Analisis Pengaruh Kebijakan Moneter Melalui Instrumen Suku Bunga Terhadap Return Saham Di Bursa Efek Indonesia

Lampiran
Lampiran 1
Model GARCH Indeks Harga Saham Gabungan
GARCH (1,0)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/06/14 Time: 12:12
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 28 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.086003
-0.009611

Std. Error

z-Statistic

Prob.

0.069119 1.244275
0.008849 -1.086069

0.2134
0.2774

Variance Equation
C
GARCH(-1)

0.001201
0.775965

R-squared
0.030180
Adjusted R-squared -0.013245
S.E. of regression
0.074418
Sum squared resid
0.371049
Log likelihood
86.00725
F-statistic
0.695000
Prob(F-statistic)
0.558331

0.005723
1.083006

0.209896
0.716492

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.8337
0.4737
0.015622
0.073930
-2.310063
-2.182588
-2.259371
1.512131

GARCH (1,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/06/14 Time: 12:14

Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 50 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable
C

Coefficient

Std. Error

z-Statistic

Prob.

0.009327

0.054092

0.172434

0.8631

Universitas Sumatera Utara

BIRATE

0.001241

0.007504

0.165332

0.8687

1.701171
2.681739
0.065833

0.0889
0.0073
0.9475

Variance Equation
C
RESID(-1)^2
GARCH(-1)

0.002544
0.548411
0.021620

R-squared
-0.008494
Adjusted R-squared -0.069615
S.E. of regression
0.076460
Sum squared resid
0.385846

Log likelihood
92.38269
Durbin-Watson stat 1.456703

0.001496
0.204498
0.328406

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.015622
0.073930
-2.461484
-2.302141
-2.398118

GARCH (1,2)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/06/14 Time: 12:15
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 29 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.006232
0.001707

0.053972
0.007452

0.115464
0.229130

0.9081
0.8188

0.001527 0.382260
0.194164 2.628714
0.404342 -0.909151
0.633097 1.197568

0.7023
0.0086
0.3633
0.2311

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.000584
0.510401
-0.367607
0.758176

R-squared
-0.011669
Adjusted R-squared -0.089489
S.E. of regression

0.077167
Sum squared resid
0.387060
Log likelihood
92.73174
Durbin-Watson stat 1.452272

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.015622
0.073930
-2.443148
-2.251935
-2.367108

Universitas Sumatera Utara

GARCH (2,1)
Dependent Variable: IHSG
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/06/14 Time: 12:16
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 43 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.010826
0.000982

0.052230
0.007258

0.207276
0.135231

0.8358
0.8924

0.001439 1.578645
0.196848 2.739201
0.354046 -0.014417
0.203010 0.416667

0.1144
0.0062
0.9885
0.6769

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.002271
0.539207
-0.005104
0.084587

R-squared
-0.006597
Adjusted R-squared -0.084028
S.E. of regression
0.076974
Sum squared resid
0.385120
Log likelihood
92.46702
Durbin-Watson stat 1.459370

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.015622
0.073930
-2.435691
-2.244478
-2.359652

Model GARCH Saham Sektor Aneka Industri
GARCH(1,0)
Dependent Variable: ANEKAINDUSTRI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:29
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 16 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable
C

Coefficient

Std. Error

z-Statistic

Prob.

0.098081

0.091005

1.077754

0.2811

Universitas Sumatera Utara

BIRATE

-0.009625

0.011835 -0.813285

0.4161

Variance Equation
C
GARCH(-1)

0.002065
0.803196

R-squared
0.013691
Adjusted R-squared -0.030472
S.E. of regression
0.103564
Sum squared resid
0.718611
Log likelihood
62.77481
F-statistic
0.310006
Prob(F-statistic)
0.818070

0.006466
0.642037

0.319377
1.251013

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.7494
0.2109
0.028048
0.102021
-1.655629
-1.528154
-1.604936
1.854384

GARCH(1,1)
Dependent Variable: ANEKAINDUSTRI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:30
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 106 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.011337
0.002211

0.066575
0.009031

0.170288
0.244806

0.8648
0.8066

0.003788 1.576458
0.221401 2.467392
0.392222 -0.148286

0.1149
0.0136
0.8821

Variance Equation
C
RESID(-1)^2
GARCH(-1)

0.005971
0.546283
-0.058161

R-squared
-0.006587
Adjusted R-squared -0.067592
S.E. of regression
0.105413
Sum squared resid
0.733385
Log likelihood
66.80912
Durbin-Watson stat 1.818428

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.028048
0.102021
-1.741102
-1.581758
-1.677736

GARCH(1,2)

Universitas Sumatera Utara

Dependent Variable: ANEKAINDUSTRI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:31
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 21 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.096869
-0.009774

Std. Error

z-Statistic

Prob.

