IIBV KESIMPULAN DAN SARAN

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