d. IFL
Date: 082706 Time: 11:05 Sample: 1995:01 2005:12
Included observations: 131 Correlations are asymptotically consistent approximations
IFL,IBC-i IFL,IBC+i
i lag
lead .| . |
.| . | -0.1274
-0.1274 | . |
. | . | 1
-0.2837 0.0356
.| . | .| . |
2 -0.0718
-0.0584 . |. |
.| . | 3
0.0584 -0.1338
.| . | . |. |
4 -0.1128
0.0760 | . |
. | | 5
-0.1916 0.3234
.| . | . | |
6 -0.1456
0.2017 .| . |
. | . | 7
-0.0780 0.0446
. | . | . |. |
8 -0.0154
0.1293 . | . |
. | | 9
-0.0114 0.2793
. | . | . |. |
10 -0.0147
0.0789 .| . |
. | | 11
-0.0435 0.2649
| . | . | |
12 -0.1571
0.3179
e. IIPI
Date: 082706 Time: 11:06 Sample: 1995:01 2005:12
Included observations: 131 Correlations are asymptotically consistent approximations
IIPI,IBC-i IIPI,IBC+i
i lag
lead . | . |
. | . | 0.0135
0.0135 . | . |
.| . | 1
0.0023 -0.0583
. |. | . |. |
2 0.0766
0.0526 .| . |
. |. | 3
-0.1293 0.1111
. | . | | . |
4 -0.0102
-0.1673 . |. |
.| . | 5
0.0516 -0.1241
. |. | . | . |
6 0.0648
0.0257 .| . |
. | . | 7
-0.1231 -0.0089
.| . | .| . |
8 -0.0969
-0.1121 . | |
.| . | 9
0.1980 -0.1288
. | . | . | . |
10 0.0182
0.0221 . | . |
. | . | 11
0.0163 0.0461
. |. | . | . |
12 0.0792
-0.0292
f.
IDC
Date: 082706 Time: 11:07 Sample: 1995:01 2005:12
Included observations: 131 Correlations are asymptotically consistent approximations
IDC,IBC-i IDC,IBC+i
i lag
lead . |. |
. |. | 0.1469
0.1469 .| . |
. | . | 1
-0.0451 0.0332
. | . | | . |
2 -0.0403
-0.1757 .| . |
. | . | 3
-0.0496 0.0024
| . | . | |
4 -0.1599
0.2704 | . |
. | | 5
-0.2475 0.2677
| . | . |. |
6 -0.3366
0.1123 | . |
. |. | 7
-0.1715 0.0717
.| . | . | |
8 -0.0650
0.1598 .| . |
. | | 9
-0.1441 0.2091
| . | .| . |
10 -0.2414
-0.0691 | . |
. | | 11
-0.1758 0.2676
| . | . | |
12 -0.2344
0.3395
Lampiran 5. Lanjutan
g. IER
Date: 082706 Time: 11:07 Sample: 1995:01 2005:12
Included observations: 131 Correlations are asymptotically consistent approximations
IER,IBC-i IER,IBC+i
i lag
lead . | . |
. | . | -0.0407
-0.0407 | . |
. |. | 1
-0.2145 0.1042
.| . | . | . |
2 -0.0412
0.0065 . |. |
. | . | 3
0.1070 -0.0141
.| . | . | |
4 -0.1103
0.2211 | . |
. | | 5
-0.1730 0.4495
| . | . | |
6 -0.2015
0.2619 .| . |
. |. | 7
-0.0766 0.0795
. | . | . | |
8 -0.0172
0.1873 . | . |
. | | 9
0.0065 0.3521
.| . | . | . |
10 -0.0636
0.0438 .| . |
. | | 11
-0.0769 0.2381
| . | . | |
12 -0.1794
0.2910
h.
ICPI
Date: 082706 Time: 11:08 Sample: 1995:01 2005:12
Included observations: 131 Correlations are asymptotically consistent approximations
ICPI,IBC-i ICPI,IBC+i
i lag
lead . | |
. | | 0.3180
0.3180 . | |
. | | 1
0.2640 0.4349
. | | . | |
2 0.1674
0.4268 . | |
. | | 3
0.1626 0.5176
. |. | . | |
4 0.1253
0.5750 . |. |
. | | 5
0.0714 0.4394
. | . | . | |
6 0.0126
0.1974 .| . |
. |. | 7
-0.0827 0.1106
.| . | . | |
8 -0.1047
0.1920 | . |
. |. | 9
-0.1653 0.1003
.| . | . | . |
10 -0.1200
-0.0170 .| . |
| . | 11
-0.0914 -0.2245
| . | | . |
12 -0.1648
-0.3497
i. IBV
Date: 082706 Time: 11:09 Sample: 1995:01 2005:12
Included observations: 131 Correlations are asymptotically consistent approximations
IIBV,IBC-i IIBV,IBC+i
i lag
lead . |. |
. |. | 0.0619
0.0619 .| . |
. | | 1
-0.0440 0.1958
. | . | . | |
2 0.0327
0.1723 . |. |
. | | 3
0.1083 0.1790
.| . | . | |
4 -0.0954
0.3949 | . |
. | | 5
-0.2214 0.5328
| . | . | |
6 -0.2414
0.3082 | . |
. |. | 7
-0.2339 0.1285
.| . | . | |
8 -0.1009
0.2118 | . |
. | | 9
-0.1479 0.3423
| . | . | . |
10 -0.1904
0.0411 | . |
. |. | 11
-0.2199 0.1503
| . | . | |
12 -0.3077
0.2453
Lampiran 6. Hasil Estimasi GARCH untuk Setiap Indikator
A. Hasil Estimasi GARCH untuk Indikator IMV
a. IREER
Dependent Variable: IREER Method: ML - ARCH Marquardt
Date: 081506 Time: 12:31 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 -0.001944
0.003733 -0.520747
0.6025 IREER-1 -0.079003
0.032607 -2.422903
0.0154 Variance Equation
C 0.001112 9.60E-05
11.57818 0.0000
ARCH1 1.321573 0.255961
5.163181 0.0000
R-squared -0.006538 Mean dependent var
-1.61E-05 Adjusted R-squared
-0.030503 S.D. dependent var 0.088045
S.E. of regression 0.089378 Akaike info criterion
-3.001311 Sum squared resid
1.006533 Schwarz criterion -2.913079
Log likelihood 199.0852 Durbin-Watson stat
1.877727
b. IDC
Dependent Variable: IDC Method: ML - ARCH Marquardt
Date: 081506 Time: 12:33 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
Lampiran 6. Lanjutan