0.085519 1.132724
0.011691 -0.836035

0.2573
0.4031

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.005444
0.226526
-0.132073
0.330820

R-squared
0.013623
Adjusted R-squared -0.062252
S.E. of regression
0.105149
Sum squared resid
0.718660
Log likelihood
65.45011
F-statistic
0.179549
Prob(F-statistic)
0.969349

0.003080 1.767407
0.144371 1.569050
0.104976 -1.258125
0.468976 0.705409
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.0772
0.1166
0.2083
0.4806
0.028048
0.102021
-1.674651
-1.483439
-1.598612
1.854244

GARCH(2,1)
Dependent Variable: ANEKAINDUSTRI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:31
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Failure to improve Likelihood after 155 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

C
BIRATE

0.043940
-0.003056

Std. Error

z-Statistic

0.061028 0.719994
0.007854 -0.389041

Prob.
0.4715
0.6972

Universitas Sumatera Utara

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.005385
0.477610
-0.127684
0.167995

R-squared
0.003385
Adjusted R-squared -0.073278
S.E. of regression
0.105693
Sum squared resid
0.726120
Log likelihood
67.32467
F-statistic
0.044152
Prob(F-statistic)
0.998816

0.007559 0.712431
0.208001 2.296192
0.467547 -0.273094
0.491067 0.342103
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.4762
0.0217
0.7848
0.7323
0.028048
0.102021
-1.727455
-1.536243
-1.651416
1.835886

Model GARCH Saham Sektor Industri Dasar
GARCH(1,0)
Dependent Variable: INDUSTRIDASAR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:22
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 23 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.090212
-0.009306

Std. Error

z-Statistic

0.074194 1.215893
0.009280 -1.002905

Prob.
0.2240
0.3159

Variance Equation
C
GARCH(-1)

0.002032
0.732421

R-squared
0.019491
Adjusted R-squared -0.024412
S.E. of regression
0.088717
Sum squared resid
0.527337
Log likelihood
73.53748
F-statistic
0.443963
Prob(F-statistic)
0.722356

0.009082
1.210880

0.223690
0.604867

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.8230
0.5453
0.022214
0.087653
-1.958802
-1.831327
-1.908109
1.773638

GARCH(1,1)

Universitas Sumatera Utara

Dependent Variable: INDUSTRIDASAR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:23
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 26 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.022202
0.000968

0.074498
0.010246

0.298022
0.094515

0.7657
0.9247

0.983382
2.090710
0.712362

0.3254
0.0366
0.4762

Variance Equation
C
RESID(-1)^2
GARCH(-1)

0.002014
0.516785
0.274296

R-squared
-0.010135
Adjusted R-squared -0.071355
S.E. of regression
0.090727
Sum squared resid
0.543270
Log likelihood
78.77367
Durbin-Watson stat 1.719314

0.002048
0.247181
0.385052

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.022214
0.087653
-2.078132
-1.918788
-2.014766

GARCH(1,2)
Dependent Variable: INDUSTRIDASAR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:24
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 31 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.023218
0.000741

0.073335
0.010111

0.316606
0.073249

0.7515
0.9416

Variance Equation

Universitas Sumatera Utara

C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.001209
0.463959
-0.146170
0.548641

R-squared
-0.008133
Adjusted R-squared -0.085682
S.E. of regression
0.091332
Sum squared resid
0.542194
Log likelihood
78.82332
Durbin-Watson stat 1.722769

0.002102 0.575056
0.243495 1.905416
0.502475 -0.290900
0.687880 0.797583
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.5653
0.0567
0.7711
0.4251
0.022214
0.087653
-2.051361
-1.860149
-1.975322

GARCH(2,1)
Dependent Variable: INDUSTRIDASAR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:25
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 31 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.022197
0.000972

0.075061
0.010370

0.295719
0.093746

0.7674
0.9253

0.002054 0.989526
0.251624 2.064756
0.539695 0.509328
0.326579 -0.014442

0.3224
0.0389
0.6105
0.9885

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.002032
0.519541
0.274882
-0.004716

R-squared
-0.010189
Adjusted R-squared -0.087896
S.E. of regression
0.091425
Sum squared resid
0.543300
Log likelihood
78.77392
Durbin-Watson stat 1.719220

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.022214
0.087653
-2.049970
-1.858757
-1.973931

Model GARCH Saham Sektor Infrastruktur
GARCH(1,0)

Universitas Sumatera Utara

Dependent Variable: INFRASTRUKTUR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/28/14 Time: 01:08
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 42 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

GARCH
C
BIRATE

-35.25713
0.258533
-0.012276

444.0695
2.092210
0.009548

-0.079396
0.123569
-1.285717

0.9367
0.9017
0.1985

0.285511
1.898634

0.7753
0.0576

Variance Equation
C
GARCH(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.000617
0.869431
0.043498
-0.014472
0.067801
0.303399
92.76753
0.750354
0.561321

0.002162
0.457924

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.005908
0.067316
-2.472325
-2.312981
-2.408959
1.888190

GARCH(1,1)
Dependent Variable: INFRASTRUKTUR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:36
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 88 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.064273
-0.008480

