 10 16/01/2009 10369.19 0.022990169 11 19/01/2009 10604.85 0.022472534 12 20/01/2009 10604.85 0.000000000 13 21/01/2009 10651.98 0.004434347 14 22/01/2009 10463.45 -0.017857558 15 23/01/2009 10133.52 -0.032039492 16 27/01/2009 10557.72 0.041008605 17 28/01/2009 10416.32 -0.013483539 18 29/01/2009 10369.19 -0.004534898 19 30/01/2009 10274.92 -0.009132935 20 02/02/2009 10227.79 -0.004597449 21 03/02/2009 10086.39 -0.013921535 22 04/02/2009 10180.65 0.009301869

23 05/02/2009 10180.65 0

24 06/02/2009 11406.1 0.11365944

25 09/02/2009 12065.96 0.056239965 26 10/02/2009 11594.63 -0.039846205

27 11/02/2009 11830.3 0.020121977

28 12/02/2009 11406.1 -0.036515737 29 13/02/2009 11594.63 0.01639376 30 16/02/2009 11453.24 -0.0122694 31 17/02/2009 11500.37 0.004106549

32 18/02/2009 11500.37 0

33 19/02/2009 11406.1 -0.008230909

34 20/02/2009 11406.1 0

35 23/02/2009 11594.63 0.01639376

36 24/02/2009 11594.63 0

37 25/02/2009 12254.49 0.055350341 38 26/02/2009 12160.23 -0.00772161 39 27/02/2009 12113.09 -0.003884105

40 02/03/2009 12113.09 0

41 03/03/2009 11971.7 -0.011741155 42 04/03/2009 12065.96 0.007842734 43 05/03/2009 11971.7 -0.007842734

44 06/03/2009 11170.44 -0.069274528

45 10/03/2009 11547.5 0.03319796

46 11/03/2009 11830.3 0.024195074

47 12/03/2009 11783.17 -0.003991795 48 13/03/2009 12160.23 0.031498549 49 16/03/2009 11641.77 -0.043571298 50 17/03/2009 11500.37 -0.012220284 51 18/03/2009 11783.17 0.024293033 52 19/03/2009 11736.03 -0.004008645 53 20/03/2009 11641.77 -0.008064104 54 23/03/2009 12160.23 0.043571298 55 24/03/2009 12914.35 0.060168305 56 25/03/2009 12725.82 -0.014706096 57 27/03/2009 13432.81 0.054067221 58 30/03/2009 13055.75 -0.028471572 59 31/03/2009 13291.41 0.017889312

60 01/04/2009 13715.6 0.031415909

61 02/04/2009 14516.86 0.056776861 62 03/04/2009 14658.26 0.009693267 63 06/04/2009 14941.05 0.019108459 64 07/04/2009 14516.86 -0.028801726 65 08/04/2009 13668.47 -0.060219012 66 13/04/2009 14469.73 0.056967161 67 14/04/2009 14092.67 -0.026404077 68 15/04/2009 14375.46 0.019867782 69 16/04/2009 14328.33 -0.00328389 70 17/04/2009 14186.93 -0.009917578

71 20/04/2009 14186.93 0

72 21/04/2009 14092.67 -0.006666314 73 22/04/2009 13904.14 -0.013468167 74 23/04/2009 14186.93 0.020134481 75 24/04/2009 14941.05 0.05179134 76 27/04/2009 14799.66 -0.009508251 77 28/04/2009 14611.13 -0.01282064 78 29/04/2009 14563.99 -0.003231523 79 30/04/2009 14893.92 0.022401032 80 01/05/2009 16213.64 0.084899787 81 04/05/2009 17062.02 0.051002077 82 05/05/2009 16967.76 -0.005539868 83 06/05/2009 17250.55 0.016528954 84 07/05/2009 18381.74 0.063513754 85 08/05/2009 18051.81 -0.018111824 86 11/05/2009 17627.62 -0.023778967 87 12/05/2009 17344.82 -0.016173087 88 13/05/2009 17391.95 0.002713553 89 14/05/2009 15930.84 -0.087750602 90 15/05/2009 16779.23 0.051884959 91 18/05/2009 17062.02 0.016713129 92 19/05/2009 17816.15 0.043250409

93 20/05/2009 17863.28 0.00264186 94 22/05/2009 17486.22 -0.021334067 95 25/05/2009 17580.48 0.005376053 96 26/05/2009 16779.23 -0.046647384 97 27/05/2009 16637.83 -0.008462794 98 28/05/2009 16732.09 0.005649414 99 29/05/2009 16779.23 0.00281338 100 01/06/2009 17439.08 0.038571853

101 02/06/2009 17439.08 0

102 03/06/2009 17627.62 0.010753325 103 04/06/2009 17580.48 -0.002677794 104 05/06/2009 18298.15 0.040010766 105 08/06/2009 17965.46 -0.018348936 106 09/06/2009 17775.35 -0.01063836 107 10/06/2009 17727.82 -0.002677509 108 11/06/2009 17775.35 0.002677509 109 12/06/2009 17680.29 -0.005362206 110 15/06/2009 17537.71 -0.00809704 111 16/06/2009 17014.9 -0.030263989 112 17/06/2009 16967.38 -0.002796754 113 18/06/2009 15874.24 -0.066595008

114 19/06/2009 15874.24 0

115 22/06/2009 15779.18 -0.00600632 116 23/06/2009 16634.68 0.052798323 117 24/06/2009 16919.85 0.016997816

118 25/06/2009 16919.85 0

119 26/06/2009 16634.68 -0.016997816 120 29/06/2009 16254.46 -0.02312234 121 30/06/2009 16016.82 -0.014727913 122 01/07/2009 16634.68 0.037850253 123 02/07/2009 16587.15 -0.002861374

124 03/07/2009 16587.15 0

125 06/07/2009 16254.46 -0.020260967 126 07/07/2009 16349.52 0.005831206 127 09/07/2009 16016.82 -0.020559119 128 10/07/2009 15826.71 -0.011940401 129 13/07/2009 15208.85 -0.039821524 130 14/07/2009 15494.02 0.018576648 131 15/07/2009 15969.29 0.03021336 132 16/07/2009 15779.18 -0.011976153 133 17/07/2009 15731.66 -0.003016107 134 21/07/2009 17537.71 0.108678177 135 22/07/2009 17109.96 -0.02469267 136 23/07/2009 17014.9 -0.005571319

137 24/07/2009 17014.9 0

138 27/07/2009 17014.9 0

139 28/07/2009 17442.65 0.024828926 140 29/07/2009 17822.87 0.021564108 141 30/07/2009 18155.57 0.018494937

142 31/07/2009 18345.68 0.010416724 143 03/08/2009 18203.09 -0.007802765

144 04/08/2009 18203.09 0

145 05/08/2009 18012.98 -0.010498751 146 06/08/2009 18345.68 0.018301515

147 07/08/2009 18345.68 0

148 10/08/2009 20056.67 0.089167642 149 11/08/2009 21054.75 0.048564421 150 12/08/2009 20817.12 -0.011350463 151 13/08/2009 21339.92 0.024803772 152 14/08/2009 21862.72 0.024203406 153 18/08/2009 21197.34 -0.030907201 154 19/08/2009 20104.2 -0.052946954 155 20/08/2009 20151.73 0.002361392 156 21/08/2009 20056.67 -0.004728374 157 24/08/2009 21007.23 0.046304897

158 25/08/2009 21007.23 0

159 26/08/2009 21007.23 0

160 27/08/2009 20579.48 -0.020572201 161 28/08/2009 20531.95 -0.002312253 162 31/08/2009 20436.89 -0.004640608 163 01/09/2009 20151.73 -0.01405146 164 02/09/2009 19296.23 -0.043380401 165 03/09/2009 19676.45 0.019512749 166 04/09/2009 19866.56 0.009615427 167 07/09/2009 19961.62 0.004773514 168 08/09/2009 20484.42 0.025853167 169 09/09/2009 20199.26 -0.014018627 170 10/09/2009 20151.73 -0.002355829 171 11/09/2009 19866.56 -0.014252225 172 14/09/2009 19438.81 -0.021766333

173 15/09/2009 19438.81 0

174 16/09/2009 19914.09 0.024155938

175 17/09/2009 19914.09 0

176 24/09/2009 19819.04 -0.00478443 177 25/09/2009 20056.67 0.011918675 178 28/09/2009 19628.92 -0.021557778 179 29/09/2009 19819.04 0.009639103 180 30/09/2009 20009.15 0.009546577 181 01/10/2009 19866.56 -0.007151753 182 02/10/2009 19914.09 0.002389605 183 05/10/2009 19723.98 -0.009592367 184 06/10/2009 19961.62 0.011976276 185 07/10/2009 20294.31 0.016529121 186 08/10/2009 20104.2 -0.009411803 187 09/10/2009 20056.67 -0.002366982 188 12/10/2009 20104.2 0.002366982 189 13/10/2009 20769.59 0.032561149 190 14/10/2009 21577.56 0.038163988

191 15/10/2009 21482.5 -0.004415236 192 16/10/2009 21387.45 -0.004434349 193 19/10/2009 21482.5 0.004434349 194 20/10/2009 21387.45 -0.004434349 195 21/10/2009 21339.92 -0.002224804 196 22/10/2009 20674.53 -0.031676989 197 23/10/2009 20912.17 0.011428778

198 26/10/2009 20912.17 0

199 27/10/2009 20627.01 -0.013729904 200 28/10/2009 20531.95 -0.004619173 201 29/10/2009 20912.17 0.018349077 202 30/10/2009 20579.48 -0.016036823 203 02/11/2009 20598.68 0.000932533 204 03/11/2009 20550.67 -0.002333452 205 04/11/2009 20646.7 0.004661957

206 05/11/2009 20646.7 0

207 06/11/2009 20982.81 0.016148031 208 09/11/2009 21318.92 0.01589141

209 10/11/2009 21318.92 0

210 11/11/2009 21318.92 0

211 12/11/2009 21126.86 -0.009049725 212 13/11/2009 21270.9 0.006794725 213 16/11/2009 21991.14 0.033299704 214 17/11/2009 21751.06 -0.010977153 215 18/11/2009 21895.11 0.006600832 216 19/11/2009 21751.06 -0.006600832

217 20/11/2009 21751.06 0

218 23/11/2009 21847.09 0.00440524 219 24/11/2009 22471.29 0.028170763 220 25/11/2009 22567.32 0.004264348 221 26/11/2009 21318.92 -0.056907901 222 30/11/2009 21414.95 0.004494335 223 01/12/2009 22039.15 0.028731141 224 02/12/2009 22807.4 0.034264627 225 03/12/2009 22903.43 0.004201636 226 04/12/2009 23047.48 0.006269755

227 07/12/2009 23047.48 0

228 08/12/2009 22903.43 -0.006269755 229 09/12/2009 22855.42 -0.002098393 230 10/12/2009 22759.39 -0.004210481 231 11/12/2009 22951.45 0.008403308

232 14/12/2009 22951.45 0

233 15/12/2009 22951.45 0

234 16/12/2009 22999.46 0.002089622 235 17/12/2009 22663.35 -0.014721655 236 21/12/2009 21799.07 -0.038881774 237 22/12/2009 21318.92 -0.022272367

