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
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
05/01/2009
06/01/2009
07/01/2009
08/01/2009
09/01/2009
12/01/2009
13/01/2009
14/01/2009
15/01/2009
16/01/2009
19/01/2009
20/01/2009
21/01/2009
22/01/2009
23/01/2009
27/01/2009
28/01/2009
29/01/2009
30/01/2009
02/02/2009
03/02/2009
04/02/2009
05/02/2009
06/02/2009
09/02/2009
10/02/2009
11/02/2009
12/02/2009
13/02/2009
16/02/2009
17/02/2009
18/02/2009
19/02/2009
20/02/2009
23/02/2009
24/02/2009
25/02/2009
26/02/2009
27/02/2009
02/03/2009
03/03/2009
04/03/2009
05/03/2009
11076.18
11594.63
11029.04
10227.79
11170.44
11029.04
10416.32
10651.98
10133.52
10369.19
10604.85
10604.85
10651.98
10463.45
10133.52
10557.72
10416.32
10369.19
10274.92
10227.79
10086.39
10180.65
10180.65
11406.1
12065.96
11594.63
11830.3
11406.1
11594.63
11453.24
11500.37
11500.37
11406.1
11406.1
11594.63
11594.63
12254.49
12160.23
12113.09
12113.09
11971.7
12065.96
11971.7
0.181471445
0.045745203
-0.050010266
-0.075423269
0.088162478
-0.012739209
-0.057157987
0.022371983
-0.04989705
0.022990169
0.022472534
0.000000000
0.004434347
-0.017857558
-0.032039492
0.041008605
-0.013483539
-0.004534898
-0.009132935
-0.004597449
-0.013921535
0.009301869
0
0.11365944
0.056239965
-0.039846205
0.020121977
-0.036515737
0.01639376
-0.0122694
0.004106549
0
-0.008230909
0
0.01639376
0
0.055350341
-0.00772161
-0.003884105
0
-0.011741155
0.007842734
-0.007842734
Universitas Sumatera Utara
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
06/03/2009
10/03/2009
11/03/2009
12/03/2009
13/03/2009
16/03/2009
17/03/2009
18/03/2009
19/03/2009
20/03/2009
23/03/2009
24/03/2009
25/03/2009
27/03/2009
30/03/2009
31/03/2009
01/04/2009
02/04/2009
03/04/2009
06/04/2009
07/04/2009
08/04/2009
13/04/2009
14/04/2009
15/04/2009
16/04/2009
17/04/2009
20/04/2009
21/04/2009
22/04/2009
23/04/2009
24/04/2009
27/04/2009
28/04/2009
29/04/2009
30/04/2009
01/05/2009
04/05/2009
05/05/2009
06/05/2009
07/05/2009
08/05/2009
11/05/2009
12/05/2009
13/05/2009
14/05/2009
15/05/2009
18/05/2009
19/05/2009
11170.44
11547.5
11830.3
11783.17
12160.23
11641.77
11500.37
11783.17
11736.03
11641.77
12160.23
12914.35
12725.82
13432.81
13055.75
13291.41
13715.6
14516.86
14658.26
14941.05
14516.86
13668.47
14469.73
14092.67
14375.46
14328.33
14186.93
14186.93
14092.67
13904.14
14186.93
14941.05
14799.66
14611.13
14563.99
14893.92
16213.64
17062.02
16967.76
17250.55
18381.74
18051.81
17627.62
17344.82
17391.95
15930.84
16779.23
17062.02
17816.15
-0.069274528
0.03319796
0.024195074
-0.003991795
0.031498549
-0.043571298
-0.012220284
0.024293033
-0.004008645
-0.008064104
0.043571298
0.060168305
-0.014706096
0.054067221
-0.028471572
0.017889312
0.031415909
0.056776861
0.009693267
0.019108459
-0.028801726
-0.060219012
0.056967161
-0.026404077
0.019867782
-0.00328389
-0.009917578
0
-0.006666314
-0.013468167
0.020134481
0.05179134
-0.009508251
-0.01282064
-0.003231523
0.022401032
0.084899787
0.051002077
-0.005539868
0.016528954
0.063513754
-0.018111824
-0.023778967
-0.016173087
0.002713553
-0.087750602
0.051884959
0.016713129
0.043250409
Universitas Sumatera Utara
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
20/05/2009
22/05/2009
25/05/2009
26/05/2009
27/05/2009
28/05/2009
29/05/2009
01/06/2009
02/06/2009
03/06/2009
04/06/2009
05/06/2009
08/06/2009
09/06/2009
10/06/2009
11/06/2009
12/06/2009
15/06/2009
16/06/2009
17/06/2009
18/06/2009
19/06/2009
22/06/2009
23/06/2009
24/06/2009
25/06/2009
26/06/2009
29/06/2009
30/06/2009
01/07/2009
02/07/2009
03/07/2009
06/07/2009
07/07/2009
09/07/2009
10/07/2009
13/07/2009
14/07/2009
15/07/2009
16/07/2009
17/07/2009
21/07/2009
22/07/2009
23/07/2009
24/07/2009
27/07/2009
28/07/2009
29/07/2009
30/07/2009
17863.28
17486.22
17580.48
16779.23
16637.83
16732.09
16779.23
17439.08
17439.08
17627.62
17580.48
18298.15
17965.46
17775.35
17727.82
17775.35
17680.29
17537.71
17014.9
16967.38
15874.24
15874.24
15779.18
16634.68
16919.85
16919.85
16634.68
16254.46
16016.82
16634.68
16587.15
16587.15
16254.46
16349.52
16016.82
15826.71
15208.85
15494.02
15969.29
15779.18
15731.66
17537.71
17109.96
17014.9
17014.9
17014.9
17442.65
17822.87
18155.57
0.00264186
-0.021334067
0.005376053
-0.046647384
-0.008462794
0.005649414
0.00281338
0.038571853
0
0.010753325
-0.002677794
0.040010766
-0.018348936
-0.01063836
-0.002677509
0.002677509
-0.005362206
-0.00809704
-0.030263989
-0.002796754
-0.066595008
0
-0.00600632
0.052798323
0.016997816
0
-0.016997816
-0.02312234
-0.014727913
0.037850253
-0.002861374
0
-0.020260967
0.005831206
-0.020559119
-0.011940401
-0.039821524
0.018576648
0.03021336
-0.011976153
-0.003016107
0.108678177
-0.02469267
-0.005571319
0
0
0.024828926
0.021564108
0.018494937
Universitas Sumatera Utara
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
31/07/2009
03/08/2009
04/08/2009
05/08/2009
06/08/2009
07/08/2009
10/08/2009
11/08/2009
12/08/2009
13/08/2009
14/08/2009
18/08/2009
19/08/2009
20/08/2009
21/08/2009
24/08/2009
25/08/2009
26/08/2009
27/08/2009
28/08/2009
31/08/2009
01/09/2009
02/09/2009
03/09/2009
04/09/2009
07/09/2009
08/09/2009
09/09/2009
10/09/2009
11/09/2009
14/09/2009
15/09/2009
16/09/2009
17/09/2009
24/09/2009
25/09/2009
28/09/2009
29/09/2009
30/09/2009
01/10/2009
02/10/2009
05/10/2009
06/10/2009
07/10/2009
08/10/2009
09/10/2009
12/10/2009
13/10/2009
14/10/2009
18345.68
18203.09
18203.09
18012.98
18345.68
18345.68
20056.67
21054.75
20817.12
21339.92
21862.72
21197.34
20104.2
20151.73
20056.67
21007.23
21007.23
21007.23
20579.48
20531.95
20436.89
20151.73
19296.23
19676.45
19866.56
19961.62
20484.42
20199.26
20151.73
19866.56
19438.81
19438.81
19914.09
19914.09
19819.04
20056.67
19628.92
19819.04
20009.15
19866.56
19914.09
19723.98
19961.62
20294.31
20104.2
20056.67
20104.2
20769.59
21577.56
0.010416724
-0.007802765
0
-0.010498751
0.018301515
0
0.089167642
0.048564421
-0.011350463
0.024803772
0.024203406
-0.030907201
-0.052946954
0.002361392
-0.004728374
0.046304897
0
0
-0.020572201
-0.002312253
-0.004640608
-0.01405146
-0.043380401
0.019512749
0.009615427
0.004773514
0.025853167
-0.014018627
-0.002355829
-0.014252225
-0.021766333
0
0.024155938
0
-0.00478443
0.011918675
-0.021557778
0.009639103
0.009546577
-0.007151753
0.002389605
-0.009592367
0.011976276
0.016529121
-0.009411803
-0.002366982
0.002366982
0.032561149
0.038163988
Universitas Sumatera Utara
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
15/10/2009
16/10/2009
19/10/2009
20/10/2009
21/10/2009
22/10/2009
23/10/2009
26/10/2009
27/10/2009
28/10/2009
29/10/2009
30/10/2009
02/11/2009
03/11/2009
04/11/2009
05/11/2009
06/11/2009
09/11/2009
10/11/2009
11/11/2009
12/11/2009
13/11/2009
16/11/2009
17/11/2009
18/11/2009
19/11/2009
20/11/2009
23/11/2009
24/11/2009
25/11/2009
26/11/2009
30/11/2009
01/12/2009
02/12/2009
03/12/2009
04/12/2009
07/12/2009
08/12/2009
09/12/2009
10/12/2009
11/12/2009
14/12/2009
15/12/2009
16/12/2009
17/12/2009
21/12/2009
22/12/2009
23/12/2009
28/12/2009
21482.5
21387.45
21482.5
21387.45
21339.92
20674.53
20912.17
20912.17
20627.01
20531.95
20912.17
20579.48
20598.68
20550.67
20646.7
20646.7
20982.81
21318.92
21318.92
21318.92
21126.86
21270.9
21991.14
21751.06
21895.11
21751.06
21751.06
21847.09
22471.29
22567.32
21318.92
21414.95
22039.15
22807.4
22903.43
23047.48
23047.48
22903.43
22855.42
22759.39
22951.45
22951.45
22951.45
22999.46
22663.35
21799.07
21318.92
21318.92
22039.15
-0.004415236
-0.004434349
0.004434349
-0.004434349
-0.002224804
-0.031676989
0.011428778
0
-0.013729904
-0.004619173
0.018349077
-0.016036823
0.000932533
-0.002333452
0.004661957
0
0.016148031
0.01589141
0
0
-0.009049725
0.006794725
0.033299704
-0.010977153
0.006600832
-0.006600832
0
0.00440524
0.028170763
0.004264348
-0.056907901
0.004494335
0.028731141
0.034264627
0.004201636
0.006269755
0
-0.006269755
-0.002098393
-0.004210481
0.008403308
0
0
0.002089622
-0.014721655
-0.038881774
-0.022272367
0
0.033225476
Universitas Sumatera Utara
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
29/12/2009
30/12/2009
04/01/2010
05/01/2010
06/01/2010
07/01/2010
08/01/2010
