Pendugaan Volatilitas di Masa Mendatang
Lampiran 6 RMSFE periode 60 hari perdagangan
Periode GARCH EWMA P-EWMA
1 0.00003770 0.00000914
0.00001174 2 0.00001320
0.00003242 0.00002308
3 0.00000761 0.00002789
0.00001996 4 0.00030391
0.00012511 0.00013979
5 0.00000504 0.00001669
0.00001669 6 0.00001946
0.00000055 0.00000030
7 0.00000409 0.00000336
0.00000093 8 0.00000280
0.00000088 0.00000035
9 0.00000001 0.00000003
0.00000000 10 0.00007711
0.00002100 0.00001350
11 0.00000719 0.00000844
0.00000549 12 0.00000185
0.00000425 0.00000370
13 0.00000899 0.00001990
0.00001362 14 0.00000229
0.00002247 0.00002104
15 0.00003193 0.00001327
0.00001291 16 0.00008035
0.00007846 0.00005395
RMSFE 0.00708800
0.00656100 0.00640200
Lampiran 7 RMSFE periode 80 hari perdagangan
Periode GARCH EWMA P-EWMA
1 0.00011262 0.00004956
0.00003211 2 0.00000792
0.00000036 0.00000218
3 0.00020647 0.00005743
0.00006701 4 0.00000646
0.00002425 0.00002178
5 0.00002714 0.00000887
0.00000399 6 0.00000260
0.00000117 0.00000054
7 0.00000002 0.00000097
0.00000026 8 0.00005068
0.00006949 0.00006113
9 0.00000020 0.00000180
0.00000155 10 0.00000126
0.00002047 0.00001816
11 0.00001780 0.00004505
0.00002707 12 0.00014460
0.00013640 0.00010231
RSMFE 0.00693872 0.00588662
0.00530806
Lampiran 8 Lanjutan Lampiran 8 Harga Penutupan Indeks LQ45 Periode 1 Januari 2004 – 30
Desember 2011
Tanggal Hari ke-
i Harga Penutupan
Return
1 ‐Jan‐04
1 151.90
2 ‐Jan‐04
2 155.50
0.02342332 5
‐Jan‐04 3
161.02 0.03488285
6 ‐Jan‐04
4 161.33
0.00192338 7
‐Jan‐04 5
157.26 ‐0.02555147
8 ‐Jan‐04
6 161.94
0.02932541 9
‐Jan‐04 7
166.04 0.02500283
12 ‐Jan‐04
8 163.17
‐0.01743612 13
‐Jan‐04 9
164.33 0.00708400
14 ‐Jan‐04
10 166.82
0.01503879 15
‐Jan‐04 11
167.71 0.00532091
16 ‐Jan‐04
12 169.01
0.00772159 19
‐Jan‐04 13
168.24 ‐0.00456635
20 ‐Jan‐04
14 169.42
0.00698931 21
‐Jan‐04 15
170.28 0.00506330
22 ‐Jan‐04
16 170.28
0.00000000 23
‐Jan‐04 17
171.84 0.00911967
26 ‐Jan‐04
18 171.77
‐0.00040744 27
‐Jan‐04 19
169.39 ‐0.01395262
28 ‐Jan‐04
20 167.96
‐0.00847789 29
‐Jan‐04 21
167.06 ‐0.00537283
30 ‐Jan‐04
22 164.65
‐0.01453102 2
‐Feb‐04 23
164.65 0.00000000
3 ‐Feb‐04
24 158.74
‐0.03655437 4
‐Feb‐04 25
157.94 ‐0.00505243
5 ‐Feb‐04
26 160.00
0.01295860 6
‐Feb‐04 27
164.44 0.02737195
9 ‐Feb‐04
28 166.71
0.01371001 10