Std. Error

z-Statistic

0.049601 1.295802
0.006993 -1.212645

Prob.
0.1950
0.2253

Variance Equation
C
RESID(-1)^2
GARCH(-1)
R-squared

0.000442
0.164320
0.739395

0.000546
0.094097
0.169941

0.808780
1.746282
4.350882

0.026184

Mean dependent var

0.4186
0.0808
0.0000
0.005908

Universitas Sumatera Utara

Adjusted R-squared -0.032835
S.E. of regression
0.068412
Sum squared resid
0.308891
Log likelihood
95.46680
F-statistic
0.443653
Prob(F-statistic)
0.776605

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.067316
-2.548361
-2.389017
-2.484995
1.854585

GARCH(1,2)
Dependent Variable: INFRASTRUKTUR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:37
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 33 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.116569
-0.015026

Std. Error

z-Statistic

0.050381 2.313735
0.006127 -2.452488

Prob.
0.0207
0.0142

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.009010
0.060410
0.010051
-1.074862

R-squared
0.018215
Adjusted R-squared -0.057307
S.E. of regression
0.069218
Sum squared resid
0.311419
Log likelihood
99.92780
F-statistic
0.241184
Prob(F-statistic)
0.942734

0.001106 8.142774
0.063636 0.949306
0.077979 0.128890
0.057262 -18.77084
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.0000
0.3425
0.8974
0.0000
0.005908
0.067316
-2.645853
-2.454641
-2.569814
1.837931

GARCH(2,1)
Dependent Variable: INFRASTRUKTUR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:40
Sample (adjusted): 2007M02 2012M12

Universitas Sumatera Utara

Included observations: 71 after adjustments
Convergence achieved after 62 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

C
BIRATE

0.049084
-0.006192

Std. Error

z-Statistic

0.047286 1.038031
0.006647 -0.931458

Prob.
0.2993
0.3516

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.000757
0.278779
-0.021224
0.574198

R-squared
0.023959
Adjusted R-squared -0.051121
S.E. of regression
0.069015
Sum squared resid
0.309597
Log likelihood
96.81670
F-statistic
0.319117
Prob(F-statistic)
0.899758

0.000945 0.801017
0.102748 2.713219
0.196874 -0.107807
0.253872 2.261760
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.4231
0.0067
0.9141
0.0237
0.005908
0.067316
-2.558217
-2.367005
-2.482178
1.851067

Model GARCH Saham Sektor Keuangan
GARCH(1,0)
Dependent Variable: KEUANGAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:41
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 17 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.078259
-0.008421

Std. Error

z-Statistic

0.065818 1.189022
0.008244 -1.021523

Prob.
0.2344
0.3070

Variance Equation
C
GARCH(-1)

0.001046
0.830321

0.005479
0.910705

0.190950
0.911734

0.8486
0.3619

Universitas Sumatera Utara

R-squared
0.016922
Adjusted R-squared -0.027097
S.E. of regression
0.079568
Sum squared resid
0.424179
Log likelihood
81.24871
F-statistic
0.384424
Prob(F-statistic)
0.764555

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.017305
0.078511
-2.176020
-2.048545
-2.125327
1.854286

GARCH(1,1)
Dependent Variable: KEUANGAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:41
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 35 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.011855
0.000979

0.055148
0.007677

0.214969
0.127540

0.8298
0.8985

0.966656
1.956952
0.689172

0.3337
0.0504
0.4907

Variance Equation
C
RESID(-1)^2
GARCH(-1)

0.001863
0.369742
0.335868

R-squared
-0.004375
Adjusted R-squared -0.065246
S.E. of regression
0.081032
Sum squared resid
0.433368
Log likelihood
84.94216
Durbin-Watson stat 1.816130

0.001928
0.188938
0.487351

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.017305
0.078511
-2.251892
-2.092548
-2.188526

GARCH(1,2)
Dependent Variable: KEUANGAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:42
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 58 iterations

Universitas Sumatera Utara

Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.011359
0.001057

0.055404
0.007724

0.205021
0.136798

0.8376
0.8912

0.417695
1.837906
0.023430
0.202287

0.6762
0.0661
0.9813
0.8397

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.001954
0.372164
0.016976
0.303108

R-squared
-0.004739
Adjusted R-squared -0.082026
S.E. of regression
0.081668
Sum squared resid
0.433525
Log likelihood
84.94352
Durbin-Watson stat 1.815486

0.004678
0.202493
0.724542
1.498410

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.017305
0.078511
-2.223761
-2.032549
-2.147722

GARCH(2,1)
Dependent Variable: KEUANGAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:42
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 37 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
BIRATE

0.011384
0.001053

0.055387
0.007722

0.205538
0.136369

0.8372
0.8915

0.001975 0.946861
0.199310 1.869347
0.742001 0.478678
0.640606 -0.034340

0.3437
0.0616
0.6322
0.9726

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.001870
0.372579
0.355180
-0.021998

Universitas Sumatera Utara

R-squared
-0.004723
Adjusted R-squared -0.082010
S.E. of regression
0.081667
Sum squared resid
0.433518
Log likelihood
84.94370
Durbin-Watson stat 1.815513