11/01/2010
12/01/2010
13/01/2010
14/01/2010
15/01/2010
18/01/2010
19/01/2010
20/01/2010
21/01/2010
22/01/2010
25/01/2010
26/01/2010
27/01/2010
28/01/2010
29/01/2010
01/02/2010
02/02/2010
03/02/2010
04/02/2010
05/02/2010
08/02/2010
09/02/2010
10/02/2010
11/02/2010
12/02/2010
15/02/2010
16/02/2010
17/02/2010
18/02/2010
19/02/2010
22/02/2010
23/02/2010
24/02/2010
25/02/2010
01/03/2010
02/03/2010
03/03/2010
04/03/2010
05/03/2010
08/03/2010
09/03/2010
10/03/2010
21943.12
21847.09
22903.43
23239.54
23143.51
24055.81
24247.87
23959.78
24103.82
23623.67
23767.71
23719.7
23719.7
23671.68
23527.64
23767.71
23527.64
23287.56
23287.56
23287.56
23335.57
22903.43
22135.18
21895.11
22375.26
22903.43
22519.31
22183.2
22279.23
22039.15
22759.39
23047.48
22759.39
22951.45
23383.59
23287.56
23239.54
23431.6
23719.7
23527.64
23239.54
22951.45
22903.43
23095.5
22951.45
22759.39
23431.6
24343.9
23959.78
-0.004366767
-0.004385919
0.047218949
0.014568457
-0.004140743
0.038662152
0.007952231
-0.011952187
0.005993743
-0.020121159
0.006078761
-0.00202201
0
-0.00202653
-0.006103497
0.010152037
-0.010152037
-0.010256588
0
0
0.002059494
-0.018692125
-0.034118483
-0.010904874
0.02169256
0.023330797
-0.016913518
-0.015037918
0.004319609
-0.010834437
0.03215739
0.012578628
-0.012578628
0.008403308
0.018653379
-0.004115182
-0.002064174
0.0082304
0.012220388
-0.008130026
-0.012320762
-0.012474023
-0.002094434
0.008351112
-0.006256678
-0.008403308
0.029107731
0.038195766
-0.015904714
Universitas Sumatera Utara
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
11/03/2010
12/03/2010
15/03/2010
17/03/2010
18/03/2010
19/03/2010
22/03/2010
23/03/2010
24/03/2010
25/03/2010
26/03/2010
29/03/2010
30/03/2010
31/03/2010
01/04/2010
05/04/2010
06/04/2010
07/04/2010
08/04/2010
09/04/2010
12/04/2010
13/04/2010
14/04/2010
15/04/2010
16/04/2010
19/04/2010
20/04/2010
21/04/2010
22/04/2010
23/04/2010
26/04/2010
27/04/2010
28/04/2010
29/04/2010
30/04/2010
03/05/2010
04/05/2010
05/05/2010
06/05/2010
07/05/2010
10/05/2010
11/05/2010
12/05/2010
14/05/2010
17/05/2010
18/05/2010
19/05/2010
20/05/2010
21/05/2010
23431.6
23671.68
23431.6
24007.79
23863.74
23863.74
23431.6
23191.53
23239.54
23287.56
23431.6
23239.54
23335.57
23623.67
23815.73
23623.67
23431.6
23671.68
23527.64
23239.54
23767.71
23431.6
23383.59
23239.54
22903.43
22279.23
22567.32
22567.32
22999.46
22711.37
22855.42
22327.25
21751.06
21318.92
21318.92
20934.79
20790.75
19878.45
20118.53
19398.3
19974.48
20550.67
20838.76
20262.58
19350.28
19494.33
18918.14
18149.89
17525.69
-0.022291053
0.010193858
-0.010193858
0.024292822
-0.006018209
0
-0.018274613
-0.010298413
0.002068013
0.002064174
0.006166226
-0.0082304
0.004123668
0.01227037
0.008097111
-0.008097111
-0.008163637
0.010193858
-0.006103497
-0.012320762
0.022472798
-0.014242398
-0.002051044
-0.006179356
-0.014568457
-0.027631827
0.012847988
0
0.018967895
-0.012605057
0.006322608
-0.023380383
-0.026145414
-0.020067551
0
-0.018182573
-0.006904192
-0.044871946
0.012005051
-0.036455848
0.029270025
0.028438085
0.01392117
-0.028038879
-0.046068946
0.007416764
-0.030002404
-0.04145675
-0.034996696
Universitas Sumatera Utara
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
24/05/2010
25/05/2010
26/05/2010
27/05/2010
31/05/2010
01/06/2010
02/06/2010
03/06/2010
04/06/2010
07/06/2010
08/06/2010
09/06/2010
10/06/2010
11/06/2010
14/06/2010
15/06/2010
16/06/2010
17/06/2010
18/06/2010
21/06/2010
22/06/2010
23/06/2010
24/06/2010
25/06/2010
28/06/2010
29/06/2010
30/06/2010
01/07/2010
02/07/2010
05/07/2010
06/07/2010
07/07/2010
08/07/2010
09/07/2010
12/07/2010
13/07/2010
14/07/2010
15/07/2010
16/07/2010
19/07/2010
20/07/2010
21/07/2010
22/07/2010
23/07/2010
26/07/2010
27/07/2010
28/07/2010
29/07/2010
30/07/2010
17573.7
16421.33
18389.97
18437.98
19062.19
18245.92
18245.92
18918.14
20646.7
19974.48
20166.54
20151.65
19804.21
19853.85
20350.19
20399.83
20499.1
20648
20052.38
20151.65
20201.29
20300.56
20201.29
20399.83
20350.19
19853.85
19208.6
18364.81
18067
18067
18910.79
18910.79
18513.71
18464.08
18563.35
18662.62
18464.08
18414.44
18612.98
18861.15
20102.02
20102.02
20052.38
21094.71
20499.1
20350.19
19605.67
19307.87
19357.5
0.002735662
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Universitas Sumatera Utara
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
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411
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414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
02/08/2010
03/08/2010
04/08/2010
05/08/2010
06/08/2010
09/08/2010
10/08/2010
11/08/2010
12/08/2010
13/08/2010
16/08/2010
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23/08/2010
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30/08/2010
31/08/2010
01/09/2010
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06/09/2010
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15/09/2010
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17/09/2010
20/09/2010
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22/09/2010
23/09/2010
24/09/2010
27/09/2010
28/09/2010
29/09/2010
30/09/2010
01/10/2010
04/10/2010
05/10/2010
06/10/2010
07/10/2010
08/10/2010
11/10/2010
12/10/2010
13/10/2010
14/10/2010
15/10/2010
19258.23
18811.52
19059.69
20697.63
21045.08
21293.25
20945.81
20399.83
19903.48
20300.56
19953.12
19655.31
19853.85
19704.94
19853.85
19953.12
20052.38
20151.65
19804.21
19704.94
19506.4
19953.12
19953.12
20002.75
20449.46
20548.73
20796.9
20548.73
20499.1
20548.73
20697.63
21094.71
21491.79
21739.96
22186.67
21541.42
21193.98
20548.73
21045.08
20747.27
20796.9
21094.71
21243.62
20945.81
22434.85
23427.54
24172.06
23973.52
23626.08
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Universitas Sumatera Utara
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
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465
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468
469
470
471
472
473
474
475
476
477
478
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480
481
482
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484
18/10/2010
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22/10/2010
25/10/2010
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01/11/2010
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22/11/2010
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29/11/2010
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01/12/2010
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10/12/2010
13/12/2010
14/12/2010
15/12/2010
16/12/2010
17/12/2010
20/12/2010
21/12/2010
22/12/2010
23/12/2010
27/12/2010
28/12/2010
23179.37
23626.08
24023.15
24023.15
24122.42
25611.46
25810
25800
25450
24900
25050
25400
24850
25650
25950
26200
26000
26800
26800
26100
25050
25000
23950
24600
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25050
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Universitas Sumatera Utara
485
486
487
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489
490
491
492
493
494
495
496
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503
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531
532
533
29/12/2010
30/12/2010
03/01/2011
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10/01/2011
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17/01/2011
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21/01/2011
24/01/2011
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31/01/2011
01/02/2011
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04/02/2011
07/02/2011
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14/02/2011
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18/02/2011
21/02/2011
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28/02/2011
01/03/2011
02/03/2011
03/03/2011
04/03/2011
07/03/2011
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09/03/2011
10/03/2011
25200
26200
26800
26450
25950
25950
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24500
23850
24950
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24900
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23450
22300
21250
