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
c. DC
Dependent Variable: IDC Method: ML - ARCH Marquardt
Date: 081406 Time: 08:38 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 48 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C 0.002601
0.007166 0.363005
0.7166 IDC-1 0.113334
0.113834 0.995602
0.3194 Variance Equation
C 0.005552 0.000242
22.95979 0.0000
ARCH1 0.207974 0.125189
1.661282 0.0967
R-squared 0.009775 Mean dependent var
0.000222 Adjusted R-squared
-0.013802 S.D. dependent var 0.088008
S.E. of regression 0.088613 Akaike info criterion
-2.144683 Sum squared resid
0.989396 Schwarz criterion -2.056451
Log likelihood 143.4044 F-statistic
0.414592 Durbin-Watson stat
1.997981 ProbF-statistic 0.742813
d. ER
Dependent Variable: IER Method: ML - ARCH Marquardt
Date: 081406 Time: 08:38 Sampleadjusted: 1995:03 2005:12
Included observations: 130 after adjusting endpoints Convergence achieved after 23 iterations
Variance backcast: ON
Coefficient Std.
Error z-Statistic
Prob. C -0.003357
0.001415 -2.373072
0.0176 IER-1 0.042483
0.020575 2.064726
0.0389 Variance Equation
C 0.000177 4.36E-05
4.060037 0.0000
ARCH1 3.455911 0.417914
8.269431 0.0000
R-squared 0.003671 Mean dependent var
-4.87E-05 Adjusted R-squared
-0.020051 S.D. dependent var 0.088043
S.E. of regression 0.088922 Akaike info criterion
-3.277836 Sum squared resid
0.996288 Schwarz criterion -3.189605
Log likelihood 217.0594 F-statistic
0.154759 Durbin-Watson stat
1.905281 ProbF-statistic 0.926455
Lampiran 6. Lanjutan
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