238 23/12/2009 21318.92 0

240 29/12/2009 21943.12 -0.004366767 241 30/12/2009 21847.09 -0.004385919 242 04/01/2010 22903.43 0.047218949 243 05/01/2010 23239.54 0.014568457 244 06/01/2010 23143.51 -0.004140743 245 07/01/2010 24055.81 0.038662152 246 08/01/2010 24247.87 0.007952231 247 11/01/2010 23959.78 -0.011952187 248 12/01/2010 24103.82 0.005993743 249 13/01/2010 23623.67 -0.020121159 250 14/01/2010 23767.71 0.006078761 251 15/01/2010 23719.7 -0.00202201

252 18/01/2010 23719.7 0

253 19/01/2010 23671.68 -0.00202653 254 20/01/2010 23527.64 -0.006103497 255 21/01/2010 23767.71 0.010152037 256 22/01/2010 23527.64 -0.010152037 257 25/01/2010 23287.56 -0.010256588

258 26/01/2010 23287.56 0

259 27/01/2010 23287.56 0

260 28/01/2010 23335.57 0.002059494 261 29/01/2010 22903.43 -0.018692125 262 01/02/2010 22135.18 -0.034118483 263 02/02/2010 21895.11 -0.010904874 264 03/02/2010 22375.26 0.02169256 265 04/02/2010 22903.43 0.023330797 266 05/02/2010 22519.31 -0.016913518 267 08/02/2010 22183.2 -0.015037918 268 09/02/2010 22279.23 0.004319609 269 10/02/2010 22039.15 -0.010834437 270 11/02/2010 22759.39 0.03215739 271 12/02/2010 23047.48 0.012578628 272 15/02/2010 22759.39 -0.012578628 273 16/02/2010 22951.45 0.008403308 274 17/02/2010 23383.59 0.018653379 275 18/02/2010 23287.56 -0.004115182 276 19/02/2010 23239.54 -0.002064174

277 22/02/2010 23431.6 0.0082304

278 23/02/2010 23719.7 0.012220388 279 24/02/2010 23527.64 -0.008130026 280 25/02/2010 23239.54 -0.012320762 281 01/03/2010 22951.45 -0.012474023 282 02/03/2010 22903.43 -0.002094434 283 03/03/2010 23095.5 0.008351112 284 04/03/2010 22951.45 -0.006256678 285 05/03/2010 22759.39 -0.008403308 286 08/03/2010 23431.6 0.029107731 287 09/03/2010 24343.9 0.038195766 288 10/03/2010 23959.78 -0.015904714

289 11/03/2010 23431.6 -0.022291053 290 12/03/2010 23671.68 0.010193858 291 15/03/2010 23431.6 -0.010193858 292 17/03/2010 24007.79 0.024292822 293 18/03/2010 23863.74 -0.006018209

294 19/03/2010 23863.74 0

295 22/03/2010 23431.6 -0.018274613 296 23/03/2010 23191.53 -0.010298413 297 24/03/2010 23239.54 0.002068013 298 25/03/2010 23287.56 0.002064174 299 26/03/2010 23431.6 0.006166226 300 29/03/2010 23239.54 -0.0082304 301 30/03/2010 23335.57 0.004123668 302 31/03/2010 23623.67 0.01227037 303 01/04/2010 23815.73 0.008097111 304 05/04/2010 23623.67 -0.008097111 305 06/04/2010 23431.6 -0.008163637 306 07/04/2010 23671.68 0.010193858 307 08/04/2010 23527.64 -0.006103497 308 09/04/2010 23239.54 -0.012320762 309 12/04/2010 23767.71 0.022472798 310 13/04/2010 23431.6 -0.014242398 311 14/04/2010 23383.59 -0.002051044 312 15/04/2010 23239.54 -0.006179356 313 16/04/2010 22903.43 -0.014568457 314 19/04/2010 22279.23 -0.027631827 315 20/04/2010 22567.32 0.012847988

316 21/04/2010 22567.32 0

317 22/04/2010 22999.46 0.018967895 318 23/04/2010 22711.37 -0.012605057 319 26/04/2010 22855.42 0.006322608 320 27/04/2010 22327.25 -0.023380383 321 28/04/2010 21751.06 -0.026145414 322 29/04/2010 21318.92 -0.020067551

323 30/04/2010 21318.92 0

324 03/05/2010 20934.79 -0.018182573 325 04/05/2010 20790.75 -0.006904192 326 05/05/2010 19878.45 -0.044871946 327 06/05/2010 20118.53 0.012005051 328 07/05/2010 19398.3 -0.036455848 329 10/05/2010 19974.48 0.029270025 330 11/05/2010 20550.67 0.028438085 331 12/05/2010 20838.76 0.01392117 332 14/05/2010 20262.58 -0.028038879 333 17/05/2010 19350.28 -0.046068946 334 18/05/2010 19494.33 0.007416764 335 19/05/2010 18918.14 -0.030002404 336 20/05/2010 18149.89 -0.04145675 337 21/05/2010 17525.69 -0.034996696

338 24/05/2010 17573.7 0.002735662 339 25/05/2010 16421.33 -0.067822367 340 26/05/2010 18389.97 0.113224308 341 27/05/2010 18437.98 0.00260726 342 31/05/2010 19062.19 0.033294124 343 01/06/2010 18245.92 -0.043765299

344 02/06/2010 18245.92 0

345 03/06/2010 18918.14 0.036179757

346 04/06/2010 20646.7 0.08743425

347 07/06/2010 19974.48 -0.033100042 348 08/06/2010 20166.54 0.009569337 349 09/06/2010 20151.65 -0.000738624 350 10/06/2010 19804.21 -0.01739163 351 11/06/2010 19853.85 0.002503402 352 14/06/2010 20350.19 0.024692305 353 15/06/2010 20399.83 0.002436319 354 16/06/2010 20499.1 0.004854415

355 17/06/2010 20648 0.00723748

356 18/06/2010 20052.38 -0.029270612 357 21/06/2010 20151.65 0.004938321 358 22/06/2010 20201.29 0.002460293 359 23/06/2010 20300.56 0.004902008 360 24/06/2010 20201.29 -0.004902008 361 25/06/2010 20399.83 0.009780104 362 28/06/2010 20350.19 -0.002436319 363 29/06/2010 19853.85 -0.024692305 364 30/06/2010 19208.6 -0.033039848 365 01/07/2010 18364.81 -0.044921762

366 02/07/2010 18067 -0.016349264

367 05/07/2010 18067 0

368 06/07/2010 18910.79 0.045645589

369 07/07/2010 18910.79 0

370 08/07/2010 18513.71 -0.02122112 371 09/07/2010 18464.08 -0.002684316 372 12/07/2010 18563.35 0.005361984 373 13/07/2010 18662.62 0.005333386 374 14/07/2010 18464.08 -0.01069537 375 15/07/2010 18414.44 -0.002692084 376 16/07/2010 18612.98 0.010724047 377 19/07/2010 18861.15 0.013245064 378 20/07/2010 20102.02 0.063716057

379 21/07/2010 20102.02 0

380 22/07/2010 20052.38 -0.002472458 381 23/07/2010 21094.71 0.050674448 382 26/07/2010 20499.1 -0.028641315 383 27/07/2010 20350.19 -0.007290734 384 28/07/2010 19605.67 -0.037271438 385 29/07/2010 19307.87 -0.015306025 386 30/07/2010 19357.5 0.002567156

387 02/08/2010 19258.23 -0.005141439 388 03/08/2010 18811.52 -0.023469054 389 04/08/2010 19059.69 0.013106186 390 05/08/2010 20697.63 0.082443567 391 06/08/2010 21045.08 0.016647603 392 09/08/2010 21293.25 0.011723317 393 10/08/2010 20945.81 -0.016451495 394 11/08/2010 20399.83 -0.026412059 395 12/08/2010 19903.48 -0.024631977 396 13/08/2010 20300.56 0.019753881 397 16/08/2010 19953.12 -0.01726295 398 18/08/2010 19655.31 -0.015037991 399 19/08/2010 19853.85 0.010050412 400 20/08/2010 19704.94 -0.007528577 401 23/08/2010 19853.85 0.007528577 402 24/08/2010 19953.12 0.004987579 403 25/08/2010 20052.38 0.004962328 404 26/08/2010 20151.65 0.004938321 405 27/08/2010 19804.21 -0.01739163 406 30/08/2010 19704.94 -0.005025176 407 31/08/2010 19506.4 -0.010126749 408 01/09/2010 19953.12 0.022642905

409 02/09/2010 19953.12 0

410 03/09/2010 20002.75 0.002484242 411 06/09/2010 20449.46 0.022086712 412 07/09/2010 20548.73 0.004842662 413 15/09/2010 20796.9 0.012004799 414 16/09/2010 20548.73 -0.012004799 415 17/09/2010 20499.1 -0.002418156 416 20/09/2010 20548.73 0.002418156 417 21/09/2010 20697.63 0.007220062 418 22/09/2010 21094.71 0.019003097 419 23/09/2010 21491.79 0.018648704 420 24/09/2010 21739.96 0.01148104 421 27/09/2010 22186.67 0.020339616 422 28/09/2010 21541.42 -0.029514065 423 29/09/2010 21193.98 -0.016260414 424 30/09/2010 20548.73 -0.030918041 425 01/10/2010 21045.08 0.023867665 426 04/10/2010 20747.27 -0.014252132 427 05/10/2010 20796.9 0.002389265 428 06/10/2010 21094.71 0.014218361 429 07/10/2010 21243.62 0.007034317 430 08/10/2010 20945.81 -0.014117989 431 11/10/2010 22434.85 0.068676927 432 12/10/2010 23427.54 0.0432967 433 13/10/2010 24172.06 0.031285167 434 14/10/2010 23973.52 -0.008247533 435 15/10/2010 23626.08 -0.014598701

436 18/10/2010 23179.37 -0.019088528 437 19/10/2010 23626.08 0.019088528 438 20/10/2010 24023.15 0.016666762