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0.00796817
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Universitas Sumatera Utara
534
535
536
537
538
539
540
541
542
543
544
545
546
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550
551
552
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11/03/2011
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28/03/2011
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25/04/2011
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16/05/2011
18/05/2011
19/05/2011
20/05/2011
22050
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Universitas Sumatera Utara
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584
585
586
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589
590
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23/05/2011
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22/07/2011
25/07/2011
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27/07/2011
28/07/2011
29/07/2011
01/08/2011
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Universitas Sumatera Utara
632
633
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638
639
640
641
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645
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649
650
651
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17/10/2011
23200
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Universitas Sumatera Utara
681
682
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21150
21350
21500
21250
21950
21300
21500
21950
22600
22500
22750
22750
21550
22150
21150
20800
20600
20900
21800
22400
22600
22250
22000
22250
22450
22050
21800
21800
20900
20750
21000
20600
20600
20750
21150
21100
21250
-0.028536307
0.031090587
-0.028462465
0.010443959
0.030692946
0.017478597
0.009852296
0.050189745
-0.021202208
0.021202208
-0.016451605
-0.004750603
0.007117468
0.009411834
0.007001195
-0.01169604
0.032410244
-0.030060067
0.009345862
0.020714204
0.029182767
-0.004434597
0.011049836
0
-0.054189329
0.02746168
-0.046197591
-0.016686919
-0.009661911
0.014458083
0.042160811
0.027150989
0.008888947
-0.015607898
-0.011299555
0.011299555
0.008948606
-0.017978012
-0.011402632
0
-0.042160811
-0.007202912
0.011976191
-0.019231362
0
0.007255171
0.019093659
-0.002366865
0.007083855
Universitas Sumatera Utara
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
27/12/2011
28/12/2011
29/12/2011
30/12/2011
02/01/2012
03/01/2012
04/01/2012
05/01/2012
06/01/2012
09/01/2012
10/01/2012
11/01/2012
12/01/2012
13/01/2012
16/01/2012
17/01/2012
18/01/2012
19/01/2012
20/01/2012
24/01/2012
25/01/2012
26/01/2012
27/01/2012
30/01/2012
21500
21500
21600
21700
21750
21800
21950
21600
21750
21700
21650
21750
22250
22300
22250
22300
22300
22000
22100
21700
21200
21500
21550
21100
0.01169604
0
0.00464038
0.004618946
0.002301497
0.002296212
0.00685717
-0.016073825
0.006920443
-0.002301497
-0.002306806
0.004608303
0.022728251
0.00224467
-0.00224467
0.00224467
0
-0.013544225
0.004535155
-0.018265348
-0.023311079
0.014051753
0.002322881
-0.021102776
Universitas Sumatera Utara
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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.97107
-3.970302
-3.415803
-3.130160
0.0000
*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
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
ASII
Null Hypothesis: ASII has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.73704
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-29.21560
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
BBNI
Null Hypothesis: BBNI has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.82784
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-18.94345
-3.970335
-3.415819
-3.130170
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-26.53496
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
BMRI
Null Hypothesis: BMRI has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-28.07706
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-29.79118
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-26.93381
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
ISAT
Null Hypothesis: ISAT has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.26592
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-26.41340
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-25.70653
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
LSIP
Null Hypothesis: LSIP has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-28.27157
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-27.43351
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.70901
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
PTBA
Null Hypothesis: PTBA has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-26.24086
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-31.19494
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-28.95366
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
TLKM
Null Hypothesis: TLKM has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-29.35976
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-27.89873
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
Lampiran 3
Histogram dan Statistik dengan EViews 5.1
240
Series: AALI
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001097
0.000000
0.181471
-0.109399
0.025412
0.764840
8.794686
Jarque-Bera
Probability
1126.937
0.000000
0.15
200
Series: ANTM
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000797
0.000000
0.181901
-0.122821
0.028376
0.576561
7.099520
Jarque-Bera
Probability
569.0094
0.000000
0.15
160
Series: ASII
Sample 1/05/2009 1/30/2012
Observations 753
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002721
0.001358
0.145311
-0.103253
0.026112
0.574779
6.743089
Jarque-Bera
Probability
481.0477
0.000000
0.15
Universitas Sumatera Utara
120
Series: BBCA
Sample 1/05/2009 1/30/2012
Observations 753
100
80
60
40
20
0
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001263
0.000000
0.109199
-0.087598
0.022500
-0.062762
4.669236
Jarque-Bera
Probability
87.91601
0.000000
0.10
240
Series: BBNI
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.15
-0.10
-0.05
0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002262
0.000000
0.144824
-0.160623
0.025391
0.225883
7.915199
Jarque-Bera
Probability
764.3976
0.000000
0.15
200
Series: BBRI
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.15
-0.10
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001605
0.000000
0.111227
-0.140582
0.026640
0.067720
5.061611
Jarque-Bera
Probability
133.9268
0.000000
0.10
Universitas Sumatera Utara
200
Series: BDMN
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.2
-0.1
0.0
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000558
0.000000
0.114775
-0.233196
0.029698
-0.453319
10.35258
Jarque-Bera
Probability
1721.936
0.000000
0.1
200
Series: BMRI
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.15
-0.10
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001653
0.000000
0.102781
-0.156842
0.025979
0.043958
5.510889
Jarque-Bera
Probability
198.0482
0.000000
0.10
200
Series: INCO
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.1
0.0
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001086
0.000000
0.183480
-0.144739
0.031269
0.834879
9.001100
Jarque-Bera
Probability
1217.390
0.000000
0.1
Universitas Sumatera Utara
240
Series: INDF
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002242
0.000000
0.105363
-0.139262
0.025517
0.264055
5.305262
Jarque-Bera
Probability
175.4846
0.000000
0.10
280
Series: ISAT
Sample 1/05/2009 1/30/2012
Observations 753
240
200
160
120
80
40
0
-0.15
-0.10
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-1.41e-05
0.000000
0.097856
-0.157185
0.023082
-0.065411
6.966391
Jarque-Bera
Probability
494.1365
0.000000
0.10
200
Series: ITMG
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001823
0.000000
0.180944
-0.127059
0.028883
0.985660
8.934519
Jarque-Bera
Probability
1226.907
0.000000
0.15
Universitas Sumatera Utara
320
Series: LPKR
Sample 1/05/2009 1/30/2012
Observations 753
280
240
200
160