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.017305
0.078511
-2.223766
-2.032554
-2.147727

Model GARCH Saham Sektor Konsumsi
GARCH(1,0)
Dependent Variable: KONSUMSI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:43
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 20 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.105356
-0.011585

Std. Error

z-Statistic

0.052859 1.993148
0.007221 -1.604393

Prob.
0.0462
0.1086

Variance Equation
C
GARCH(-1)

0.000326
0.907008

0.000405
0.130775

0.806309
6.935614

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.057707
0.015515
0.057810
0.223912
105.1955
1.367719
0.260192

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.4201
0.0000
0.021403
0.058264
-2.850576
-2.723101
-2.799884
1.641337

GARCH(1,1)
Dependent Variable: KONSUMSI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:44
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 23 iterations

Universitas Sumatera Utara

Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.103879
-0.012011

Std. Error

z-Statistic

0.050229 2.068106
0.006939 -1.731050

Prob.
0.0386
0.0834

Variance Equation
C
RESID(-1)^2
GARCH(-1)

0.001337
0.166347
0.412978

R-squared
0.053782
Adjusted R-squared -0.003564
S.E. of regression
0.058367
Sum squared resid
0.224845
Log likelihood
105.7581
F-statistic
0.937846
Prob(F-statistic)
0.447652

0.001623
0.141323
0.603527

0.824190
1.177067
0.684274

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.4098
0.2392
0.4938
0.021403
0.058264
-2.838256
-2.678913
-2.774891
1.634441

GARCH(1,2)
Dependent Variable: KONSUMSI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:44
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 26 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.094314
-0.010539

Std. Error

z-Statistic

0.052448 1.798248
0.007264 -1.450889

Prob.
0.0721
0.1468

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)
R-squared

0.000258
0.204207
-0.181715
0.905860
0.054729

0.000368 0.702654
0.165867 1.231150
0.171298 -1.060813
0.173493 5.221318
Mean dependent var

0.4823
0.2183
0.2888
0.0000
0.021403

Universitas Sumatera Utara

Adjusted R-squared -0.017984
S.E. of regression
0.058785
Sum squared resid
0.224620
Log likelihood
106.2225
F-statistic
0.752673
Prob(F-statistic)
0.587165

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.058264
-2.823170
-2.631957
-2.747131
1.636399

GARCH(2,1)
Dependent Variable: KONSUMSI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:45
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 158 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

C
BIRATE

0.096919
-0.009711

Std. Error

z-Statistic

0.038718 2.503209
0.005110 -1.900383

Prob.
0.0123
0.0574

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.002528
0.086248
1.007144
-0.910742

R-squared
0.045630
Adjusted R-squared -0.027784
S.E. of regression
0.059067
Sum squared resid
0.226782
Log likelihood
108.0663
F-statistic
0.621546
Prob(F-statistic)
0.683819

0.000480 5.267988
0.068092 1.266635
0.120773 8.339150
0.076363 -11.92650
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.0000
0.2053
0.0000
0.0000
0.021403
0.058264
-2.875107
-2.683895
-2.799068
1.620994

Model GARCH Saham Sektor Manufaktur
GARCH(1,0)
Dependent Variable: MANUFAKTUR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:46

Universitas Sumatera Utara

Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 20 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.098637
-0.010414

Std. Error

z-Statistic

Prob.

0.070551 1.398107
0.009219 -1.129701

0.1621
0.2586

Variance Equation
C
GARCH(-1)

0.001027
0.802071

R-squared
0.033814
Adjusted R-squared -0.009448
S.E. of regression
0.072777
Sum squared resid
0.354869
Log likelihood
87.88531
F-statistic
0.781605
Prob(F-statistic)
0.508365

0.003538
0.701758

0.290250
1.142946

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.7716
0.2531
0.022731
0.072436
-2.362966
-2.235491
-2.312274
1.629380

GARCH(1,1)
Dependent Variable: MANUFAKTUR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:47
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 41 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.045745
-0.002768

Std. Error

z-Statistic

0.059722 0.765963
0.008336 -0.332010

Prob.
0.4437
0.7399

Variance Equation
C
RESID(-1)^2
GARCH(-1)
R-squared

0.002264
0.533794
0.100982

0.001304
0.210543
0.246956

1.736358
2.535325
0.408905

0.012523

Mean dependent var

0.0825
0.0112
0.6826
0.022731

Universitas Sumatera Utara

Adjusted R-squared -0.047324
S.E. of regression
0.074130
Sum squared resid
0.362689
Log likelihood
91.48819
F-statistic
0.209244
Prob(F-statistic)
0.932425

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.072436
-2.436287
-2.276943
-2.372921
1.594501

GARCH(1,2)
Dependent Variable: MANUFAKTUR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:48
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 43 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.044711
-0.002565

Std. Error

z-Statistic

0.054820 0.815601
0.007534 -0.340393

Prob.
0.4147
0.7336

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.000721
0.538192
-0.428714
0.774025