‐Feb‐04 29
167.05 0.00203739
11 ‐Feb‐04
30 168.02
0.00578985 12
‐Feb‐04 31
167.48 ‐0.00321908
13 ‐Feb‐04
32 168.95
0.00873887 16
‐Feb‐04 33
169.69 0.00437043
17 ‐Feb‐04
34 169.51
‐0.00106132 18
‐Feb‐04 35
171.46 0.01143808
19 ‐Feb‐04
36 171.58
0.00069963 20
‐Feb‐04 37
172.73 0.00668005
23 ‐Feb‐04
38 172.73
0.00000000 24
‐Feb‐04 39
169.60 ‐0.01828696
25 ‐Feb‐04
40 168.53
‐0.00632895 26
‐Feb‐04 41
168.41 ‐0.00071229
27 ‐Feb‐04
42 165.32
‐0.01851849 1
‐Mar‐04 43
164.45 ‐0.00527642
2 ‐Mar‐04
44 169.62
0.03095407 3
‐Mar‐04 45
168.14 ‐0.00876368
4 ‐Mar‐04
46 167.41
‐0.00435107 5
‐Mar‐04 47
169.01 0.00951199
Lampiran 8 Lanjutan
Tanggal Hari ke-
i Harga Penutupan
Return
8 ‐Mar‐04
48 167.66
‐0.00801977 9
‐Mar‐04 49
166.89 ‐0.00460321
10 ‐Mar‐04
50 164.32
‐0.01551917 11
‐Mar‐04 51
159.30 ‐0.03102653
12 ‐Mar‐04
52 159.85
0.00344666 15
‐Mar‐04 53
156.10 ‐0.02373905
16 ‐Mar‐04
54 154.30
‐0.01159807 17
‐Mar‐04 55
158.00 0.02369627
18 ‐Mar‐04
56 158.83
0.00523941 19
‐Mar‐04 57
161.77 0.01834113
22 ‐Mar‐04
58 161.77
0.00000000 23
‐Mar‐04 59
160.24 ‐0.00950288
24 ‐Mar‐04
60 160.95
0.00442107 25
‐Mar‐04 61
158.22 ‐0.01710729
26 ‐Mar‐04
62 155.16
‐0.01952963 29
‐Mar‐04 63
156.05 0.00571963
30 ‐Mar‐04
64 159.02
0.01885351 31
‐Mar‐04 65
159.88 0.00539355
1 ‐Apr‐04
66 160.71
0.00517796 2
‐Apr‐04 67
163.42 0.01672208
5 ‐Apr‐04
68 163.42
0.00000000 6
‐Apr‐04 69
167.51 0.02471948
7 ‐Apr‐04
70 169.00
0.00885566 8
‐Apr‐04 71
170.39 0.00819121
9 ‐Apr‐04
72 170.39
0.00000000 12
‐Apr‐04 73
167.71 ‐0.01585363
13 ‐Apr‐04
74 168.80
0.00647828 14
‐Apr‐04 75
170.21 0.00831839
15 ‐Apr‐04
76 168.65
‐0.00920741 16
‐Apr‐04 77
168.92 0.00159967
19 ‐Apr‐04
78 170.44
0.00895810 20
‐Apr‐04 79
177.24 0.03912142
21 ‐Apr‐04
80 178.24
0.00562621 22
‐Apr‐04 81
175.60 ‐0.01492228
23 ‐Apr‐04
82 178.74
0.01772355 26
‐Apr‐04 83
178.52 ‐0.00123160
27 ‐Apr‐04
84 179.47
0.00530742 28
‐Apr‐04 85
179.49 0.00011143
29 ‐Apr‐04
86 175.11
‐0.02470515 30
‐Apr‐04 87
170.65 ‐0.02579967
3 ‐May‐04
88 170.65
0.00000000 4
‐May‐04 89
170.14 ‐0.00299305
5 ‐May‐04
90 165.29
‐0.02892012 6
‐May‐04 91
162.22 ‐0.01874807
7 ‐May‐04
92 161.11
‐0.00686608 10
‐May‐04 93
153.24 ‐0.05008204
11 ‐May‐04
94 155.07
0.01187131 12
‐May‐04 95
161.11 0.03821073
13 ‐May‐04
96 159.63
‐0.00922872 14
‐May‐04 97
156.24 ‐0.02146535