120
80
40
0
-0.20
-0.15
-0.10
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-0.000250
0.000000
0.100084
-0.194158
0.024064
-0.780927
11.20425
Jarque-Bera
Probability
2188.378
0.000000
0.10
200
Series: LSIP
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002312
0.000000
0.181961
-0.119003
0.027916
0.762355
7.781482
Jarque-Bera
Probability
790.2518
0.000000
0.15
240
Series: MEDC
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.1
-0.0
0.1
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000375
0.000000
0.221928
-0.130620
0.027660
1.065271
11.01611
Jarque-Bera
Probability
2158.514
0.000000
0.2
Universitas Sumatera Utara
240
Series: PGAS
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000869
0.000000
0.120144
-0.137784
0.023769
0.019517
7.053839
Jarque-Bera
Probability
515.6522
0.000000
0.10
200
Series: PTBA
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001503
0.000000
0.136859
-0.091808
0.024313
0.531617
6.383326
Jarque-Bera
Probability
394.6147
0.000000
0.10
240
Series: SMGR
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.05
0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001368
0.000000
0.144830
-0.083614
0.022331
0.265262
5.915700
Jarque-Bera
Probability
275.5592
0.000000
0.15
Universitas Sumatera Utara
240
Series: TINS
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000832
0.000000
0.154148
-0.115999
0.029316
0.556363
6.426712
Jarque-Bera
Probability
407.2637
0.000000
0.15
120
Series: TLKM
Sample 1/05/2009 1/30/2012
Observations 753
100
80
60
40
20
0
-0.05
0.00
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
9.83e-05
0.000000
0.069959
-0.090026
0.018689
0.022386
4.493124
Jarque-Bera
Probability
70.01096
0.000000
0.05
200
Series: UNTR
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002522
0.000000
0.181373
-0.099608
0.026994
0.802565
7.977233
Jarque-Bera
Probability
858.0841
0.000000
0.15
Universitas Sumatera Utara
Lampiran 4
Hasil Uji White Heteroskedsaticity dengan EViews 5.1
AALI
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
8.184392
16.08287
Prob. F(2,749)
Prob. Chi-Square(2)
0.000305
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
AALI(-1)
AALI(-1)^2
0.000534
-0.004323
0.113030
5.30E-05
0.002058
0.028754
10.08079
-2.100801
3.930883
0.0000
0.0360
0.0001
ANTM
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
5.017788
9.942555
Prob. F(2,749)
Prob. Chi-Square(2)
0.006843
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
ANTM(-1)
ANTM(-1)^2
0.000692
-0.002621
0.115085
7.61E-05
0.002565
0.036420
9.092138
-1.021604
3.159947
0.0000
0.3073
0.0016
Universitas Sumatera Utara
ASII
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
4.633020
9.189469
Prob. F(2,749)
Prob. Chi-Square(2)
0.010006
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
C
ASII(-1)
ASII(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000588
0.000137
0.096478
5.78E-05
0.002160
0.033693
10.17880
0.063458
2.863457
0.0000
0.9494
0.0043
BBCA
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
10.29882
20.12665
Prob. F(2,749)
Prob. Chi-Square(2)
0.000039
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
BBCA(-1)
BBCA(-1)^2
0.000417
-0.000867
0.160315
3.88E-05
0.001529
0.035499
10.74161
-0.566796
4.516009
0.0000
0.5710
0.0000
Universitas Sumatera Utara
BBNI
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
8.749827
17.16862
Prob. F(2,749)
Prob. Chi-Square(2)
0.000175
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
C
BBNI(-1)
BBNI(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000545
0.002801
0.137925
6.56E-05
0.002442
0.036284
8.308893
1.146851
3.801236
0.0000
0.2518
0.0002
BBRI
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
7.776971
15.29855
Prob. F(2,749)
Prob. Chi-Square(2)
0.000454
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
C
BBRI(-1)
BBRI(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000614
0.003393
0.120918
5.74E-05
0.001940
0.036017
10.68395
1.748950
3.357242
0.0000
0.0807
0.0008
Universitas Sumatera Utara
BDMN
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
14.82283
28.63118
Prob. F(2,749)
Prob. Chi-Square(2)
0.000000
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
C
BDMN(-1)
BDMN(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000703
0.005584
0.193200
0.000101
0.003270
0.036081
6.936610
1.707846
5.354620
0.0000
0.0881
0.0000
BMRI
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
2.594645
5.174227
Prob. F(2,749)
Prob. Chi-Square(2)
0.075343
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
BMRI(-1)
BMRI(-1)^2
0.000617
-0.001903
0.077186
5.71E-05
0.001997
0.036078
10.79945
-0.952564
2.139408
0.0000
0.3411
0.0327
Universitas Sumatera Utara
INCO
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
4.440309
8.811710
Prob. F(2,749)
Prob. Chi-Square(2)
0.012104
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
INCO(-1)
INCO(-1)^2
0.000835
-0.003871
0.104623
9.91E-05
0.003143
0.035296
8.431371
-1.231532
2.964184
0.0000
0.2185
0.0031
INDF
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
15.97825
30.77160
Prob. F(2,749)
Prob. Chi-Square(2)
0.000000
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
INDF(-1)
INDF(-1)^2
0.000539
-0.006292
0.186571
5.33E-05
0.001928
0.035911
10.11260
-3.264031
5.195312
0.0000
0.0011
0.0000
Universitas Sumatera Utara
ISAT
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
25.69550
48.28395
Prob. F(2,749)
Prob. Chi-Square(2)
0.000000
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
C
ISAT(-1)
ISAT(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000398
0.000839
0.252926
4.96E-05
0.001990
0.035299
8.020645
0.421692
7.165217
0.0000
0.6734
0.0000
ITMG
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
2.019521
4.033469
Prob. F(2,749)
Prob. Chi-Square(2)
0.133441
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
ITMG(-1)
ITMG(-1)^2
0.000737
-0.002420
0.068111
7.93E-05
0.002806
0.033925
9.292434
-0.862686
2.007730
0.0000
0.3886
0.0450
Universitas Sumatera Utara
LPKR
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
0.893918
1.790723
Prob. F(2,749)
Prob. Chi-Square(2)
0.409486
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
C
LPKR(-1)
LPKR(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000549
0.002350
0.046341
7.08E-05
0.002895
0.037613
7.748252
0.811941
1.232028
0.0000
0.4171
0.2183
LSIP
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
3.376622
6.719705
Prob. F(2,749)
Prob. Chi-Square(2)
0.034684
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
LSIP(-1)
LSIP(-1)^2
0.000709
-0.005362
0.085097
7.71E-05
0.002753
0.037121
9.193918
-1.947466
2.292410
0.0000
0.0519
0.0222
Universitas Sumatera Utara
MEDC
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
9.715845
19.01617
Prob. F(2,749)
Prob. Chi-Square(2)
0.000068
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
C
MEDC(-1)
MEDC(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000644
0.000814
0.155178
9.20E-05
0.003366
0.038329
7.002470
0.241736
4.048571
0.0000
0.8091
0.0001
PGAS
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
19.52068
37.25578
Prob. F(2,749)
Prob. Chi-Square(2)
0.000000
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
PGAS(-1)
PGAS(-1)^2
0.000449
-0.005253
0.207175
5.35E-05
0.002087
0.035655
8.401468
-2.516619
5.810594
0.0000
0.0121
0.0000
Universitas Sumatera Utara
PTBA
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
10.31797
20.16308
Prob. F(2,749)
Prob. Chi-Square(2)
0.000038
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
PTBA(-1)
PTBA(-1)^2
0.000487
-0.004327
0.149836
4.92E-05
0.001936
0.033892
9.892032
-2.234239
4.421042
0.0000
0.0258
0.0000
SMGR
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
13.52005
26.20246
Prob. F(2,749)
Prob. Chi-Square(2)
0.000002
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
SMGR(-1)
SMGR(-1)^2
0.000411
-0.004610
0.171154
4.21E-05
0.001752
0.035075
9.767807
-2.630655
4.879681
0.0000
0.0087
0.0000
Universitas Sumatera Utara
TINS
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
5.250872
10.39802
Prob. F(2,749)
Prob. Chi-Square(2)
0.005438