R-squared
0.011048
Adjusted R-squared -0.065025
S.E. of regression
0.074754
Sum squared resid
0.363230
Log likelihood
91.69571
F-statistic
0.145235
Prob(F-statistic)
0.980780

0.002633 0.273999
0.219900 2.447440
0.512920 -0.835831
0.876579 0.883007
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.7841
0.0144
0.4033
0.3772
0.022731
0.072436
-2.413964
-2.222751
-2.337925
1.592140

GARCH(2,1)
Dependent Variable: MANUFAKTUR
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:48
Sample (adjusted): 2007M02 2012M12

Universitas Sumatera Utara

Included observations: 71 after adjustments
Failure to improve Likelihood after 27 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

C
BIRATE

0.053366
-0.003726

Std. Error

z-Statistic

0.051474 1.036748
0.007225 -0.515752

Prob.
0.2999
0.6060

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.002174
0.590881
0.146032
-0.080782

R-squared
0.015612
Adjusted R-squared -0.060110
S.E. of regression
0.074581
Sum squared resid
0.361554
Log likelihood
92.88342
F-statistic
0.206179
Prob(F-statistic)
0.958756

0.001263 1.720645
0.234154 2.523470
0.253577 0.575887
0.230755 -0.350075
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.0853
0.0116
0.5647
0.7263
0.022731
0.072436
-2.447420
-2.256208
-2.371381
1.599434

Model GARCH Saham Sektor Perdagangan dan Jasa
GARCH(1,0)

Dependent Variable: PERDAGANGANJASA
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:49
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 43 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.149097
-0.017768

Std. Error

z-Statistic

0.065447 2.278150
0.008519 -2.085747

Prob.
0.0227
0.0370

Variance Equation
C

0.013501

0.001385

9.747185

0.0000

Universitas Sumatera Utara

GARCH(-1)

-0.986072

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.087464
0.046604
0.083286
0.464744
78.66174
2.140583
0.103288

0.058233 -16.93335
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.0000
0.017332
0.085297
-2.103147
-1.975673
-2.052455
1.408596

GARCH(1,1)
Dependent Variable: PERDAGANGANJASA
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:50
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 22 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.171690
-0.021631

Std. Error

z-Statistic

0.008468 20.27462
0.001974 -10.95932

Prob.
0.0000
0.0000

Variance Equation
C
RESID(-1)^2
GARCH(-1)

-0.000118
-0.026201
1.046413

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.094023
0.039115
0.083612
0.461404
82.43866
1.712376
0.157742

0.000235 -0.501487
0.014661 -1.787094
0.042259 24.76178
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.6160
0.0739
0.0000
0.017332
0.085297
-2.181371
-2.022027
-2.118005
1.417300

GARCH(1,2)
Dependent Variable: PERDAGANGANJASA
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:51
Sample (adjusted): 2007M02 2012M12

Universitas Sumatera Utara

Included observations: 71 after adjustments
Convergence achieved after 58 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.079318
-0.007422

Std. Error

z-Statistic

Prob.

0.052587 1.508304
0.006967 -1.065335

0.1315
0.2867

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.002043
0.414842
-0.279965
0.550499

R-squared
0.041104
Adjusted R-squared -0.032657
S.E. of regression
0.086678
Sum squared resid
0.488355
Log likelihood
82.19495
F-statistic
0.557258
Prob(F-statistic)
0.732259

0.003009 0.679048
0.138834 2.988039
0.157093 -1.782160
0.679170 0.810548
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.4971
0.0028
0.0747
0.4176
0.017332
0.085297
-2.146337
-1.955124
-2.070297
1.344950

GARCH(2,1)
Dependent Variable: PERDAGANGANJASA
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:52
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 90 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

C
BIRATE

0.061677
-0.004329

Std. Error

z-Statistic

0.063925 0.964840
0.009065 -0.477612

Prob.
0.3346
0.6329

Variance Equation
C
RESID(-1)^2

0.004628
0.719556

0.001848
0.205498

2.504129
3.501518

0.0123
0.0005

Universitas Sumatera Utara

GARCH(-1)
GARCH(-2)

-0.146196
-0.043244

R-squared
0.008062
Adjusted R-squared -0.068241
S.E. of regression
0.088159
Sum squared resid
0.505183
Log likelihood
82.28988
F-statistic
0.105656
Prob(F-statistic)
0.990659

0.157033 -0.930989
0.088116 -0.490770
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.3519
0.6236
0.017332
0.085297
-2.149011
-1.957798
-2.072972
1.301622

Model GARCH Saham Sektor Pertambangan
GARCH(1,0)
Dependent Variable: PERTAMBANGAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:53
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 24 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.023589
-0.000887

Std. Error

z-Statistic

0.118942 0.198322
0.014716 -0.060258

Prob.
0.8428
0.9520

Variance Equation
C
GARCH(-1)

0.009664
0.411252

R-squared
0.000052
Adjusted R-squared -0.044722
S.E. of regression
0.131922
Sum squared resid
1.166027
Log likelihood
45.12784
F-statistic
0.001152
Prob(F-statistic)
0.999945