439 21/10/2010 24023.15 0

440 22/10/2010 24122.42 0.00412375 441 25/10/2010 25611.46 0.059898209

442 26/10/2010 25810 0.007722106

443 27/10/2010 25800 -0.000387522

444 28/10/2010 25450 -0.013658749

445 29/10/2010 24900 -0.02184794

446 01/11/2010 25050 0.006006024

447 02/11/2010 25400 0.013875346

448 03/11/2010 24850 -0.021891421

449 04/11/2010 25650 0.031685819

450 05/11/2010 25950 0.011628038

451 08/11/2010 26200 0.009587801

452 09/11/2010 26000 -0.007662873

453 10/11/2010 26800 0.030305349

454 11/11/2010 26800 0

455 12/11/2010 26100 -0.026466573

456 15/11/2010 25050 -0.041061487

457 16/11/2010 25000 -0.001998003

458 18/11/2010 23950 -0.042907501

459 19/11/2010 24600 0.026778119

460 22/11/2010 25900 0.051496526

461 23/11/2010 25050 -0.033369141

462 24/11/2010 24300 -0.030397477

463 25/11/2010 24600 0.012270093

464 26/11/2010 24100 -0.020534602

465 29/11/2010 23950 -0.006243517

466 30/11/2010 24150 0.008316056

467 01/12/2010 24800 0.026559273

468 02/12/2010 25100 0.012024193

469 03/12/2010 25400 0.011881328

470 06/12/2010 26350 0.036719101

471 08/12/2010 26850 0.018797546

472 09/12/2010 27100 0.009267907

473 10/12/2010 26750 -0.012999255

474 13/12/2010 26700 -0.001870908

475 14/12/2010 26200 -0.018904155

476 15/12/2010 25250 -0.036933255

477 16/12/2010 24050 -0.048691159

478 17/12/2010 23100 -0.040302379

479 20/12/2010 23650 0.023530497

480 21/12/2010 24850 0.049494638

481 22/12/2010 24400 -0.01827462

482 23/12/2010 24350 -0.002051283

483 27/12/2010 24850 0.020325903

485 29/12/2010 25200 0.00796817

486 30/12/2010 26200 0.038915416

487 03/01/2011 26800 0.022642477

488 04/01/2011 26450 -0.013145729

489 05/01/2011 25950 -0.019084549

490 06/01/2011 25950 0

491 07/01/2011 25000 -0.037295785

492 10/01/2011 24500 -0.020202707

493 11/01/2011 23850 -0.0268889

494 12/01/2011 24950 0.045089605

495 13/01/2011 25800 0.03350067

496 14/01/2011 25500 -0.01169604

497 17/01/2011 25200 -0.011834458

498 18/01/2011 24900 -0.011976191

499 19/01/2011 24500 -0.016194686

500 20/01/2011 23450 -0.043802623

501 21/01/2011 22300 -0.050283816

502 24/01/2011 21250 -0.048229783

503 25/01/2011 22850 0.072594222

504 26/01/2011 22350 -0.022124796

505 27/01/2011 22250 -0.004484312

506 28/01/2011 21750 -0.022728251

507 31/01/2011 21700 -0.002301497

508 01/02/2011 22450 0.033978354

509 02/02/2011 22850 0.017660503

510 04/02/2011 22750 -0.004385972

511 07/02/2011 22750 0

512 08/02/2011 22200 -0.024472857

513 09/02/2011 21650 -0.025086834

514 10/02/2011 21700 0.002306806

515 11/02/2011 22250 0.025029748

516 14/02/2011 23000 0.033152207

517 16/02/2011 22300 -0.030907537

518 17/02/2011 21750 -0.024972921

519 18/02/2011 22050 0.013698844

520 21/02/2011 22050 0

521 22/02/2011 22250 0.009029407

522 23/02/2011 22200 -0.00224972

523 24/02/2011 21700 -0.022780028

524 25/02/2011 21450 -0.011587615

525 28/02/2011 21850 0.018476276

526 01/03/2011 22250 0.018141087

527 02/03/2011 22050 -0.009029407

528 03/03/2011 22100 0.002265007

529 04/03/2011 22600 0.022372298

530 07/03/2011 23000 0.01754431

531 08/03/2011 23050 0.002171554

532 09/03/2011 23300 0.010787591

534 11/03/2011 22050 -0.029052323

535 14/03/2011 22200 0.006779687

536 15/03/2011 21700 -0.022780028

537 16/03/2011 21900 0.009174376

538 17/03/2011 21750 -0.006872879

539 18/03/2011 22100 0.015963851

540 21/03/2011 22000 -0.004535155

541 22/03/2011 22000 0

542 23/03/2011 22600 0.026907453

543 24/03/2011 22550 -0.00221484

544 25/03/2011 22400 -0.006674107

545 28/03/2011 22850 0.019890158

546 29/03/2011 22850 0

547 30/03/2011 22900 0.002185793

548 31/03/2011 22700 -0.008771986

549 01/04/2011 22900 0.008771986

550 04/04/2011 22500 -0.017621601

551 05/04/2011 22650 0.006644543

552 06/04/2011 22650 0

553 07/04/2011 22800 0.006600684

554 08/04/2011 22500 -0.013245227

555 11/04/2011 22800 0.013245227

556 12/04/2011 22500 -0.013245227

557 13/04/2011 22750 0.011049836

558 14/04/2011 22550 -0.008830079

559 15/04/2011 22800 0.01102547

560 18/04/2011 22850 0.002190581

561 19/04/2011 22550 -0.013216051

562 20/04/2011 22950 0.017582871

563 21/04/2011 22950 0

564 25/04/2011 22850 -0.004366819

565 26/04/2011 22950 0.004366819

566 27/04/2011 23000 0.002176279

567 28/04/2011 23150 0.006500565

568 29/04/2011 23150 0

569 02/05/2011 24000 0.03605905

570 03/05/2011 23950 -0.002085506

571 04/05/2011 23800 -0.006282743

572 05/05/2011 23650 -0.006322466

573 06/05/2011 23400 -0.010627093

574 09/05/2011 23750 0.014846508

575 10/05/2011 23800 0.00210305

576 11/05/2011 24050 0.010449416

577 12/05/2011 23500 -0.023134575

578 13/05/2011 23650 0.006362694

579 16/05/2011 23600 -0.002116403

580 18/05/2011 23600 0

581 19/05/2011 23850 0.010537505

583 23/05/2011 23150 -0.03605905

584 24/05/2011 23350 0.008602204

585 25/05/2011 22750 -0.026031839

586 26/05/2011 23050 0.013100624

587 27/05/2011 23200 0.006486509

588 30/05/2011 23100 -0.004319661

589 31/05/2011 23600 0.021414095

590 01/06/2011 23650 0.002116403

591 03/06/2011 23850 0.008421102

592 06/06/2011 23600 -0.010537505

593 07/06/2011 23500 -0.004246291

594 08/06/2011 23400 -0.004264399

595 09/06/2011 23000 -0.017241806

596 10/06/2011 22800 -0.00873368

597 13/06/2011 22700 -0.004395611

598 14/06/2011 23050 0.015300845

599 15/06/2011 23050 0

600 16/06/2011 22700 -0.015300845

601 17/06/2011 22850 0.006586193

602 20/06/2011 23000 0.006543099

603 21/06/2011 23300 0.012959145

604 22/06/2011 23150 -0.00645858

605 23/06/2011 23150 0

606 24/06/2011 23000 -0.006500565

607 27/06/2011 22950 -0.002176279

608 28/06/2011 22950 0

609 30/06/2011 23500 0.023682485

610 01/07/2011 23250 -0.010695289

611 04/07/2011 23300 0.002148229

612 05/07/2011 23250 -0.002148229

613 06/07/2011 23100 -0.006472515

614 07/07/2011 23000 -0.004338402

615 08/07/2011 23050 0.002171554

616 11/07/2011 23000 -0.002171554

617 12/07/2011 22900 -0.004357305

618 13/07/2011 23100 0.008695707

619 14/07/2011 22800 -0.013072082

620 15/07/2011 22950 0.006557401

621 18/07/2011 22950 0

622 19/07/2011 22800 -0.006557401

623 20/07/2011 23000 0.00873368

624 21/07/2011 23050 0.002171554

625 22/07/2011 23200 0.006486509

626 25/07/2011 23350 0.006444705

627 26/07/2011 23450 0.004273511

628 27/07/2011 23700 0.010604553

629 28/07/2011 23500 -0.008474627

630 29/07/2011 23500 0

632 02/08/2011 23200 -0.012848142

633 03/08/2011 22900 -0.013015368

634 04/08/2011 23200 0.013015368

635 05/08/2011 21650 -0.069146824

636 08/08/2011 22300 0.029581224

637 09/08/2011 21200 -0.050585497

638 10/08/2011 21200 0

639 11/08/2011 21400 0.00938974

640 12/08/2011 21350 -0.002339182

641 15/08/2011 21850 0.023149182

642 16/08/2011 21700 -0.006888661

643 18/08/2011 22350 0.029514061

644 19/08/2011 21600 -0.034133006

645 22/08/2011 21600 0

646 23/08/2011 21550 -0.002317498

647 24/08/2011 21550 0

648 25/08/2011 21750 0.009237941

649 26/08/2011 21500 -0.011560822

650 05/09/2011 21850 0.016147986

651 06/09/2011 22150 0.013636575

652 07/09/2011 22500 0.015677813

653 08/09/2011 22200 -0.01342302

654 09/09/2011 22300 0.00449439

655 12/09/2011 21550 -0.034210862

656 13/09/2011 21750 0.009237941

657 14/09/2011 21800 0.002296212

658 15/09/2011 21800 0

659 16/09/2011 22400 0.027150989

660 19/09/2011 22000 -0.018018506

661 20/09/2011 21850 -0.006841532

662 21/09/2011 21850 0

663 22/09/2011 20950 -0.042062275

664 23/09/2011 20750 -0.0095924

665 26/09/2011 18800 -0.098689377

666 27/09/2011 19400 0.031416196

667 28/09/2011 19350 -0.002580647

668 29/09/2011 19300 -0.002587324

669 30/09/2011 19300 0

670 03/10/2011 17300 -0.109398594

671 04/10/2011 17000 -0.017493157

672 05/10/2011 16950 -0.00294551

673 06/10/2011 17650 0.04046795

674 07/10/2011 17100 -0.03165732

675 10/10/2011 16700 -0.023669744

676 11/10/2011 17000 0.017804625

677 12/10/2011 18100 0.062698594

678 13/10/2011 18700 0.032611586

679 14/10/2011 18800 0.005333346

681 18/10/2011 19000 -0.028536307

682 19/10/2011 19600 0.031090587

683 20/10/2011 19050 -0.028462465

684 21/10/2011 19250 0.010443959

685 24/10/2011 19850 0.030692946

686 25/10/2011 20200 0.017478597

687 26/10/2011 20400 0.009852296

688 27/10/2011 21450 0.050189745

689 28/10/2011 21000 -0.021202208

690 31/10/2011 21450 0.021202208

691 01/11/2011 21100 -0.016451605

692 02/11/2011 21000 -0.004750603

693 03/11/2011 21150 0.007117468

694 04/11/2011 21350 0.009411834

695 07/11/2011 21500 0.007001195

696 08/11/2011 21250 -0.01169604

697 09/11/2011 21950 0.032410244

698 10/11/2011 21300 -0.030060067

699 11/11/2011 21500 0.009345862

700 14/11/2011 21950 0.020714204

701 15/11/2011 22600 0.029182767

702 16/11/2011 22500 -0.004434597

703 17/11/2011 22750 0.011049836

704 18/11/2011 22750 0

705 21/11/2011 21550 -0.054189329

706 22/11/2011 22150 0.02746168

707 23/11/2011 21150 -0.046197591

708 24/11/2011 20800 -0.016686919

709 25/11/2011 20600 -0.009661911

710 28/11/2011 20900 0.014458083

711 29/11/2011 21800 0.042160811

712 30/11/2011 22400 0.027150989

713 01/12/2011 22600 0.008888947

714 02/12/2011 22250 -0.015607898

715 05/12/2011 22000 -0.011299555

716 06/12/2011 22250 0.011299555

717 07/12/2011 22450 0.008948606

718 08/12/2011 22050 -0.017978012

719 09/12/2011 21800 -0.011402632

720 12/12/2011 21800 0

721 13/12/2011 20900 -0.042160811

722 14/12/2011 20750 -0.007202912

723 15/12/2011 21000 0.011976191

724 16/12/2011 20600 -0.019231362

725 19/12/2011 20600 0

726 20/12/2011 20750 0.007255171

727 21/12/2011 21150 0.019093659

728 22/12/2011 21100 -0.002366865

730 27/12/2011 21500 0.01169604

731 28/12/2011 21500 0

732 29/12/2011 21600 0.00464038

733 30/12/2011 21700 0.004618946

734 02/01/2012 21750 0.002301497

735 03/01/2012 21800 0.002296212

736 04/01/2012 21950 0.00685717

737 05/01/2012 21600 -0.016073825

738 06/01/2012 21750 0.006920443

739 09/01/2012 21700 -0.002301497

740 10/01/2012 21650 -0.002306806

741 11/01/2012 21750 0.004608303

742 12/01/2012 22250 0.022728251

743 13/01/2012 22300 0.00224467

744 16/01/2012 22250 -0.00224467

745 17/01/2012 22300 0.00224467

746 18/01/2012 22300 0

747 19/01/2012 22000 -0.013544225

748 20/01/2012 22100 0.004535155

749 24/01/2012 21700 -0.018265348

750 25/01/2012 21200 -0.023311079

751 26/01/2012 21500 0.014051753

752 27/01/2012 21550 0.002322881

Lampiran 2

Hasil Uji Augmented Dickey-Fuller dengan EViews 5.1

AALI

Null Hypothesis: AALI has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -27.97107 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

ANTM

Null Hypothesis: ANTM has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -29.74887 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

ASII

Null Hypothesis: ASII has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -27.73704 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

BBCA

Null Hypothesis: BBCA has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -29.21560 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

BBNI

Null Hypothesis: BBNI has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -27.82784 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

BBRI

Null Hypothesis: BBRI has a unit root Exogenous: Constant, Linear Trend

Lag Length: 2 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -18.94345 0.0000 Test critical values: 1% level -3.970335

5% level -3.415819

10% level -3.130170

*MacKinnon (1996) one-sided p-values.