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
C
TINS(-1)
TINS(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000740
0.001432
0.099826
7.26E-05
0.002353
0.034268
10.19044
0.608536
2.913130
0.0000
0.5430
0.0037
TLKM
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
7.814844
15.37153
Prob. F(2,749)
Prob. Chi-Square(2)
0.000438
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
C
TLKM(-1)
TLKM(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000295
0.000142
0.139480
2.61E-05
0.001233
0.035319
11.28898
0.115031
3.949168
0.0000
0.9085
0.0001
Universitas Sumatera Utara
UNTR
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
2.014776
4.024043
Prob. F(2,749)
Prob. Chi-Square(2)
0.134072
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
UNTR(-1)
UNTR(-1)^2
0.000650
-0.002837
0.058946
6.03E-05
0.002246
0.030794
10.77796
-1.263062
1.914188
0.0000
0.2070
0.0560
Universitas Sumatera Utara
Lampiran 5
Contoh Perhitungan VaR EWMA
BBNI
Tanggal
Return
30/01/2012
27/01/2012
26/01/2012
25/01/2012
24/01/2012
20/01/2012
19/01/2012
18/01/2012
17/01/2012
16/01/2012
13/01/2012
12/01/2012
1
Data Return Indeks Saham
AALI
No
Date
Adj Close
Return
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
05/01/2009
06/01/2009
07/01/2009
08/01/2009
09/01/2009
12/01/2009
13/01/2009
14/01/2009
15/01/2009
16/01/2009
19/01/2009
20/01/2009
21/01/2009
22/01/2009
23/01/2009
27/01/2009
28/01/2009
29/01/2009
30/01/2009
02/02/2009
03/02/2009
04/02/2009
05/02/2009
06/02/2009
09/02/2009
10/02/2009
11/02/2009
12/02/2009
13/02/2009
16/02/2009
17/02/2009
18/02/2009
19/02/2009
20/02/2009
23/02/2009
24/02/2009
25/02/2009
26/02/2009
27/02/2009
02/03/2009
03/03/2009
04/03/2009
05/03/2009
11076.18
11594.63
11029.04
10227.79
11170.44
11029.04
10416.32
10651.98
10133.52
10369.19
10604.85
10604.85
10651.98
10463.45
10133.52
10557.72
10416.32
10369.19
10274.92
10227.79
10086.39
10180.65
10180.65
11406.1
12065.96
11594.63
11830.3
11406.1
11594.63
11453.24
11500.37
11500.37
11406.1
11406.1
11594.63
11594.63
12254.49
12160.23
12113.09
12113.09
11971.7
12065.96
11971.7
0.181471445
0.045745203
-0.050010266
-0.075423269
0.088162478
-0.012739209
-0.057157987
0.022371983
-0.04989705
0.022990169
0.022472534
0.000000000
0.004434347
-0.017857558
-0.032039492
0.041008605
-0.013483539
-0.004534898
-0.009132935
-0.004597449
-0.013921535
0.009301869
0
0.11365944
0.056239965
-0.039846205
0.020121977
-0.036515737
0.01639376
-0.0122694
0.004106549
0
-0.008230909
0
0.01639376
0
0.055350341
-0.00772161
-0.003884105
0
-0.011741155
0.007842734
-0.007842734
Universitas Sumatera Utara
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
06/03/2009
10/03/2009
11/03/2009
12/03/2009
13/03/2009
16/03/2009
17/03/2009
18/03/2009
19/03/2009
20/03/2009
23/03/2009
24/03/2009
25/03/2009
27/03/2009
30/03/2009
31/03/2009
01/04/2009
02/04/2009
03/04/2009
06/04/2009
07/04/2009
08/04/2009
13/04/2009
14/04/2009
15/04/2009
16/04/2009
17/04/2009
20/04/2009
21/04/2009
22/04/2009
23/04/2009
24/04/2009
27/04/2009
28/04/2009
29/04/2009
30/04/2009
01/05/2009
04/05/2009
05/05/2009
06/05/2009
07/05/2009
08/05/2009
11/05/2009
12/05/2009
13/05/2009
14/05/2009
15/05/2009
18/05/2009
19/05/2009
11170.44
11547.5
11830.3
11783.17
12160.23
11641.77
11500.37
11783.17
11736.03
11641.77
12160.23
12914.35
12725.82
13432.81
13055.75
13291.41
13715.6
14516.86
14658.26
14941.05
14516.86
13668.47
14469.73
14092.67
14375.46
14328.33
14186.93
14186.93
14092.67
13904.14
14186.93
14941.05
14799.66
14611.13
14563.99
14893.92
16213.64
17062.02
16967.76
17250.55
18381.74
18051.81
17627.62
17344.82
17391.95
15930.84
16779.23
17062.02
17816.15
-0.069274528
0.03319796
0.024195074
-0.003991795
0.031498549
-0.043571298
-0.012220284
0.024293033
-0.004008645
-0.008064104
0.043571298
0.060168305
-0.014706096
0.054067221
-0.028471572
0.017889312
0.031415909
0.056776861
0.009693267
0.019108459
-0.028801726
-0.060219012
0.056967161
-0.026404077
0.019867782
-0.00328389
-0.009917578
0
-0.006666314
-0.013468167
0.020134481
0.05179134
-0.009508251
-0.01282064
-0.003231523
0.022401032
0.084899787
0.051002077
-0.005539868
0.016528954
0.063513754
-0.018111824
-0.023778967
-0.016173087
0.002713553
-0.087750602
0.051884959
0.016713129
0.043250409
Universitas Sumatera Utara
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
20/05/2009
22/05/2009
25/05/2009
26/05/2009
27/05/2009
28/05/2009
29/05/2009
01/06/2009
02/06/2009
03/06/2009
04/06/2009
05/06/2009
08/06/2009
09/06/2009
10/06/2009
11/06/2009
12/06/2009
15/06/2009
16/06/2009
17/06/2009
18/06/2009
19/06/2009
22/06/2009
23/06/2009
24/06/2009
25/06/2009
26/06/2009
29/06/2009
30/06/2009
01/07/2009
02/07/2009
03/07/2009
06/07/2009
07/07/2009
09/07/2009
10/07/2009
13/07/2009
14/07/2009
15/07/2009
16/07/2009
17/07/2009
21/07/2009
22/07/2009
23/07/2009
24/07/2009
27/07/2009
28/07/2009
29/07/2009
30/07/2009
17863.28
17486.22
17580.48
16779.23
16637.83
16732.09
16779.23
17439.08
17439.08
17627.62
17580.48
18298.15
17965.46
17775.35
17727.82
17775.35
17680.29
17537.71
17014.9
16967.38
15874.24
15874.24
15779.18
16634.68
16919.85
16919.85
16634.68
16254.46
16016.82
16634.68
16587.15
16587.15
16254.46
16349.52
16016.82
15826.71
15208.85
15494.02
15969.29
15779.18
15731.66
17537.71
17109.96
17014.9
17014.9
17014.9
17442.65
17822.87
18155.57
0.00264186
-0.021334067
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Universitas Sumatera Utara
142
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31/07/2009
03/08/2009
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31/08/2009
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14/10/2009
18345.68
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18345.68
20056.67
21054.75
20817.12
21339.92
21862.72
21197.34
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20151.73
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21007.23
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20579.48
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20436.89
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19296.23
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19866.56
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19866.56
19438.81
19438.81
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19819.04
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19628.92
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20294.31
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20769.59
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Universitas Sumatera Utara
191
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219
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223
224
225
226
227
228
229
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231
232
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234
235
236
237
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239
15/10/2009
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21/12/2009
22/12/2009
23/12/2009
28/12/2009
21482.5
21387.45
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21339.92
20674.53
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20627.01
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20579.48
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20982.81
21318.92
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21318.92
21126.86
21270.9
21991.14
21751.06
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21847.09
22471.29
22567.32
21318.92
21414.95
22039.15
22807.4
22903.43
23047.48
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22903.43
22855.42
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22999.46
22663.35
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Universitas Sumatera Utara
240
241
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251
252
253
254
255
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258
259
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268
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288
29/12/2009
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25/01/2010
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03/03/2010
04/03/2010
05/03/2010
08/03/2010
09/03/2010
10/03/2010
21943.12
21847.09
22903.43
23239.54
23143.51
24055.81
24247.87
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24103.82
23623.67
23767.71
23719.7
23719.7
23671.68
23527.64
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23527.64
23287.56
23287.56
23287.56
23335.57
22903.43
22135.18
21895.11
22375.26
22903.43
22519.31
22183.2
22279.23
22039.15
22759.39
23047.48
22759.39
22951.45
23383.59
23287.56
23239.54
23431.6
23719.7
23527.64
23239.54
22951.45
22903.43
23095.5
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22759.39
23431.6
24343.9
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Universitas Sumatera Utara
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290
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292
293
294
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296
297
298
299
300
301
302
303
304
305
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307
308
309
310
311
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313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
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333
334
335
336
337
11/03/2010
12/03/2010
15/03/2010
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29/03/2010
30/03/2010
31/03/2010
01/04/2010
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09/04/2010
12/04/2010
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19/04/2010
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26/04/2010
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10/05/2010
11/05/2010
12/05/2010
14/05/2010
17/05/2010
18/05/2010
19/05/2010
20/05/2010
21/05/2010
23431.6
23671.68
23431.6
24007.79
23863.74
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23431.6
23191.53
23239.54
23287.56
23431.6
23239.54
23335.57
23623.67
23815.73
23623.67
23431.6
23671.68
23527.64
23239.54
23767.71
23431.6
23383.59
23239.54
22903.43
22279.23
22567.32
22567.32
22999.46
22711.37
22855.42
22327.25
21751.06
21318.92
21318.92
20934.79
20790.75
19878.45
20118.53
19398.3
19974.48
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Universitas Sumatera Utara
338
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340
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343
344
345
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347
348
349
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353
354
355
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357
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370
371
372
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374
375
376
377
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380
381
382
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384
385
386
24/05/2010
25/05/2010
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27/05/2010
31/05/2010
01/06/2010
02/06/2010
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04/06/2010
07/06/2010
08/06/2010
09/06/2010
10/06/2010
11/06/2010
14/06/2010
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17/06/2010
18/06/2010
21/06/2010
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28/06/2010
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01/07/2010
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06/07/2010
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12/07/2010
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21/07/2010
22/07/2010
23/07/2010
26/07/2010
27/07/2010
28/07/2010
29/07/2010
30/07/2010
17573.7
16421.33
18389.97
18437.98
19062.19
18245.92
18245.92
18918.14
20646.7
19974.48
20166.54
20151.65
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19853.85
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20399.83
20499.1
20648
20052.38
20151.65
20201.29
20300.56
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20399.83
20350.19
19853.85
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18364.81
18067
18067
18910.79
18910.79
18513.71
18464.08
18563.35
18662.62
18464.08
18414.44
18612.98
18861.15
20102.02
20102.02
20052.38
21094.71
20499.1
20350.19
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Universitas Sumatera Utara
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
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415
416
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419
420
421
422
423
424
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427
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430
431
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433
434
435
02/08/2010
03/08/2010
04/08/2010
05/08/2010
06/08/2010
09/08/2010
10/08/2010
11/08/2010
12/08/2010
13/08/2010
16/08/2010
18/08/2010
19/08/2010
20/08/2010
23/08/2010
24/08/2010
25/08/2010
26/08/2010
27/08/2010
30/08/2010
31/08/2010
01/09/2010
02/09/2010
03/09/2010
06/09/2010
07/09/2010
15/09/2010
16/09/2010
17/09/2010
20/09/2010
21/09/2010
22/09/2010
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24/09/2010
27/09/2010
28/09/2010
29/09/2010
30/09/2010
01/10/2010
04/10/2010
05/10/2010
06/10/2010
07/10/2010
08/10/2010
11/10/2010
12/10/2010
13/10/2010
14/10/2010
15/10/2010
19258.23
18811.52
19059.69
20697.63
21045.08
21293.25
20945.81
20399.83
19903.48
20300.56
19953.12
19655.31
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20052.38
20151.65
19804.21
19704.94
19506.4
19953.12
19953.12
20002.75
20449.46
20548.73
20796.9
20548.73
20499.1
20548.73
20697.63
21094.71
21491.79
21739.96
22186.67
21541.42
21193.98
20548.73
21045.08
20747.27
20796.9
21094.71
21243.62
20945.81
22434.85
23427.54
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Universitas Sumatera Utara
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
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458
459
460
461
462
463
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465
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468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
18/10/2010
19/10/2010
20/10/2010
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22/10/2010
25/10/2010
26/10/2010
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28/10/2010
29/10/2010
01/11/2010
02/11/2010
03/11/2010
04/11/2010
05/11/2010
08/11/2010
09/11/2010
10/11/2010
11/11/2010
12/11/2010
15/11/2010
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18/11/2010
19/11/2010
22/11/2010
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25/11/2010
26/11/2010
29/11/2010
30/11/2010
01/12/2010
02/12/2010
03/12/2010
06/12/2010
08/12/2010
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10/12/2010
13/12/2010
14/12/2010
15/12/2010
16/12/2010
17/12/2010
20/12/2010
21/12/2010
22/12/2010
23/12/2010
27/12/2010
28/12/2010
23179.37
23626.08
24023.15
24023.15
24122.42
25611.46
25810
25800
25450
24900
25050
25400
24850
25650
25950
26200
26000
26800
26800
26100
25050
25000
23950
24600
25900
25050
24300
24600
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23950
24150
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24050
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Universitas Sumatera Utara
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18/04/2011
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20/04/2011
21/04/2011
25/04/2011
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28/04/2011
29/04/2011
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0.010537505
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25/07/2011
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0.006444705
0.004273511
0.010604553
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0
0
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09/09/2011
12/09/2011
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19/09/2011
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26/09/2011
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04/10/2011
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10/10/2011
11/10/2011
12/10/2011
13/10/2011
14/10/2011
17/10/2011
23200
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21650
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0.017804625