2.115839
128.8906

0.004567
0.003191

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.9964
0.9975
0.017278
0.129067
-1.158531
-1.031056
-1.107838
1.112704

GARCH(1,1)
Dependent Variable: PERTAMBANGAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:54

Universitas Sumatera Utara

Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 24 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

C
BIRATE

-0.218819
0.034990

Std. Error

z-Statistic

0.086093 -2.541652
0.011577 3.022320

Prob.
0.0110
0.0025

Variance Equation
C
RESID(-1)^2
GARCH(-1)

0.001716
0.260031
0.648240

R-squared
-0.116503
Adjusted R-squared -0.184170
S.E. of regression
0.140451
Sum squared resid
1.301940
Log likelihood
52.72762
Durbin-Watson stat 1.003615

0.001028
0.110375
0.091252

1.669011
2.355876
7.103873

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.0951
0.0185
0.0000
0.017278
0.129067
-1.344440
-1.185096
-1.281074

GARCH(1,2)
Dependent Variable: PERTAMBANGAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:54
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 189 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

C
BIRATE

-0.081147
0.014682

Std. Error

z-Statistic

0.118451 -0.685069
0.015690 0.935739

Prob.
0.4933
0.3494

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.013047
0.371995
-0.076895
-0.165655

0.004593 2.840449
0.155923 2.385762
0.135313 -0.568272
0.372474 -0.444743

0.0045
0.0170
0.5699
0.6565

Universitas Sumatera Utara

R-squared
-0.022135
Adjusted R-squared -0.100761
S.E. of regression
0.135414
Sum squared resid
1.191899
Log likelihood
52.79823
Durbin-Watson stat 1.091305

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.017278
0.129067
-1.318260
-1.127048
-1.242221

GARCH(2,1)
Dependent Variable: PERTAMBANGAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:55
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 33 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

C
BIRATE

-0.197053
0.031597

Std. Error

z-Statistic

0.084374 -2.335465
0.011323 2.790462

Prob.
0.0195
0.0053

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.002204
0.357081
0.155977
0.364059

R-squared
-0.093601
Adjusted R-squared -0.177724
S.E. of regression
0.140068
Sum squared resid
1.275234
Log likelihood
53.54235
Durbin-Watson stat 1.023756

0.001414
0.169157
0.396573
0.318996

1.557988
2.110947
0.393312
1.141264

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.1192
0.0348
0.6941
0.2538
0.017278
0.129067
-1.339221
-1.148009
-1.263182

Model GARCH Saham Sektor Pertanian
GARCH(1,0)
Dependent Variable: PERTANIAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:56
Sample (adjusted): 2007M02 2012M12

Universitas Sumatera Utara

Included observations: 71 after adjustments
Convergence achieved after 39 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.057643
-0.008082

Std. Error

z-Statistic

Prob.

0.067182 0.858013
0.009467 -0.853694

0.3909
0.3933

Variance Equation
C
GARCH(-1)

-9.96E-05
0.982229

R-squared
-0.020071
Adjusted R-squared -0.065746
S.E. of regression
0.122364
Sum squared resid
1.003195
Log likelihood
59.78214
Durbin-Watson stat 1.398215

0.000233 -0.426661
0.023227 42.28770
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.6696
0.0000
0.015702
0.118530
-1.571328
-1.443853
-1.520635

GARCH(1,1)
Dependent Variable: PERTANIAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:56
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 83 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

C
BIRATE

-0.024396
0.005032

Std. Error

z-Statistic

0.070427 -0.346394
0.010158 0.495354

Prob.
0.7290
0.6204

Variance Equation
C
RESID(-1)^2
GARCH(-1)

0.000282
0.139563
0.824634

R-squared
-0.006534
Adjusted R-squared -0.067536
S.E. of regression
0.122467

0.000684
0.043094
0.066698

0.412959
3.238601
12.36365

0.6796
0.0012
0.0000

Mean dependent var 0.015702
S.D. dependent var
0.118530
Akaike info criterion -1.512885

Universitas Sumatera Utara

Sum squared resid
Log likelihood
Durbin-Watson stat

0.989882
58.70743
1.417195

Schwarz criterion
-1.353542
Hannan-Quinn criter. -1.449519

GARCH(1,2)
Dependent Variable: PERTANIAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:57
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 49 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)
Variable

Coefficient

C
BIRATE

-0.188451
0.031643

Std. Error

z-Statistic

Prob.