BDMN

Null Hypothesis: BDMN has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -26.53496 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

BMRI

Null Hypothesis: BMRI has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -28.07706 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

INCO

Null Hypothesis: INCO has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -29.79118 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

INDF

Null Hypothesis: INDF has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -26.93381 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

ISAT

Null Hypothesis: ISAT has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -27.26592 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

ITMG

Null Hypothesis: ITMG has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -26.41340 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

LPKR

Null Hypothesis: LPKR has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -25.70653 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

LSIP

Null Hypothesis: LSIP has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -28.27157 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

MEDC

Null Hypothesis: MEDC has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -27.43351 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

PGAS

Null Hypothesis: PGAS has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -27.70901 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

PTBA

Null Hypothesis: PTBA has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -26.24086 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

SMGR

Null Hypothesis: SMGR has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -31.19494 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

TINS

Null Hypothesis: TINS has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -28.95366 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

TLKM

Null Hypothesis: TLKM has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -29.35976 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

*MacKinnon (1996) one-sided p-values.

UNTR

Null Hypothesis: UNTR has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=19)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -27.89873 0.0000 Test critical values: 1% level -3.970302

5% level -3.415803

10% level -3.130160

Lampiran 3

Histogram dan Statistik dengan EViews 5.1

0 40 80 120 160 200 240

-0.10 -0.05 -0.00 0.05 0.10 0.15

Series: AALI

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.001097 Median 0.000000 Maximum 0.181471 Minimum -0.109399 Std. Dev. 0.025412 Skewness 0.764840 Kurtosis 8.794686

Jarque-Bera 1126.937 Probability 0.000000

0 40 80 120 160 200

-0.10 -0.05 -0.00 0.05 0.10 0.15

Series: ANTM

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.000797 Median 0.000000 Maximum 0.181901 Minimum -0.122821 Std. Dev. 0.028376 Skewness 0.576561 Kurtosis 7.099520

Jarque-Bera 569.0094 Probability 0.000000

0 40 80 120 160

-0.10 -0.05 -0.00 0.05 0.10 0.15

Series: ASII

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.002721 Median 0.001358 Maximum 0.145311 Minimum -0.103253 Std. Dev. 0.026112 Skewness 0.574779 Kurtosis 6.743089

Jarque-Bera 481.0477 Probability 0.000000

0 20 40 60 80 100 120

-0.05 0.00 0.05 0.10

Series: BBCA

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.001263

Median 0.000000

Maximum 0.109199

Minimum -0.087598

Std. Dev. 0.022500

Skewness -0.062762

Kurtosis 4.669236

Jarque-Bera 87.91601 Probability 0.000000

0 40 80 120 160 200 240

-0.15 -0.10 -0.05 0.00 0.05 0.10 0.15

Series: BBNI

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.002262 Median 0.000000 Maximum 0.144824 Minimum -0.160623 Std. Dev. 0.025391 Skewness 0.225883 Kurtosis 7.915199

Jarque-Bera 764.3976 Probability 0.000000

0 40 80 120 160 200

-0.15 -0.10 -0.05 0.00 0.05 0.10

Series: BBRI

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.001605 Median 0.000000 Maximum 0.111227 Minimum -0.140582 Std. Dev. 0.026640 Skewness 0.067720 Kurtosis 5.061611

Jarque-Bera 133.9268 Probability 0.000000

0 40 80 120 160 200

-0.2 -0.1 0.0 0.1

Series: BDMN

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.000558 Median 0.000000 Maximum 0.114775 Minimum -0.233196 Std. Dev. 0.029698 Skewness -0.453319 Kurtosis 10.35258

Jarque-Bera 1721.936 Probability 0.000000

0 40 80 120 160 200

-0.15 -0.10 -0.05 0.00 0.05 0.10

Series: BMRI

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.001653 Median 0.000000 Maximum 0.102781 Minimum -0.156842 Std. Dev. 0.025979 Skewness 0.043958 Kurtosis 5.510889

Jarque-Bera 198.0482 Probability 0.000000

0 40 80 120 160 200

-0.1 0.0 0.1

Series: INCO

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.001086 Median 0.000000 Maximum 0.183480 Minimum -0.144739 Std. Dev. 0.031269 Skewness 0.834879 Kurtosis 9.001100

Jarque-Bera 1217.390 Probability 0.000000

0 40 80 120 160 200 240

-0.10 -0.05 -0.00 0.05 0.10

Series: INDF

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.002242 Median 0.000000 Maximum 0.105363 Minimum -0.139262 Std. Dev. 0.025517 Skewness 0.264055 Kurtosis 5.305262

Jarque-Bera 175.4846 Probability 0.000000

0 40 80 120 160 200 240 280

-0.15 -0.10 -0.05 0.00 0.05 0.10

Series: ISAT

Sample 1/05/2009 1/30/2012 Observations 753

Mean -1.41e-05

Median 0.000000

Maximum 0.097856

Minimum -0.157185

Std. Dev. 0.023082

Skewness -0.065411

Kurtosis 6.966391

Jarque-Bera 494.1365

Probability 0.000000

0 40 80 120 160 200

-0.10 -0.05 -0.00 0.05 0.10 0.15

Series: ITMG

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.001823 Median 0.000000 Maximum 0.180944 Minimum -0.127059 Std. Dev. 0.028883 Skewness 0.985660 Kurtosis 8.934519

Jarque-Bera 1226.907 Probability 0.000000

0 40 80 120 160 200 240 280 320

-0.20 -0.15 -0.10 -0.05 0.00 0.05 0.10

Series: LPKR

Sample 1/05/2009 1/30/2012 Observations 753

Mean -0.000250 Median 0.000000 Maximum 0.100084 Minimum -0.194158 Std. Dev. 0.024064 Skewness -0.780927 Kurtosis 11.20425

Jarque-Bera 2188.378 Probability 0.000000

0 40 80 120 160 200

-0.10 -0.05 -0.00 0.05 0.10 0.15

Series: LSIP

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.002312 Median 0.000000 Maximum 0.181961 Minimum -0.119003 Std. Dev. 0.027916 Skewness 0.762355 Kurtosis 7.781482

Jarque-Bera 790.2518 Probability 0.000000

0 40 80 120 160 200 240

-0.1 -0.0 0.1 0.2

Series: MEDC

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.000375 Median 0.000000 Maximum 0.221928 Minimum -0.130620 Std. Dev. 0.027660 Skewness 1.065271 Kurtosis 11.01611

Jarque-Bera 2158.514 Probability 0.000000

0 40 80 120 160 200 240

-0.10 -0.05 -0.00 0.05 0.10

Series: PGAS

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.000869 Median 0.000000 Maximum 0.120144 Minimum -0.137784 Std. Dev. 0.023769 Skewness 0.019517 Kurtosis 7.053839

Jarque-Bera 515.6522 Probability 0.000000

0 40 80 120 160 200

-0.10 -0.05 -0.00 0.05 0.10

Series: PTBA

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.001503 Median 0.000000 Maximum 0.136859 Minimum -0.091808 Std. Dev. 0.024313 Skewness 0.531617 Kurtosis 6.383326

Jarque-Bera 394.6147 Probability 0.000000

0 40 80 120 160 200 240

-0.05 0.00 0.05 0.10 0.15

Series: SMGR

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.001368 Median 0.000000 Maximum 0.144830 Minimum -0.083614 Std. Dev. 0.022331 Skewness 0.265262 Kurtosis 5.915700

Jarque-Bera 275.5592 Probability 0.000000

0 40 80 120 160 200 240

-0.10 -0.05 -0.00 0.05 0.10 0.15

Series: TINS

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.000832 Median 0.000000 Maximum 0.154148 Minimum -0.115999 Std. Dev. 0.029316 Skewness 0.556363 Kurtosis 6.426712

Jarque-Bera 407.2637 Probability 0.000000

0 20 40 60 80 100 120

-0.05 0.00 0.05

Series: TLKM

Sample 1/05/2009 1/30/2012 Observations 753

Mean 9.83e-05

Median 0.000000

Maximum 0.069959

Minimum -0.090026

Std. Dev. 0.018689

Skewness 0.022386

Kurtosis 4.493124

Jarque-Bera 70.01096

Probability 0.000000

0 40 80 120 160 200

-0.10 -0.05 -0.00 0.05 0.10 0.15

Series: UNTR

Sample 1/05/2009 1/30/2012 Observations 753

Mean 0.002522

Median 0.000000

Maximum 0.181373

Minimum -0.099608

Std. Dev. 0.026994

Skewness 0.802565

Kurtosis 7.977233

Jarque-Bera 858.0841

Lampiran 4

Hasil Uji White Heteroskedsaticity dengan EViews 5.1

AALI

White Heteroskedasticity Test:

F-statistic 8.184392 Prob. F(2,749) 0.000305 Obs*R-squared 16.08287 Prob. Chi-Square(2) 0.000322

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 17:55 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000534 5.30E-05 10.08079 0.0000 AALI(-1) -0.004323 0.002058 -2.100801 0.0360 AALI(-1)^2 0.113030 0.028754 3.930883 0.0001

ANTM

White Heteroskedasticity Test:

F-statistic 5.017788 Prob. F(2,749) 0.006843 Obs*R-squared 9.942555 Prob. Chi-Square(2) 0.006934

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:13 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000692 7.61E-05 9.092138 0.0000 ANTM(-1) -0.002621 0.002565 -1.021604 0.3073 ANTM(-1)^2 0.115085 0.036420 3.159947 0.0016

ASII

White Heteroskedasticity Test:

F-statistic 4.633020 Prob. F(2,749) 0.010006 Obs*R-squared 9.189469 Prob. Chi-Square(2) 0.010105

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:18 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000588 5.78E-05 10.17880 0.0000 ASII(-1) 0.000137 0.002160 0.063458 0.9494 ASII(-1)^2 0.096478 0.033693 2.863457 0.0043

BBCA

White Heteroskedasticity Test:

F-statistic 10.29882 Prob. F(2,749) 0.000039 Obs*R-squared 20.12665 Prob. Chi-Square(2) 0.000043

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:21 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000417 3.88E-05 10.74161 0.0000 BBCA(-1) -0.000867 0.001529 -0.566796 0.5710 BBCA(-1)^2 0.160315 0.035499 4.516009 0.0000

BBNI

White Heteroskedasticity Test:

F-statistic 8.749827 Prob. F(2,749) 0.000175 Obs*R-squared 17.16862 Prob. Chi-Square(2) 0.000187