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0.005333346
0.039118417
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07/11/2011
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09/11/2011
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18/11/2011
21/11/2011
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24/11/2011
25/11/2011
28/11/2011
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06/12/2011
07/12/2011
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12/12/2011
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15/12/2011
16/12/2011
19/12/2011
20/12/2011
21/12/2011
22/12/2011
23/12/2011
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19250
19850
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21000
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21100
21000
21150
21350
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21300
21500
21950
22600
22500
22750
22750
21550
22150
21150
20800
20600
20900
21800
22400
22600
22250
22000
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21150
21100
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Universitas Sumatera Utara
730
731
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04/01/2012
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10/01/2012
11/01/2012
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17/01/2012
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19/01/2012
20/01/2012
24/01/2012
25/01/2012
26/01/2012
27/01/2012
30/01/2012
21500
21500
21600
21700
21750
21800
21950
21600
21750
21700
21650
21750
22250
22300
22250
22300
22300
22000
22100
21700
21200
21500
21550
21100
0.01169604
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Universitas Sumatera Utara
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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.97107
-3.970302
-3.415803
-3.130160
0.0000
*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
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
ASII
Null Hypothesis: ASII has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.73704
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-29.21560
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
BBNI
Null Hypothesis: BBNI has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.82784
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-18.94345
-3.970335
-3.415819
-3.130170
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-26.53496
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
BMRI
Null Hypothesis: BMRI has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-28.07706
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-29.79118
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-26.93381
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
ISAT
Null Hypothesis: ISAT has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.26592
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-26.41340
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-25.70653
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
LSIP
Null Hypothesis: LSIP has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-28.27157
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-27.43351
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-27.70901
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
PTBA
Null Hypothesis: PTBA has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-26.24086
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-31.19494
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-28.95366
-3.970302
-3.415803
-3.130160
0.0000
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
TLKM
Null Hypothesis: TLKM has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=19)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-29.35976
-3.970302
-3.415803
-3.130160
0.0000
t-Statistic
Prob.*
-27.89873
-3.970302
-3.415803
-3.130160
0.0000
*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)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Universitas Sumatera Utara
Lampiran 3
Histogram dan Statistik dengan EViews 5.1
240
Series: AALI
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001097
0.000000
0.181471
-0.109399
0.025412
0.764840
8.794686
Jarque-Bera
Probability
1126.937
0.000000
0.15
200
Series: ANTM
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000797
0.000000
0.181901
-0.122821
0.028376
0.576561
7.099520
Jarque-Bera
Probability
569.0094
0.000000
0.15
160
Series: ASII
Sample 1/05/2009 1/30/2012
Observations 753
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002721
0.001358
0.145311
-0.103253
0.026112
0.574779
6.743089
Jarque-Bera
Probability
481.0477
0.000000
0.15
Universitas Sumatera Utara
120
Series: BBCA
Sample 1/05/2009 1/30/2012
Observations 753
100
80
60
40
20
0
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001263
0.000000
0.109199
-0.087598
0.022500
-0.062762
4.669236
Jarque-Bera
Probability
87.91601
0.000000
0.10
240
Series: BBNI
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.15
-0.10
-0.05
0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002262
0.000000
0.144824
-0.160623
0.025391
0.225883
7.915199
Jarque-Bera
Probability
764.3976
0.000000
0.15
200
Series: BBRI
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.15
-0.10
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001605
0.000000
0.111227
-0.140582
0.026640
0.067720
5.061611
Jarque-Bera
Probability
133.9268
0.000000
0.10
Universitas Sumatera Utara
200
Series: BDMN
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.2
-0.1
0.0
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000558
0.000000
0.114775
-0.233196
0.029698
-0.453319
10.35258
Jarque-Bera
Probability
1721.936
0.000000
0.1
200
Series: BMRI
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.15
-0.10
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001653
0.000000
0.102781
-0.156842
0.025979
0.043958
5.510889
Jarque-Bera
Probability
198.0482
0.000000
0.10
200
Series: INCO
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.1
0.0
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001086
0.000000
0.183480
-0.144739
0.031269
0.834879
9.001100
Jarque-Bera
Probability
1217.390
0.000000
0.1
Universitas Sumatera Utara
240
Series: INDF
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002242
0.000000
0.105363
-0.139262
0.025517
0.264055
5.305262
Jarque-Bera
Probability
175.4846
0.000000
0.10
280
Series: ISAT
Sample 1/05/2009 1/30/2012
Observations 753
240
200
160
120
80
40
0
-0.15
-0.10
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-1.41e-05
0.000000
0.097856
-0.157185
0.023082
-0.065411
6.966391
Jarque-Bera
Probability
494.1365
0.000000
0.10
200
Series: ITMG
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001823
0.000000
0.180944
-0.127059
0.028883
0.985660
8.934519
Jarque-Bera
Probability
1226.907
0.000000
0.15
Universitas Sumatera Utara
320
Series: LPKR
Sample 1/05/2009 1/30/2012
Observations 753
280
240
200
160
120
80
40
0
-0.20
-0.15
-0.10
-0.05
0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-0.000250
0.000000
0.100084
-0.194158
0.024064
-0.780927
11.20425
Jarque-Bera
Probability
2188.378
0.000000
0.10
200
Series: LSIP
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002312
0.000000
0.181961
-0.119003
0.027916
0.762355
7.781482
Jarque-Bera
Probability
790.2518
0.000000
0.15
240
Series: MEDC
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.1
-0.0
0.1
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000375
0.000000
0.221928
-0.130620
0.027660
1.065271
11.01611
Jarque-Bera
Probability
2158.514
0.000000
0.2
Universitas Sumatera Utara
240
Series: PGAS
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000869
0.000000
0.120144
-0.137784
0.023769
0.019517
7.053839
Jarque-Bera
Probability
515.6522
0.000000
0.10
200
Series: PTBA
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001503
0.000000
0.136859
-0.091808
0.024313
0.531617
6.383326
Jarque-Bera
Probability
394.6147
0.000000
0.10
240
Series: SMGR
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.05
0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.001368
0.000000
0.144830