0.072548 -2.597591
0.010651 2.970794

0.0094
0.0030

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

-9.19E-05
0.261799
-0.323150
1.078974

R-squared
-0.152203
Adjusted R-squared -0.240834
S.E. of regression
0.132034
Sum squared resid
1.133141
Log likelihood
67.86970
Durbin-Watson stat 1.240434

0.000129 -0.711468
0.144102 1.816764
0.142185 -2.272742
0.038011 28.38604
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.4768
0.0693
0.0230
0.0000
0.015702
0.118530
-1.742808
-1.551596
-1.666769

GARCH(2,1)
Dependent Variable: PERTANIAN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:57
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Failure to improve Likelihood after 15 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +

Universitas Sumatera Utara

C(6)*GARCH(-2)
Variable

Coefficient

C
BIRATE

-0.026939
0.008149

Std. Error

z-Statistic

0.084516 -0.318744
0.010164 0.801767

Prob.
0.7499
0.4227

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.008175
0.373547
0.149468
-0.120768

R-squared
-0.029324
Adjusted R-squared -0.108503
S.E. of regression
0.124795
Sum squared resid
1.012295
Log likelihood
56.81779
Durbin-Watson stat 1.385971

0.004440 1.841182
0.244909 1.525248
0.421067 0.354974
0.185671 -0.650442
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.0656
0.1272
0.7226
0.5154
0.015702
0.118530
-1.431487
-1.240275
-1.355448

Model GARCH Saham Sektor Properti
GARCH(1,0)
Dependent Variable: PROPERTI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:58
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 26 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.121944
-0.015168

Std. Error

z-Statistic

0.064826 1.881098
0.009366 -1.619424

Prob.
0.0600
0.1054

Variance Equation
C
GARCH(-1)

0.000165
0.954675

R-squared
0.013882
Adjusted R-squared -0.030272
S.E. of regression
0.090260
Sum squared resid
0.545836

0.000329
0.047100

0.501835
20.26893

0.6158
0.0000

Mean dependent var 0.017867
S.D. dependent var
0.088924
Akaike info criterion -2.013533
Schwarz criterion
-1.886058

Universitas Sumatera Utara

Log likelihood
F-statistic
Prob(F-statistic)

75.48042
0.314399
0.814905

Hannan-Quinn criter. -1.962840
Durbin-Watson stat
1.638915

GARCH(1,1)
Dependent Variable: PROPERTI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:59
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 14 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable

Coefficient

C
BIRATE

0.124940
-0.014893

Std. Error

z-Statistic

0.010367 12.05207
0.000396 -37.63128

Prob.
0.0000
0.0000

Variance Equation
C
RESID(-1)^2
GARCH(-1)

0.000307
-0.115905
1.064423

R-squared
0.017251
Adjusted R-squared -0.042309
S.E. of regression
0.090785
Sum squared resid
0.543971
Log likelihood
79.82314
F-statistic
0.289646
Prob(F-statistic)
0.883700

0.000233 1.319773
0.087195 -1.329260
0.088546 12.02115
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.1869
0.1838
0.0000
0.017867
0.088924
-2.107694
-1.948350
-2.044328
1.644535

GARCH(1,2)
Dependent Variable: PROPERTI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 22:59
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 22 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 +
C(6)*GARCH(-1)

Universitas Sumatera Utara

Variable

Coefficient

C
BIRATE

0.119090
-0.014128

Std. Error

z-Statistic

Prob.

0.003203 37.17491
0.000708 -19.94579

0.0000
0.0000

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)

0.000345
-0.018072
-0.122960
1.093254

R-squared
0.018185
Adjusted R-squared -0.057339
S.E. of regression
0.091438
Sum squared resid
0.543454
Log likelihood
79.86903
F-statistic
0.240788
Prob(F-statistic)
0.942928

0.000277 1.244573
0.215778 -0.083751
0.192280 -0.639480
0.099954 10.93756
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.2133
0.9333
0.5225
0.0000
0.017867
0.088924
-2.080818
-1.889605
-2.004779
1.646105

GARCH(2,1)
Dependent Variable: PROPERTI
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 04/07/14 Time: 23:00
Sample (adjusted): 2007M02 2012M12
Included observations: 71 after adjustments
Convergence achieved after 28 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) +
C(6)*GARCH(-2)
Variable

Coefficient

C
BIRATE

0.125411
-0.015607

Std. Error

z-Statistic

0.012744 9.841020
0.000286 -54.64823

Prob.
0.0000
0.0000

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)

0.000425
-0.185614
0.200037
0.894156

R-squared
0.013596
Adjusted R-squared -0.062281
S.E. of regression
0.091651

0.000376 1.131334
0.073657 -2.519988
0.119977 1.667296
0.134962 6.625255

0.2579
0.0117
0.0955
0.0000

Mean dependent var 0.017867
S.D. dependent var
0.088924
Akaike info criterion -2.048827

Universitas Sumatera Utara

Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.545994
78.73336
0.179188
0.969482

Schwarz criterion
-1.857615
Hannan-Quinn criter. -1.972788
Durbin-Watson stat
1.638439

Universitas Sumatera Utara

Lampiran 2
Indeks Harga Saham Gabungan
14

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

12
10

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8
6
4

Jarque-Bera
Probability

2

-0.011997
0.072551
2.278930
-2.406038
1.006978
-0.189870
3.076828
0.444059
0.800892

0
-2

-1

0

1

2

Aneka Industri
12

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

10

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8

6

4

2

Jarque-Bera
Probability

-0.001741
0.140747
2.146772
-2.679126
1.007216
-0.227966
2.609973
1.064987
0.587139