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:24 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000545 6.56E-05 8.308893 0.0000 BBNI(-1) 0.002801 0.002442 1.146851 0.2518 BBNI(-1)^2 0.137925 0.036284 3.801236 0.0002

BBRI

White Heteroskedasticity Test:

F-statistic 7.776971 Prob. F(2,749) 0.000454 Obs*R-squared 15.29855 Prob. Chi-Square(2) 0.000476

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:34 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000614 5.74E-05 10.68395 0.0000 BBRI(-1) 0.003393 0.001940 1.748950 0.0807 BBRI(-1)^2 0.120918 0.036017 3.357242 0.0008

BDMN

White Heteroskedasticity Test:

F-statistic 14.82283 Prob. F(2,749) 0.000000 Obs*R-squared 28.63118 Prob. Chi-Square(2) 0.000001

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:37 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000703 0.000101 6.936610 0.0000 BDMN(-1) 0.005584 0.003270 1.707846 0.0881 BDMN(-1)^2 0.193200 0.036081 5.354620 0.0000

BMRI

White Heteroskedasticity Test:

F-statistic 2.594645 Prob. F(2,749) 0.075343 Obs*R-squared 5.174227 Prob. Chi-Square(2) 0.075237

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:39 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000617 5.71E-05 10.79945 0.0000 BMRI(-1) -0.001903 0.001997 -0.952564 0.3411 BMRI(-1)^2 0.077186 0.036078 2.139408 0.0327

INCO

White Heteroskedasticity Test:

F-statistic 4.440309 Prob. F(2,749) 0.012104 Obs*R-squared 8.811710 Prob. Chi-Square(2) 0.012206

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:41 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000835 9.91E-05 8.431371 0.0000 INCO(-1) -0.003871 0.003143 -1.231532 0.2185 INCO(-1)^2 0.104623 0.035296 2.964184 0.0031

INDF

White Heteroskedasticity Test:

F-statistic 15.97825 Prob. F(2,749) 0.000000 Obs*R-squared 30.77160 Prob. Chi-Square(2) 0.000000

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:43 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000539 5.33E-05 10.11260 0.0000 INDF(-1) -0.006292 0.001928 -3.264031 0.0011 INDF(-1)^2 0.186571 0.035911 5.195312 0.0000

ISAT

White Heteroskedasticity Test:

F-statistic 25.69550 Prob. F(2,749) 0.000000 Obs*R-squared 48.28395 Prob. Chi-Square(2) 0.000000

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:45 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000398 4.96E-05 8.020645 0.0000 ISAT(-1) 0.000839 0.001990 0.421692 0.6734 ISAT(-1)^2 0.252926 0.035299 7.165217 0.0000

ITMG

White Heteroskedasticity Test:

F-statistic 2.019521 Prob. F(2,749) 0.133441 Obs*R-squared 4.033469 Prob. Chi-Square(2) 0.133089

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:47 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000737 7.93E-05 9.292434 0.0000 ITMG(-1) -0.002420 0.002806 -0.862686 0.3886 ITMG(-1)^2 0.068111 0.033925 2.007730 0.0450

LPKR

White Heteroskedasticity Test:

F-statistic 0.893918 Prob. F(2,749) 0.409486 Obs*R-squared 1.790723 Prob. Chi-Square(2) 0.408460

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:49 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000549 7.08E-05 7.748252 0.0000 LPKR(-1) 0.002350 0.002895 0.811941 0.4171 LPKR(-1)^2 0.046341 0.037613 1.232028 0.2183

LSIP

White Heteroskedasticity Test:

F-statistic 3.376622 Prob. F(2,749) 0.034684 Obs*R-squared 6.719705 Prob. Chi-Square(2) 0.034740

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:51 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000709 7.71E-05 9.193918 0.0000 LSIP(-1) -0.005362 0.002753 -1.947466 0.0519 LSIP(-1)^2 0.085097 0.037121 2.292410 0.0222

MEDC

White Heteroskedasticity Test:

F-statistic 9.715845 Prob. F(2,749) 0.000068 Obs*R-squared 19.01617 Prob. Chi-Square(2) 0.000074

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:53 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000644 9.20E-05 7.002470 0.0000 MEDC(-1) 0.000814 0.003366 0.241736 0.8091 MEDC(-1)^2 0.155178 0.038329 4.048571 0.0001

PGAS

White Heteroskedasticity Test:

F-statistic 19.52068 Prob. F(2,749) 0.000000 Obs*R-squared 37.25578 Prob. Chi-Square(2) 0.000000

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:55 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000449 5.35E-05 8.401468 0.0000 PGAS(-1) -0.005253 0.002087 -2.516619 0.0121 PGAS(-1)^2 0.207175 0.035655 5.810594 0.0000

PTBA

White Heteroskedasticity Test:

F-statistic 10.31797 Prob. F(2,749) 0.000038 Obs*R-squared 20.16308 Prob. Chi-Square(2) 0.000042

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:57 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000487 4.92E-05 9.892032 0.0000 PTBA(-1) -0.004327 0.001936 -2.234239 0.0258 PTBA(-1)^2 0.149836 0.033892 4.421042 0.0000

SMGR

White Heteroskedasticity Test:

F-statistic 13.52005 Prob. F(2,749) 0.000002 Obs*R-squared 26.20246 Prob. Chi-Square(2) 0.000002

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 18:58 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000411 4.21E-05 9.767807 0.0000 SMGR(-1) -0.004610 0.001752 -2.630655 0.0087 SMGR(-1)^2 0.171154 0.035075 4.879681 0.0000

TINS

White Heteroskedasticity Test:

F-statistic 5.250872 Prob. F(2,749) 0.005438 Obs*R-squared 10.39802 Prob. Chi-Square(2) 0.005522

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 19:00 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000740 7.26E-05 10.19044 0.0000 TINS(-1) 0.001432 0.002353 0.608536 0.5430 TINS(-1)^2 0.099826 0.034268 2.913130 0.0037

TLKM

White Heteroskedasticity Test:

F-statistic 7.814844 Prob. F(2,749) 0.000438 Obs*R-squared 15.37153 Prob. Chi-Square(2) 0.000459

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 19:02 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000295 2.61E-05 11.28898 0.0000 TLKM(-1) 0.000142 0.001233 0.115031 0.9085 TLKM(-1)^2 0.139480 0.035319 3.949168 0.0001

UNTR

White Heteroskedasticity Test:

F-statistic 2.014776 Prob. F(2,749) 0.134072 Obs*R-squared 4.024043 Prob. Chi-Square(2) 0.133718

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/12 Time: 19:03 Sample: 1/06/2009 11/23/2011 Included observations: 752

Variable Coefficient Std. Error t-Statistic Prob. C 0.000650 6.03E-05 10.77796 0.0000 UNTR(-1) -0.002837 0.002246 -1.263062 0.2070 UNTR(-1)^2 0.058946 0.030794 1.914188 0.0560

Lampiran 5

Contoh Perhitungan VaR EWMA

BBNI

Tanggal Return Forecast

Variance

Volatilitas

EWMA Posisi

Cornish Fisher

Holding

Period VaR

30/01/2012 -0.0204785 0.000210166 0.014497103 3625 1.5849 1 83.2878 27/01/2012 0.00677969 0.000199155 0.014112238 3700 1.5849 1 82.7542 26/01/2012 -0.0067797 0.000207218 0.014395066 3675 1.5849 1 83.8423 25/01/2012 0 0.000215705 0.014686898 3700 1.5849 1 86.124 24/01/2012 0.00677969 0.000227058 0.01506844 3700 1.5849 1 88.3613 20/01/2012 -0.0067797 0.000236589 0.015381454 3675 1.5849 1 89.5874 19/01/2012 -0.006734 0.000246622 0.015704204 3700 1.5849 1 92.0895 18/01/2012 0.00673403 0.000257215 0.016037937 3725 1.5849 1 94.6819 17/01/2012 0 0.000268366 0.016381892 3700 1.5849 1 96.0634 16/01/2012 -0.006734 0.000282491 0.016807467 3700 1.5849 1 98.559 13/01/2012 0.00673403 0.000294972 0.017174754 3725 1.5849 1 101.393 12/01/2012 -0.006734 0.00030811 0.017553072 3700 1.5849 1 102.931 11/01/2012 -0.006689 0.00032194 0.017942686 3725 1.5849 1 105.927 10/01/2012 0.00668899 0.000336529 0.018344735 3750 1.5849 1 109.027 09/01/2012 -0.0133335 0.000351887 0.018758638 3725 1.5849 1 110.744 06/01/2012 -0.0196728 0.00036105 0.019001312 3775 1.5849 1 113.682 05/01/2012 -0.0192932 0.000359683 0.018965314 3850 1.5849 1 115.721 04/01/2012 0.0063898 0.000359023 0.018947899 3925 1.5849 1 117.867 03/01/2012 0.01941809 0.00037577 0.019384785 3900 1.5849 1 119.817 02/01/2012 0.0065574 0.000375702 0.019383031 3825 1.5849 1 117.502 30/12/2011 -0.0130721 0.000393213 0.019829588 3800 1.5849 1 119.423 29/12/2011 0.00651468 0.000404914 0.020122482 3850 1.5849 1 122.782 28/12/2011 -0.0065147 0.000423992 0.020591062 3825 1.5849 1 124.825 27/12/2011 -0.0192932 0.000444073 0.02107305 3850 1.5849 1 128.582 23/12/2011 0.0192932 0.000447855 0.02116258 3925 1.5849 1 131.644 22/12/2011 -0.0064725 0.000451835 0.021256415 3850 1.5849 1 129.701 21/12/2011 -0.0064309 0.000473411 0.021758012 3875 1.5849 1 133.624 20/12/2011 0.00643089 0.000496151 0.022274442 3900 1.5849 1 137.678 19/12/2011 -0.0064309 0.000520087 0.022805423 3875 1.5849 1 140.056 16/12/2011 0.03257617 0.000545284 0.023351311 3900 1.5849 1 144.334 15/12/2011 -0.0196728 0.00051813 0.022762466 3775 1.5849 1 136.185 14/12/2011 0.00651468 0.00052503 0.022913544 3850 1.5849 1 139.812 13/12/2011 -0.0384663 0.00055043 0.023461243 3825 1.5849 1 142.225 12/12/2011 0.0126584 0.000501523 0.022394717 3975 1.5849 1 141.083 09/12/2011 0.01282069 0.000519486 0.022792234 3925 1.5849 1 141.781 08/12/2011 0 0.000538176 0.023198625 3875 1.5849 1 142.471 07/12/2011 0.0129872 0.000566501 0.023801287 3875 1.5849 1 146.172 06/12/2011 -0.0129872 0.00058744 0.02423716 3825 1.5849 1 146.928 05/12/2011 -0.0191699 0.000609481 0.024687661 3875 1.5849 1 151.616 02/12/2011 0 0.000622217 0.024944281 3950 1.5849 1 156.157 01/12/2011 0.03871451 0.000654965 0.025592292 3950 1.5849 1 160.213 30/11/2011 0.00660068 0.000610552 0.024709358 3800 1.5849 1 148.812

29/11/2011 0.02006756 0.000640394 0.025305999 3775 1.5849 1 151.402 28/11/2011 0.01360565 0.000652903 0.025551975 3700 1.5849 1 149.837 25/11/2011 -0.0136057 0.000677524 0.02602929 3650 1.5849 1 150.573 24/11/2011 0.01360565 0.00070344 0.026522448 3700 1.5849 1 155.528 23/11/2011 -0.0203397 0.000730721 0.027031844 3650 1.5849 1 156.373 22/11/2011 0.02033968 0.000747406 0.027338722 3725 1.5849 1 161.397 21/11/2011 -0.0468313 0.000764969 0.027658074 3650 1.5849 1 159.995 18/11/2011 -0.0129872 0.000689801 0.026264054 3825 1.5849 1 159.216 17/11/2011 -0.0064309 0.000717229 0.026781124 3875 1.5849 1 164.472 16/11/2011 -0.012739 0.000752801 0.027437216 3900 1.5849 1 169.589 15/11/2011 -0.0063092 0.000783881 0.02799787 3950 1.5849 1 175.273 14/11/2011 0.00630917 0.000823043 0.028688719 3975 1.5849 1 180.734 11/11/2011 0 0.000864266 0.029398394 3950 1.5849 1 184.04 10/11/2011 -0.0188093 0.000909753 0.030162116 3950 1.5849 1 188.821 09/11/2011 0.01880933 0.000939014 0.030643342 4025 1.5849 1 195.476 08/11/2011 -0.0188093 0.000969816 0.031141863 3950 1.5849 1 194.955 07/11/2011 0.00623055 0.001002238 0.031658143 4025 1.5849 1 201.95 04/11/2011 0.02531781 0.001052944 0.032449102 4000 1.5849 1 205.71 03/11/2011 -0.0253178 0.001074626 0.032781488 3900 1.5849 1 202.622 02/11/2011 0.01892801 0.001097449 0.033127765 4000 1.5849 1 210.012 01/11/2011 -0.0251586 0.001136353 0.033709836 3925 1.5849 1 209.695 31/10/2011 -0.006192 0.001162848 0.034100553 4025 1.5849 1 217.53 28/10/2011 0.00619197 0.001222032 0.034957579 4050 1.5849 1 224.382 27/10/2011 0 0.001284332 0.035837577 4025 1.5849 1 228.611 26/10/2011 0.01250016 0.001351928 0.036768578 4025 1.5849 1 234.55 25/10/2011 -0.0062696 0.001414859 0.037614605 3975 1.5849 1 236.966 24/10/2011 0.04473589 0.001487256 0.038564957 4000 1.5849 1 244.481 21/10/2011 -0.0129872 0.001460201 0.038212576 3825 1.5849 1 231.649 20/10/2011 0 0.001528176 0.039091897 3875 1.5849 1 240.077 19/10/2011 0.0195446 0.001608607 0.04010744 3875 1.5849 1 246.314 18/10/2011 -0.0259755 0.001673165 0.040904346 3800 1.5849 1 246.346 17/10/2011 0.0459097 0.001725715 0.041541725 3900 1.5849 1 256.768 14/10/2011 0.01351372 0.00170561 0.041299037 3725 1.5849 1 243.814 13/10/2011 0.02061929 0.001785768 0.042258346 3675 1.5849 1 246.129 12/10/2011 0.02817088 0.001857379 0.04309732 3600 1.5849 1 245.892 11/10/2011 0.01438874 0.001913367 0.043742056 3500 1.5849 1 242.638 10/10/2011 0.02941389 0.002003174 0.044756836 3450 1.5849 1 244.721 07/10/2011 -0.0221411 0.002063069 0.045421019 3350 1.5849 1 241.154 06/10/2011 0.07579384 0.00214585 0.04632332 3425 1.5849 1 251.451 05/10/2011 0 0.001956437 0.044231624 3175 1.5849 1 222.571 04/10/2011 -0.0757938 0.002059407 0.045380688 3175 1.5849 1 228.353 03/10/2011 -0.0839654 0.001865444 0.043190783 3425 1.5849 1 234.447 30/09/2011 0.00673403 0.001592563 0.039906925 3725 1.5849 1 235.595 29/09/2011 0.01360565 0.001673995 0.040914485 3700 1.5849 1 239.923 28/09/2011 0.02777956 0.001752357 0.041861166 3650 1.5849 1 242.157 27/09/2011 0.03584613 0.001803971 0.042473174 3550 1.5849 1 238.966 26/09/2011 0 0.001831288 0.042793547 3425 1.5849 1 232.29 23/09/2011 0.037179 0.001927671 0.043905253 3425 1.5849 1 238.325 22/09/2011 -0.1606232 0.001956376 0.044230941 3300 1.5849 1 231.33

21/09/2011 -0.0128207 0.000701459 0.026485062 3875 1.5849 1 162.654 20/09/2011 0.0063898 0.000729726 0.027013447 3925 1.5849 1 168.04 19/09/2011 -0.0500104 0.000765984 0.027676417 3900 1.5849 1 171.067 16/09/2011 0.05644131 0.000674665 0.025974318 4100 1.5849 1 168.78 15/09/2011 -0.0128207 0.00054251 0.023291836 3875 1.5849 1 143.043 14/09/2011 -0.0251586 0.000562412 0.023715221 3925 1.5849 1 147.523 13/09/2011 -0.006192 0.000558699 0.023636814 4025 1.5849 1 150.781 12/09/2011 -0.0183491 0.000586086 0.024209219 4050 1.5849 1 155.392 09/09/2011 -0.0180185 0.000599212 0.024478814 4125 1.5849 1 160.032 08/09/2011 0.01197619 0.000613662 0.024772205 4200 1.5849 1 164.895 07/09/2011 0.02439145 0.000638411 0.025266801 4150 1.5849 1 166.185 06/09/2011 -0.0303975 0.000640699 0.025312033 4050 1.5849 1 162.47 05/09/2011 0.01204834 0.000625788 0.025015757 4175 1.5849 1 165.525 26/08/2011 0 0.000651084 0.025516351 4125 1.5849 1 166.815 25/08/2011 0.00607905 0.000685352 0.026179224 4125 1.5849 1 171.148 24/08/2011 -0.0121214 0.000719478 0.026823086 4100 1.5849 1 174.295 23/08/2011 0.02439145 0.000749612 0.027379046 4150 1.5849 1 180.077 22/08/2011 -0.0303975 0.000757753 0.027527307 4050 1.5849 1 176.69 19/08/2011 -0.0637897 0.000749002 0.027367909 4175 1.5849 1 181.088 18/08/2011 0.02272825 0.000574259 0.023963699 4450 1.5849 1 169.008 16/08/2011 0.00576371 0.000577295 0.024026963 4350 1.5849 1 165.646 15/08/2011 0.02932762 0.00060593 0.024615654 4325 1.5849 1 168.729 12/08/2011 0.03021378 0.000592553 0.024342404 4200 1.5849 1 162.034 11/08/2011 0 0.000575694 0.023993617 4075 1.5849 1 154.959 10/08/2011 0.0375044 0.000605993 0.024616932 4075 1.5849 1 158.984 09/08/2011 -0.0436206 0.000563857 0.023745678 3925 1.5849 1 147.712 08/08/2011 0 0.000493389 0.022212355 4100 1.5849 1 144.335 05/08/2011 -0.0240976 0.000519357 0.022789396 4100 1.5849 1 148.084 04/08/2011 -0.040822 0.000516128 0.022718459 4200 1.5849 1 151.224 03/08/2011 -0.0113638 0.000455586 0.021344458 4375 1.5849 1 147.998 02/08/2011 -0.0333364 0.000472768 0.021743218 4425 1.5849 1 152.486 01/08/2011 0.0277026 0.00043916 0.020956137 4575 1.5849 1 151.948 29/07/2011 0 0.000421882 0.020539768 4450 1.5849 1 144.86 28/07/2011 -0.0056023 0.000444086 0.021073357 4450 1.5849 1 148.623 27/07/2011 0.06939199 0.000465807 0.021582574 4475 1.5849 1 153.069 26/07/2011 0.03658945 0.00023689 0.015391216 4175 1.5849 1 101.841 25/07/2011 0.01250016 0.000178895 0.01337516 4025 1.5849 1 85.3212 22/07/2011 0.00630917 0.000180087 0.013419632 3975 1.5849 1 84.5415 21/07/2011 0 0.00018747 0.013691958 3950 1.5849 1 85.7146 20/07/2011 0.01273903 0.000197337 0.014047653 3950 1.5849 1 87.9413 19/07/2011 -0.0190482 0.000199181 0.014113167 3900 1.5849 1 87.2331 18/07/2011 0.00630917 0.000190568 0.013804644 3975 1.5849 1 86.967 15/07/2011 0.01273903 0.000198503 0.014089112 3950 1.5849 1 88.2009 14/07/2011 0 0.000200409 0.014156603 3900 1.5849 1 87.5016 13/07/2011 0.01290341 0.000210957 0.014524368 3900 1.5849 1 89.7747 12/07/2011 -0.0192932 0.000213297 0.014604699 3850 1.5849 1 89.1139 11/07/2011 0.01282069 0.000204932 0.014315463 3925 1.5849 1 89.0507 08/07/2011 0.02614528 0.000207067 0.014389835 3875 1.5849 1 88.373 07/07/2011 -0.0066007 0.000181988 0.013490291 3775 1.5849 1 80.7106

06/07/2011 -0.0195446 0.000189273 0.013757659 3800 1.5849 1 82.8553 05/07/2011 0 0.00017913 0.01338395 3875 1.5849 1 82.1955 04/07/2011 -0.0064309 0.000188558 0.013731643 3875 1.5849 1 84.3308 01/07/2011 0.00643089 0.000196305 0.014010905 3900 1.5849 1 86.601 30/06/2011 0.02614528 0.000204461 0.014298975 3875 1.5849 1 87.815 28/06/2011 0.00664454 0.000179244 0.013388208 3775 1.5849 1 80.0998 27/06/2011 -0.0132452 0.000186354 0.013651166 3750 1.5849 1 81.1322 24/06/2011 0.00660068 0.000186929 0.013672197 3800 1.5849 1 82.3406 23/06/2011 0 0.000194474 0.013945402 3775 1.5849 1 83.4335 22/06/2011 0.01333353 0.00020471 0.014307681 3775 1.5849 1 85.6009 21/06/2011 0.03413301 0.000206127 0.014357121 3725 1.5849 1 84.759 20/06/2011 -0.0069204 0.000155657 0.012476243 3600 1.5849 1 71.1834 17/06/2011 -0.0136988 0.000161328 0.012701513 3625 1.5849 1 72.9719 16/06/2011 -0.0067797 0.000159943 0.012646844 3675 1.5849 1 73.66 15/06/2011 0 0.000165942 0.012881829 3700 1.5849 1 75.5391 14/06/2011 0.00677969 0.000174675 0.013216478 3700 1.5849 1 77.5014 13/06/2011 -0.0202027 0.00018145 0.013470321 3675 1.5849 1 78.4563 10/06/2011 0 0.000169518 0.013019907 3750 1.5849 1 77.3805 09/06/2011 0 0.00017844 0.013358143 3750 1.5849 1 79.3907 08/06/2011 -0.0198026 0.000187832 0.013705166 3750 1.5849 1 81.4531 07/06/2011 0.01315809 0.000177078 0.013307076 3825 1.5849 1 80.6689 06/06/2011 -0.0196728 0.000177286 0.013314872 3775 1.5849 1 79.6611 03/06/2011 0.00651468 0.000166247 0.012893692 3850 1.5849 1 78.6738 01/06/2011 -0.0129872 0.000172763 0.013143949 3825 1.5849 1 79.68 31/05/2011 0.00647252 0.000172979 0.013152148 3875 1.5849 1 80.772 30/05/2011 0 0.000179878 0.013411869 3850 1.5849 1 81.8356 27/05/2011 0.01307208 0.000189345 0.013760287 3850 1.5849 1 83.9616 26/05/2011 0.00660068 0.000190317 0.013795557 3800 1.5849 1 83.0836 25/05/2011 -0.0066007 0.000198041 0.014072704 3775 1.5849 1 84.1951 24/05/2011 -0.0065574 0.000206171 0.01435866 3800 1.5849 1 86.4748 23/05/2011 -0.0321571 0.000214759 0.014654661 3825 1.5849 1 88.8381 20/05/2011 0 0.000171637 0.013101028 3950 1.5849 1 82.0153 19/05/2011 0.00634923 0.00018067 0.013441371 3950 1.5849 1 84.1459 18/05/2011 0.01282069 0.000188058 0.013713414 3925 1.5849 1 85.3056 16/05/2011 -0.0128207 0.000189304 0.013758795 3875 1.5849 1 84.4976 13/05/2011 0.0063898 0.000190617 0.013806403 3925 1.5849 1 85.884 12/05/2011 -0.012739 0.0001985 0.014089014 3900 1.5849 1 87.0838 11/05/2011 0 0.000200406 0.0141565 3950 1.5849 1 88.6228 10/05/2011 0.01273903 0.000210954 0.014524263 3950 1.5849 1 90.925 09/05/2011 0 0.000213516 0.014612182 3900 1.5849 1 90.3175 06/05/2011 0.00643089 0.000224754 0.014991782 3900 1.5849 1 92.6638 05/05/2011 -0.0191699 0.000234406 0.015310324 3875 1.5849 1 94.0261 04/05/2011 -0.0063092 0.000227402 0.015079848 3950 1.5849 1 94.4031 03/05/2011 -0.024846 0.000237275 0.015403744 3975 1.5849 1 97.0411 02/05/2011 0.00615387 0.000217273 0.014740175 4075 1.5849 1 95.1968 29/04/2011 0 0.000226715 0.015057059 4050 1.5849 1 96.6468 28/04/2011 -0.0122701 0.000238647 0.015448216 4050 1.5849 1 99.1575 27/04/2011 0 0.000243284 0.015597558 4100 1.5849 1 101.352 26/04/2011 -0.0121214 0.000256088 0.016002757 4100 1.5849 1 103.985

25/04/2011 0.01212136 0.000261834 0.016181271 4150 1.5849 1 106.427 21/04/2011 0.01846206 0.000267881 0.016367078 4100 1.5849 1 106.352 20/04/2011 0.01880933 0.000264041 0.016249335 4025 1.5849 1 103.656 19/04/2011 -0.0125788 0.000259317 0.016103329 3950 1.5849 1 100.81 18/04/2011 0 0.000264638 0.016267692 4000 1.5849 1 103.128 15/04/2011 0.01257878 0.000278566 0.0166903 4000 1.5849 1 105.807 14/04/2011 0 0.0002849 0.016878975 3950 1.5849 1 105.666 13/04/2011 0.00634923 0.000299895 0.017317463 3950 1.5849 1 108.411 12/04/2011 -0.0063492 0.000313557 0.017707533 3925 1.5849 1 110.151 11/04/2011 -0.0063092 0.000327938 0.018109059 3950 1.5849 1 113.367 08/04/2011 -0.0125002 0.000343103 0.018523036 3975 1.5849 1 116.692 07/04/2011 0.00623055 0.000352937 0.018786618 4025 1.5849 1 119.841 06/04/2011 0.02531781 0.00036947 0.019221589 4000 1.5849 1 121.854 05/04/2011 -0.012739 0.000355179 0.01884619 3900 1.5849 1 116.488 04/04/2011 0 0.000365331 0.019113642 3950 1.5849 1 119.656 01/04/2011 -0.0063092 0.000384559 0.019610183 3950 1.5849 1 122.764 31/03/2011 0.0190482 0.000402704 0.020067491 3975 1.5849 1 126.422 30/03/2011 0.03257617 0.000404803 0.020119708 3900 1.5849 1 124.359 29/03/2011 0 0.000370255 0.019242013 3775 1.5849 1 115.122 28/03/2011 0.00664454 0.000389742 0.019741888 3775 1.5849 1 118.113 25/03/2011 -0.0066445 0.000407931 0.020197307 3750 1.5849 1 120.038 24/03/2011 0.03367322 0.000427078 0.020665856 3775 1.5849 1 123.641 23/03/2011 0.02076199 0.000389877 0.019745308 3650 1.5849 1 114.222 22/03/2011 -0.0138891 0.00038771 0.019690344 3575 1.5849 1 111.563 21/03/2011 0 0.000397962 0.019948995 3625 1.5849 1 114.61 18/03/2011 0.00692044 0.000418908 0.020467237 3625 1.5849 1 117.587 17/03/2011 -0.0206193 0.000438435 0.020938837 3600 1.5849 1 119.467 16/03/2011 0 0.000439134 0.020955521 3675 1.5849 1 122.053 15/03/2011 -0.0268473 0.000462246 0.021499911 3675 1.5849 1 125.224 14/03/2011 0.00664454 0.000448639 0.021181109 3775 1.5849 1 126.724 11/03/2011 -0.0132452 0.000469928 0.02167783 3750 1.5849 1 128.837 10/03/2011 0 0.000485428 0.022032429 3800 1.5849 1 132.69 09/03/2011 0 0.000510977 0.022604795 3800 1.5849 1 136.137 08/03/2011 -0.0130721 0.00053787 0.02319203 3800 1.5849 1 139.674 07/03/2011 0.01307208 0.000557186 0.023604779 3850 1.5849 1 144.03 04/03/2011 0.03344793 0.000577517 0.024031593 3800 1.5849 1 144.73 03/03/2011 0.02061929 0.000549031 0.023431406 3675 1.5849 1 136.473 02/03/2011 -0.0069204 0.000555551 0.023570121 3600 1.5849 1 134.48 01/03/2011 0.02090669 0.000582269 0.02413026 3625 1.5849 1 138.632 28/02/2011 0.02857337 0.00058991 0.024288073 3550 1.5849 1 136.651 25/02/2011 0 0.000577988 0.024041381 3450 1.5849 1 131.453 24/02/2011 0 0.000608408 0.024665936 3450 1.5849 1 134.868 23/02/2011 0.00727276 0.00064043 0.025306717 3450 1.5849 1 138.372 22/02/2011 -0.0358461 0.000671353 0.025910479 3425 1.5849 1 140.646 21/02/2011 0 0.000639059 0.025279608 3550 1.5849 1 142.23 18/02/2011 0.03584613 0.000672693 0.02593633 3550 1.5849 1 145.925 17/02/2011 0 0.000640469 0.025307498 3425 1.5849 1 137.373 16/02/2011 -0.0072728 0.000674178 0.025964945 3425 1.5849 1 140.942 14/02/2011 0.00727276 0.000706878 0.02658717 3450 1.5849 1 145.373

11/02/2011 0.02214113 0.000741298 0.027226785 3425 1.5849 1 147.791 10/02/2011 0 0.000754512 0.027468381 3350 1.5849 1 145.838 09/02/2011 -0.0221411 0.000794223 0.028181964 3350 1.5849 1 149.626 08/02/2011 0 0.000810223 0.028464413 3425 1.5849 1 154.509 07/02/2011 0.00732604 0.000852866 0.029203871 3425 1.5849 1 158.523 04/02/2011 0.02985296 0.000894929 0.029915364 3400 1.5849 1 161.2 02/02/2011 0.02298952 0.000895125 0.029918645 3300 1.5849 1 156.476 01/02/2011 0 0.00091442 0.030239385 3225 1.5849 1 154.559 31/01/2011 -0.0380274 0.000962548 0.031024955 3225 1.5849 1 158.574 28/01/2011 -0.0221411 0.000937099 0.030612066 3350 1.5849 1 162.529 27/01/2011 -0.0216615 0.000960618 0.030993839 3425 1.5849 1 168.24 26/01/2011 0.04380262 0.000986481 0.031408296 3500 1.5849 1 174.223 25/01/2011 0.03030535 0.000937418 0.030617291 3350 1.5849 1 162.556 24/01/2011 0.01550419 0.000938419 0.030633621 3250 1.5849 1 157.788 21/01/2011 -0.0077821 0.000975158 0.031227514 3200 1.5849 1 158.372 20/01/2011 -0.0380274 0.001023294 0.031988971 3225 1.5849 1 163.502 19/01/2011 0 0.001001042 0.031639251 3350 1.5849 1 167.982 18/01/2011 0.01503788 0.001053729 0.032461187 3350 1.5849 1 172.346 17/01/2011 -0.0150379 0.001097286 0.033125308 3300 1.5849 1 173.247 14/01/2011 0.00749067 0.001143136 0.033810294 3350 1.5849 1 179.509 13/01/2011 -0.0149257 0.001200348 0.034646037 3325 1.5849 1 182.573 12/01/2011 0.05324452 0.001251799 0.035380772 3375 1.5849 1 189.249 11/01/2011 -0.0532445 0.001168474 0.034182946 3200 1.5849 1 173.361 10/01/2011 -0.0505523 0.001080763 0.032874961 3375 1.5849 1 175.846 07/01/2011 -0.0548082 0.001003144 0.031672442 3550 1.5849 1 178.198 06/01/2011 -0.0327898 0.000897838 0.029963951 3750 1.5849 1 178.083 05/01/2011 0.0129872 0.000888505 0.029807801 3875 1.5849 1 183.06 04/01/2011 0.0065574 0.000926391 0.030436675 3825 1.5849 1 184.51 03/01/2011 -0.0195446 0.000972885 0.031191112 3800 1.5849 1 187.848 30/12/2010 0.00647252 0.001003985 0.031685725 3875 1.5849 1 194.593 29/12/2010 0.03974033 0.001054622 0.032474938 3850 1.5849 1 198.153 28/12/2010 0.01360565 0.001027007 0.032046954 3700 1.5849 1 187.923 27/12/2010 -0.006826 0.001071317 0.032730986 3650 1.5849 1 189.341 23/12/2010 0 0.00112525 0.033544751 3675 1.5849 1 195.377 22/12/2010 -0.0135137 0.001184474 0.034416188 3675 1.5849 1 200.453 21/12/2010 0.01351372 0.001237203 0.035173898 3725 1.5849 1 207.653 20/12/2010 -0.0268473 0.001292707 0.035954241 3675 1.5849 1 209.411 17/12/2010 0.03367322 0.001322809 0.036370444 3775 1.5849 1 217.599 16/12/2010 -0.0402739 0.001332753 0.036506883 3650 1.5849 1 211.183 15/12/2010 -0.0195446 0.00131753 0.036297791 3800 1.5849 1 218.603 14/12/2010 -0.0317487 0.001366769 0.036969833 3875 1.5849 1 227.045 13/12/2010 0.00626961 0.001385652 0.037224349 4000 1.5849 1 235.982 10/12/2010 -0.0370413 0.001456512 0.038164281 3975 1.5849 1 240.429 09/12/2010 0.01219527 0.001460957 0.038222473 4125 1.5849 1 249.882 08/12/2010 -0.0537443 0.001530022 0.0391155 4075 1.5849 1 252.621 06/12/2010 -0.0889475 0.001458526 0.038190657 4300 1.5849 1 260.266 03/12/2010 0.07738666 0.001118888 0.033449782 4700 1.5849 1 249.163 02/12/2010 -0.0114287 0.000862582 0.02936975 4350 1.5849 1 202.48 01/12/2010 0.08288766 0.000901107 0.030018441 4400 1.5849 1 209.331

30/11/2010 0 0.000586935 0.024226749 4050 1.5849 1 155.504 29/11/2010 0.03135053 0.000617827 0.02485612 4050 1.5849 1 159.544 26/11/2010 -0.0251586 0.000598615 0.024466603 3925 1.5849 1 152.197 25/11/2010 0.05096644 0.000596807 0.024429641 4025 1.5849 1 155.839 24/11/2010 0.0468313 0.000491504 0.022169881 3825 1.5849 1 134.396 23/11/2010 -0.053346 0.000401942 0.020048497 3650 1.5849 1 115.976 22/11/2010 0 0.000273318 0.016532346 3850 1.5849 1 100.876 19/11/2010 -0.0064725 0.000287704 0.016961829 3850 1.5849 1 103.497 18/11/2010 0 0.000300641 0.017339003 3875 1.5849 1 106.485 16/11/2010 0.02614528 0.000316464 0.017789442 3875 1.5849 1 109.251 15/11/2010 -0.0196728 0.000297143 0.017237824 3775 1.5849 1 103.132 12/11/2010 0 0.000292412 0.017100067 3850 1.5849 1 104.34 11/11/2010 0 0.000307802 0.017544299 3850 1.5849 1 107.051 10/11/2010 0 0.000324003 0.018000071 3850 1.5849 1 109.832 09/11/2010 0 0.000341055 0.018467683 3850 1.5849 1 112.685 08/11/2010 -0.0256424 0.000359006 0.018947443 3850 1.5849 1 115.612 05/11/2010 0.00634923 0.000343294 0.018528183 3950 1.5849 1 115.99 04/11/2010 -0.0063492 0.00035924 0.018953626 3925 1.5849 1 117.903 03/11/2010 0.00634923 0.000376026 0.019391379 3950 1.5849 1 121.394 02/11/2010 0.0063898 0.000393695 0.019841741 3925 1.5849 1 123.427 01/11/2010 0 0.000412267 0.020304347 3900 1.5849 1 125.501 29/10/2010 0.01290341 0.000433965 0.020831821 3900 1.5849 1 128.761 28/10/2010 0 0.000448042 0.021167002 3850 1.5849 1 129.155 27/10/2010 -0.0319516 0.000471623 0.021716886 3850 1.5849 1 132.511 26/10/2010 0.00630917 0.000442714 0.02104076 3975 1.5849 1 132.553 25/10/2010 0.01916992 0.000463919 0.021538785 3950 1.5849 1 134.837 22/10/2010 0 0.000468995 0.021656285 3875 1.5849 1 132.999 21/10/2010 -0.0064309 0.000493679 0.02221888 3875 1.5849 1 136.454 20/10/2010 0 0.000517485 0.022748298 3900 1.5849 1 140.607 19/10/2010 -0.0190482 0.000544721 0.023339261 3900 1.5849 1 144.259 18/10/2010 -0.0062696 0.000554294 0.023543452 3975 1.5849 1 148.32 15/10/2010 -0.0185764 0.000581399 0.02411221 4000 1.5849 1 152.858 14/10/2010 0.01857639 0.000593836 0.024368758 4075 1.5849 1 157.381 13/10/2010 0.02531781 0.000606929 0.024635923 4000 1.5849 1 156.178 12/10/2010 0.00643089 0.000605136 0.024599511 3900 1.5849 1 152.049 11/10/2010 0 0.000634809 0.025195407 3875 1.5849 1 154.734 08/10/2010 0 0.00066822 0.025849942 3875 1.5849 1 158.754 07/10/2010 0 0.000703389 0.026521481 3875 1.5849 1 162.878 06/10/2010 0.02614528 0.000740409 0.027210466 3875 1.5849 1 167.109 05/10/2010 0.02006756 0.000743401 0.027265375 3775 1.5849 1 163.125 04/10/2010 0.00677969 0.000761332 0.027592244 3700 1.5849 1 161.801 01/10/2010 0 0.000798983 0.028266285 3675 1.5849 1 164.634 30/09/2010 -0.0202027 0.000841035 0.029000597 3675 1.5849 1 168.91 29/09/2010 0.02020271 0.000863818 0.029390782 3750 1.5849 1 174.677 28/09/2010 -0.0067797 0.000887801 0.029795983 3675 1.5849 1 173.543 27/09/2010 -0.006734 0.000932108 0.03053044 3700 1.5849 1 179.031 24/09/2010 0.06947237 0.000978779 0.03128545 3725 1.5849 1 184.697 23/09/2010 0 0.000776272 0.027861667 3475 1.5849 1 153.446 22/09/2010 -0.0422598 0.000817129 0.028585467 3475 1.5849 1 157.432

Akhir kata semoga skripsi ini bermanfaat bagi para pembaca. Tuhan memberkati.

Medan, Juni 2012 Penulis

Mariana Florensia Naibaho 080501119

DAFTAR ISI

Halaman

ABTRAK ... i

ABSTRACT... ii

KATA PENGANTAR ... iii

DAFTAR ISI ... vi

DAFTAR TABEL ... viii

DAFTAR GAMBAR ... ix

DAFTAR LAMPIRAN ... x

BAB I PENDAHULUAN 1.1 Latar Belakang Masalah ... 1

1.2 Perumusan Masalah ... 6

1.3 Tujuan dan Manfaat Penelitian ... 7

BAB II TINJAUAN PUSTAKA 2.1 Investasi ... 8

2.2 Pasar Modal... 9

2.3 Indeks Harga Saham ... 11

2.3.1 Saham LQ 45... 14

2.4 Konsep Risiko ... 16

2.5 Value at Risk (VaR) ... 17

2.5.1 Return ... 18

2.5.1.1 Stasioneritas ... 20

2.5.2 Metode Volatilitas... 20

2.5.2.1 Simple Standard Deviation ... 21

2.5.2.2 Exponentially Weighted Moving Average (EWMA) ... 22

2.5.2.1 GARCH... 22

2.6 Uji validitas (Backtesting)... 23

2.7 Penelitian Sebelumnya ... 25

2.8 Kerangka Konseptual ... 27

BAB III METODE PENELITIAN 3.1 Jenis dan Sumber Data ... 28

3.2 Populasi dan Sampel ... 28

3.3 Metode Pengumpulan Data... 30

3.4 Pengolahan Data ... 30

3.5 Teknik Analisis Data ... 30

3.5.1 Uji Stasioneritas ... 31

3.5.3 Uji Heteroskedastisitas ... 32

3.6 Pengukuran voltilitas ... 33

3.7 Perhitungan Value at Risk (VaR) ... 33

3.8 Uji Validitas ... 34

BAB IV ANALISIS DAN PEMBAHASAN 4.1 Penentuan Data Observasi ... 35

4.2 Statistik Deskriptif Data ... 35

4.3 Pengujian Sifat Data ... 36

4.3.1 Uji Stationeritas ... 36

4.3.2 Uji Normalitas ... 37

4.3.3 Uji Heteroskedastisitas ... 39

4.4 Pengukuran Volatilitas dengan EWMA... 41

4.5 Pengukuran Volatilitas dengan GARCH ... 42

4.5.1 Model GARCH terbaik indeks saham AALI .. 42

4.5.2 Model GARCH terbaik indeks saham ANTM 43 4.5.3 Model GARCH terbaik indeks saham ASII .... 44

4.5.4 Model GARCH terbaik indeks saham BBCA. 44 4.5.5 Model GARCH terbaik indeks saham BBNI .. 45

4.5.6 Model GARCH terbaik indeks saham BBRI .. 45

4.5.7 Model GARCH terbaik indeks saham BDMN 46 4.5.8 Model GARCH terbaik indeks saham INCO .. 46

4.5.9 Model GARCH terbaik indeks saham INDF .. 47

4.5.10 Model GARCH terbaik indeks saham ISAT. 48 4.5.11 Model GARCH terbaik indeks saham LSIP . 48 4.5.12 Model GARCH terbaik indeks saham MEDC 49 4.5.13 Model GARCH terbaik indeks saham PGAS 49 4.5.14 Model GARCH terbaik indeks saham PTBA 50 4.5.15 Model GARCH terbaik indeks saham SMGR 50 4.5.16 Model GARCH terbaik indeks saham TINS. 51 4.5.17 Model GARCH terbaik indeks saham TLKM 52 4.6 Pengukuran VaR dengan Simple Standard Deviation 52 4.7 Pengukuran Value at Risk dengan EWMA ... 54

4.8 Pengukuran Value at Risk dengan GARCH ... 57

4.9 Uji Validitas (Backtesting)... 61

4.10 Perbandingan hasil perhitungan VaR ... 62

BAB V KESIMPULAN DAN SARAN 5.1 Kesimpulan ... 64

5.2 Saran ... 68

DAFTAR PUSTAKA ... 70

DAFTAR TABEL

No.Tabel Judul Halaman

2.1 Tabel Kupiec ... 24

2.2 Penelitian Sebelumnya ... 25

3.1 Daftar Saham LQ 45 Tahun 2009 sampai Tahun 2012 29 4.1 Statistik Deskriptif Return Indeks Saham ... 35

4.2 Hasil Uji Stasioneritas Data Return ... 36

4.3 Hasil Uji Normalitas ... 38

4.4 Hasil Perhitungan Nilai α’... 39

4.5 Hasil Uji Heteroskedastisitas ... 40

4.6 Hasil Pengukuran Volatilitas dengan EWMA ... 41

4.7 Model GARCH terbaik AALI ... 43

4.8 Model GARCH terbaik ANTM ... 43

4.9 Model GARCH terbaik ASII ... 44

4.10 Model GARCH terbaik BBCA ... 44

4.11 Model GARCH terbaik BBNI ... 45

4.12 Model GARCH terbaik BBRI ... 45

4.13 Model GARCH terbaik BDMN ... 46

4.14 Model GARCH terbaik INCO ... 47

4.15 Model GARCH terbaik INDF ... 47

4.16 Model GARCH terbaik ISAT ... 48

4.17 Model GARCH terbaik LSIP ... 48

4.18 Model GARCH terbaik MEDC ... 49

4.19 Model GARCH terbaik PGAS ... 49

4.20 Model GARCH terbaik PTBA ... 50

4.21 Model GARCH terbaik SMGR... 51

4.22 Model GARCH terbaik TINS ... 51

4.23 Model GARCH terbaik TLKM... 52

4.24 Perhitungan VaR dengan Simple Standard Deviation 53 4.25 Perhitungan VaR 1,5 dan 10 hari dengan Simple Standard Deviation ... 54

4.26 Perhitungan VaR dengan metode EWMA ... 55

4.27 Perhitungan VaR Metode GARCH ... 57

4.28 Perhitungan VaR dengan metode GARCH ... 58

4.29 Perhitungan VaR 1,5 dan 10 hari dengan metode GARCH 60 4.30 Backtesting model ... 62

4.31 Perbandingan nilai VaR dengan model EWMA dan GARCH ... 63

DAFTAR GAMBAR

No.Gambar Judul Halaman

DAFTAR LAMPIRAN

No. Lampiran Judul Halaman

1 Data Return Indeks Saham ... 73

2 Hasil Uji Augmented Dickey-Fuller dengan

EViews 5.1 ... 89 3 Histogram dan Statistik dengan EViews 5.1 ... 97 4 Hasil Uji White Heteroskedsaticity dengan

EViews 5.1 ... 104 5 Contoh Perhitungan EWMA ... 115 6 Tabel Signifikansi Model GARCH ... 131

7 Tabel Perhitungan VaR dengan metode

GARCH ... 133 8 Tabel backtesting dengan Simple Standard

Deviation ... 149 9 Tabel backtesting dengan EWMA ... 166 10 Tabel backtesting dengan GARCH ... 182