-0.083614
0.022331
0.265262
5.915700
Jarque-Bera
Probability
275.5592
0.000000
0.15
Universitas Sumatera Utara
240
Series: TINS
Sample 1/05/2009 1/30/2012
Observations 753
200
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000832
0.000000
0.154148
-0.115999
0.029316
0.556363
6.426712
Jarque-Bera
Probability
407.2637
0.000000
0.15
120
Series: TLKM
Sample 1/05/2009 1/30/2012
Observations 753
100
80
60
40
20
0
-0.05
0.00
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
9.83e-05
0.000000
0.069959
-0.090026
0.018689
0.022386
4.493124
Jarque-Bera
Probability
70.01096
0.000000
0.05
200
Series: UNTR
Sample 1/05/2009 1/30/2012
Observations 753
160
120
80
40
0
-0.10
-0.05
-0.00
0.05
0.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.002522
0.000000
0.181373
-0.099608
0.026994
0.802565
7.977233
Jarque-Bera
Probability
858.0841
0.000000
0.15
Universitas Sumatera Utara
Lampiran 4
Hasil Uji White Heteroskedsaticity dengan EViews 5.1
AALI
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
8.184392
16.08287
Prob. F(2,749)
Prob. Chi-Square(2)
0.000305
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
AALI(-1)
AALI(-1)^2
0.000534
-0.004323
0.113030
5.30E-05
0.002058
0.028754
10.08079
-2.100801
3.930883
0.0000
0.0360
0.0001
ANTM
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
5.017788
9.942555
Prob. F(2,749)
Prob. Chi-Square(2)
0.006843
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
ANTM(-1)
ANTM(-1)^2
0.000692
-0.002621
0.115085
7.61E-05
0.002565
0.036420
9.092138
-1.021604
3.159947
0.0000
0.3073
0.0016
Universitas Sumatera Utara
ASII
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
4.633020
9.189469
Prob. F(2,749)
Prob. Chi-Square(2)
0.010006
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
C
ASII(-1)
ASII(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000588
0.000137
0.096478
5.78E-05
0.002160
0.033693
10.17880
0.063458
2.863457
0.0000
0.9494
0.0043
BBCA
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
10.29882
20.12665
Prob. F(2,749)
Prob. Chi-Square(2)
0.000039
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
BBCA(-1)
BBCA(-1)^2
0.000417
-0.000867
0.160315
3.88E-05
0.001529
0.035499
10.74161
-0.566796
4.516009
0.0000
0.5710
0.0000
Universitas Sumatera Utara
BBNI
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
8.749827
17.16862
Prob. F(2,749)
Prob. Chi-Square(2)
0.000175
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
C
BBNI(-1)
BBNI(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000545
0.002801
0.137925
6.56E-05
0.002442
0.036284
8.308893
1.146851
3.801236
0.0000
0.2518
0.0002
BBRI
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
7.776971
15.29855
Prob. F(2,749)
Prob. Chi-Square(2)
0.000454
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
C
BBRI(-1)
BBRI(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000614
0.003393
0.120918
5.74E-05
0.001940
0.036017
10.68395
1.748950
3.357242
0.0000
0.0807
0.0008
Universitas Sumatera Utara
BDMN
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
14.82283
28.63118
Prob. F(2,749)
Prob. Chi-Square(2)
0.000000
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
C
BDMN(-1)
BDMN(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000703
0.005584
0.193200
0.000101
0.003270
0.036081
6.936610
1.707846
5.354620
0.0000
0.0881
0.0000
BMRI
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
2.594645
5.174227
Prob. F(2,749)
Prob. Chi-Square(2)
0.075343
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
BMRI(-1)
BMRI(-1)^2
0.000617
-0.001903
0.077186
5.71E-05
0.001997
0.036078
10.79945
-0.952564
2.139408
0.0000
0.3411
0.0327
Universitas Sumatera Utara
INCO
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
4.440309
8.811710
Prob. F(2,749)
Prob. Chi-Square(2)
0.012104
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
INCO(-1)
INCO(-1)^2
0.000835
-0.003871
0.104623
9.91E-05
0.003143
0.035296
8.431371
-1.231532
2.964184
0.0000
0.2185
0.0031
INDF
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
15.97825
30.77160
Prob. F(2,749)
Prob. Chi-Square(2)
0.000000
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
INDF(-1)
INDF(-1)^2
0.000539
-0.006292
0.186571
5.33E-05
0.001928
0.035911
10.11260
-3.264031
5.195312
0.0000
0.0011
0.0000
Universitas Sumatera Utara
ISAT
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
25.69550
48.28395
Prob. F(2,749)
Prob. Chi-Square(2)
0.000000
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
C
ISAT(-1)
ISAT(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000398
0.000839
0.252926
4.96E-05
0.001990
0.035299
8.020645
0.421692
7.165217
0.0000
0.6734
0.0000
ITMG
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
2.019521
4.033469
Prob. F(2,749)
Prob. Chi-Square(2)
0.133441
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
ITMG(-1)
ITMG(-1)^2
0.000737
-0.002420
0.068111
7.93E-05
0.002806
0.033925
9.292434
-0.862686
2.007730
0.0000
0.3886
0.0450
Universitas Sumatera Utara
LPKR
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
0.893918
1.790723
Prob. F(2,749)
Prob. Chi-Square(2)
0.409486
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
C
LPKR(-1)
LPKR(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000549
0.002350
0.046341
7.08E-05
0.002895
0.037613
7.748252
0.811941
1.232028
0.0000
0.4171
0.2183
LSIP
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
3.376622
6.719705
Prob. F(2,749)
Prob. Chi-Square(2)
0.034684
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
LSIP(-1)
LSIP(-1)^2
0.000709
-0.005362
0.085097
7.71E-05
0.002753
0.037121
9.193918
-1.947466
2.292410
0.0000
0.0519
0.0222
Universitas Sumatera Utara
MEDC
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
9.715845
19.01617
Prob. F(2,749)
Prob. Chi-Square(2)
0.000068
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
C
MEDC(-1)
MEDC(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000644
0.000814
0.155178
9.20E-05
0.003366
0.038329
7.002470
0.241736
4.048571
0.0000
0.8091
0.0001
PGAS
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
19.52068
37.25578
Prob. F(2,749)
Prob. Chi-Square(2)
0.000000
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
PGAS(-1)
PGAS(-1)^2
0.000449
-0.005253
0.207175
5.35E-05
0.002087
0.035655
8.401468
-2.516619
5.810594
0.0000
0.0121
0.0000
Universitas Sumatera Utara
PTBA
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
10.31797
20.16308
Prob. F(2,749)
Prob. Chi-Square(2)
0.000038
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
PTBA(-1)
PTBA(-1)^2
0.000487
-0.004327
0.149836
4.92E-05
0.001936
0.033892
9.892032
-2.234239
4.421042
0.0000
0.0258
0.0000
SMGR
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
13.52005
26.20246
Prob. F(2,749)
Prob. Chi-Square(2)
0.000002
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
SMGR(-1)
SMGR(-1)^2
0.000411
-0.004610
0.171154
4.21E-05
0.001752
0.035075
9.767807
-2.630655
4.879681
0.0000
0.0087
0.0000
Universitas Sumatera Utara
TINS
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
5.250872
10.39802
Prob. F(2,749)
Prob. Chi-Square(2)
0.005438
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
C
TINS(-1)
TINS(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000740
0.001432
0.099826
7.26E-05
0.002353
0.034268
10.19044
0.608536
2.913130
0.0000
0.5430
0.0037
TLKM
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
7.814844
15.37153
Prob. F(2,749)
Prob. Chi-Square(2)
0.000438
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
C
TLKM(-1)
TLKM(-1)^2
Coefficient
Std. Error
t-Statistic
Prob.
0.000295
0.000142
0.139480
2.61E-05
0.001233
0.035319
11.28898
0.115031
3.949168
0.0000
0.9085
0.0001
Universitas Sumatera Utara
UNTR
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
2.014776
4.024043
Prob. F(2,749)
Prob. Chi-Square(2)
0.134072
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
UNTR(-1)
UNTR(-1)^2
0.000650
-0.002837
0.058946
6.03E-05
0.002246
0.030794
10.77796
-1.263062
1.914188
0.0000
0.2070
0.0560
Universitas Sumatera Utara
Lampiran 5
Contoh Perhitungan VaR EWMA
BBNI
Tanggal
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