0
-2

-1

0

1

2

Industri Dasar
10

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

8

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

6

4

2

Jarque-Bera
Probability

-0.073750
-0.001169
2.059294
-2.418695
1.002866
-0.105991
2.719182
0.366226
0.832674

0
-2

-1

0

1

2

Universitas Sumatera Utara

Infrastruktur
12

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

10

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8

6

4

2

0.530321
0.239384
4.109921
-3.088321
1.313170
0.611019
3.718853

Jarque-Bera
Probability

5.946626
0.051134

0
-3

-2

-1

0

1

2

3

4

Keuangan
12

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

10

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8

6

4

2

Jarque-Bera
Probability

-0.051576
-0.004718
2.029503
-2.974468
1.006072
-0.166827
2.990730
0.329589
0.848068

0
-3

-2

-1

0

1

2

Konsumsi
12

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

10

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8

6

4

2

Jarque-Bera
Probability

0.051409
0.058904
2.860451
-2.917503
1.003578
-0.057994
3.928882
2.592311
0.273582

0
-3

-2

-1

0

1

2

3

Universitas Sumatera Utara

Manufaktur
14

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

12
10

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8
6
4

Jarque-Bera
Probability

2

-0.051923
0.026307
2.698101
-2.574340
1.005376
-0.106450
3.177776
0.227587
0.892442

0
-2

-1

0

1

2

Perdagangan dan Jasa
12

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

10

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8

6

4

2

Jarque-Bera
Probability

0.009734
0.130153
2.242061
-3.906740
1.110530
-0.667599
4.059943
8.597596
0.013585

0
-4

-3

-2

-1

0

1

2

Pertambangan
14

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

12
10

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8
6
4

Jarque-Bera
Probability

2

-0.081570
-0.019148
2.624542
-2.291648
0.999946
-0.247521
3.504903
1.479148
0.477317

0
-2

-1

0

1

2

Universitas Sumatera Utara

Pertanian
14

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

12
10
8
6
4
2

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

-0.107074
-0.101303
2.750506
-2.966283
1.079529
-0.083920
3.262141

Jarque-Bera
Probability

0.286626
0.866483

0
-3

-2

-1

0

2

1

3

Properti
9

Series: Standardized Residuals
Sample 2007M02 2012M12
Observations 71

8
7

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

6
5
4
3

-0.012877
-0.011270
1.913197
-2.476446
1.057423
-0.305917
2.471788

2

Jarque-Bera
Probability

1

1.932824
0.380446

0
-2

-1

0

1

2

Universitas Sumatera Utara

Lampiran 3
ARCH LM Test
IHSG
Heteroskedasticity Test: ARCH
F-statistic
Obs*R-squared

0.001799
0.001852

Prob. F(1,68)
Prob. Chi-Square(1)

0.9663
0.9657

Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 04/07/14 Time: 22:19
Sample (adjusted): 2007M03 2012M12
Included observations: 70 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
1.005898
WGT_RESID^2(-1) 0.005150

0.214770
0.121412

4.683600
0.042416

0.0000
0.9663

R-squared
0.000026
Adjusted R-squared -0.014679
S.E. of regression
1.472428
Sum squared resid
147.4271
Log likelihood
-125.3950
F-statistic
0.001799
Prob(F-statistic)
0.966292

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

1.011120
1.461739
3.639858
3.704101
3.665376
1.997031

Aneka Industri
Heteroskedasticity Test: ARCH
F-statistic
Obs*R-squared

0.041474
0.042668

Prob. F(1,68)
Prob. Chi-Square(1)

0.8392
0.8364

Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 04/08/14 Time: 21:39
Sample (adjusted): 2007M03 2012M12
Included observations: 70 after adjustments

Universitas Sumatera Utara

Variable

Coefficient

Std. Error

t-Statistic

C
1.037650
WGT_RESID^2(-1) -0.024710

0.197512 5.253601
0.121333 -0.203652

R-squared
0.000610
Adjusted R-squared -0.014087
S.E. of regression
1.292704
Sum squared resid
113.6338
Log likelihood
-116.2827
F-statistic
0.041474
Prob(F-statistic)
0.839233

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

Prob.
0.0000
0.8392
1.012593
1.283694
3.379505
3.443748
3.405023
1.989656

Industri Dasar
Heteroskedasticity Test: ARCH
F-statistic
Obs*R-squared

0.021552
0.022179

Prob. F(1,68)
Prob. Chi-Square(1)

0.8837
0.8816

Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 04/08/14 Time: 21:40
Sample (adjusted): 2007M03 2012M12
Included observations: 70 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

C
1.029226
WGT_RESID^2(-1) -0.017800

0.202017 5.094759
0.121251 -0.146806

R-squared
0.000317
Adjusted R-squared -0.014384
S.E. of regression
1.343255
Sum squared resid
122.6946
Log likelihood
-118.9678
F-statistic
0.021552
Prob(F-statistic)
0.883719

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn c