APLIKOM PERT.

10

UJI ARIMA untuk Metode ARCH GARCH

Heteroskedasticity Test: ARCH

F-statistic 228.3046 Prob. F(1,842) 0.0000

Obs*R-squared 180.0320 Prob. Chi-Square(1) 0.0000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 05/06/19 Time: 14:10
Sample (adjusted): 7/06/2000 10/27/2002
Included observations: 844 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 35.13262 11.26841 3.117797 0.0019

RESID^2(-1) 0.461852 0.030566 15.10975 0.0000

R-squared 0.213308 Mean dependent var 65.27811

Adjusted R-squared 0.212374 S.D. dependent var 363.0427
S.E. of regression 322.1943 Akaike info criterion 14.39055
Sum squared resid 87407313 Schwarz criterion 14.40178
Log likelihood -6070.814 Hannan-Quinn criter. 14.39486
F-statistic 228.3046 Durbin-Watson stat 1.762377
Prob(F-statistic) 0.000000

Nilai Prob F menunjukkan 0,0000 berarti terdapat Heteroskedastisitas atau berarti kita bisa
melanjutkan ke uji ARCH Family.

Lngkah 2

ARCH

Arch 1, garch o

Dependent Variable: D(IHSG)

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/06/19 Time: 14:22
Sample (adjusted): 7/05/2000 10/27/2002
Included observations: 845 after adjustments
Convergence achieved after 104 iterations
MA Backcast: 7/03/2000 7/04/2000
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2

Variable Coefficient Std. Error z-Statistic Prob.

C 0.374188 0.258996 1.444762 0.1485

AR(1) 0.043236 0.046419 0.931429 0.3516
MA(2) -0.019525 0.036035 -0.541832 0.5879

Variance Equation

C 47.20866 0.770166 61.29671 0.0000

RESID(-1)^2 0.175382 0.034145 5.136444 0.0000

R-squared -0.014735 Mean dependent var 0.201238

Adjusted R-squared -0.019567 S.D. dependent var 8.176436
S.E. of regression 8.256045 Akaike info criterion 6.831763
Sum squared resid 57256.31 Schwarz criterion 6.859806
Log likelihood -2881.420 Hannan-Quinn criter. 6.842508
Durbin-Watson stat 2.379956

Inverted AR Roots .04

Inverted MA Roots .14 -.14

GARCH

ARCH 1 GARCH 1

Dependent Variable: D(IHSG)

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/06/19 Time: 14:27
Sample (adjusted): 7/05/2000 10/27/2002
Included observations: 845 after adjustments
Convergence not achieved after 500 iterations
MA Backcast: 7/03/2000 7/04/2000
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.

C 0.245145 0.304727 0.804472 0.4211

AR(1) 0.097958 0.054748 1.789260 0.0736
MA(2) -0.019397 0.051701 -0.375187 0.7075

Variance Equation

C 16.43838 3.748884 4.384873 0.0000

RESID(-1)^2 0.217429 0.036895 5.893113 0.0000
GARCH(-1) 0.535703 0.080610 6.645629 0.0000

R-squared -0.038463 Mean dependent var 0.201238

Adjusted R-squared -0.044652 S.D. dependent var 8.176436
S.E. of regression 8.356990 Akaike info criterion 6.817660
Sum squared resid 58595.16 Schwarz criterion 6.851312
Log likelihood -2874.461 Hannan-Quinn criter. 6.830554
Durbin-Watson stat 2.479114

Inverted AR Roots .10

Inverted MA Roots .14 -.14

MODEL TARCH

Dependent Variable: D(IHSG)

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/06/19 Time: 14:30
Sample (adjusted): 7/05/2000 10/27/2002
Included observations: 845 after adjustments
Convergence achieved after 244 iterations
MA Backcast: 7/03/2000 7/04/2000
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*RESID(-1)^2*(RESID(-
1)<0) +
C(7)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.

C 0.100456 0.251902 0.398789 0.6900

AR(1) 0.090775 0.047948 1.893200 0.0583
MA(2) -0.116087 0.038948 -2.980546 0.0029

Variance Equation

C 4.057589 0.978045 4.148673 0.0000

RESID(-1)^2 0.342169 0.044169 7.746866 0.0000
RESID(-
1)^2*(RESID(-1)<0) -0.178826 0.043417 -4.118785 0.0000
GARCH(-1) 0.750833 0.029022 25.87139 0.0000

R-squared -0.045160 Mean dependent var 0.201238

Adjusted R-squared -0.052644 S.D. dependent var 8.176436
S.E. of regression 8.388894 Akaike info criterion 6.815017
Sum squared resid 58973.03 Schwarz criterion 6.854278
Log likelihood -2872.345 Hannan-Quinn criter. 6.830060
Durbin-Watson stat 2.496933

Inverted AR Roots .09

Inverted MA Roots .34 -.34

AIC = 6,811 Diambil dari nilai akaike

SIC = 6,851 Diambil dari nilai Schwarz

MODEL EGARCH

Dependent Variable: D(IHSG)

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/06/19 Time: 14:35
Sample (adjusted): 7/05/2000 10/27/2002
Included observations: 845 after adjustments
Convergence achieved after 116 iterations
MA Backcast: 7/03/2000 7/04/2000
Presample variance: backcast (parameter = 0.7)
LOG(GARCH) = C(4) + C(5)*ABS(RESID(-
1)/@SQRT(GARCH(-1))) + C(6)
*RESID(-1)/@SQRT(GARCH(-1)) + C(7)*LOG(GARCH(-
1))

Variable Coefficient Std. Error z-Statistic Prob.

C 0.086267 0.244251 0.353188 0.7239

AR(1) 0.073974 0.051811 1.427769 0.1534
MA(2) -0.059051 0.042485 -1.389930 0.1646

Variance Equation

C(4) 0.248075 0.103581 2.394994 0.0166

C(5) 0.391406 0.042254 9.263254 0.0000
C(6) 0.054955 0.024114 2.279002 0.0227
C(7) 0.869971 0.028483 30.54350 0.0000

R-squared -0.029048 Mean dependent var 0.201238

Adjusted R-squared -0.036416 S.D. dependent var 8.176436
S.E. of regression 8.323982 Akaike info criterion 6.781307
Sum squared resid 58063.91 Schwarz criterion 6.820568
Log likelihood -2858.102 Hannan-Quinn criter. 6.796350
Durbin-Watson stat 2.448171

Inverted AR Roots .07

Inverted MA Roots .24 -.24

Perhatikan nilai AIC dan SIC

AIC = 6.782

SIC = 6.822

MODEL AIC SIC

ARCH 6.831763 6.859806
GARCH 6.817660
6.851312
 TARCH 6.815017 6.854278
EGARCH 6.781307
6.820568

Model terbaik pada model EGARCH karena nilai yang paling kecil

Uji correlogram

Date: 05/06/19 Time: 14:47

Sample: 7/05/2000 10/27/2002
Included observations: 845
Q-statistic
probabilities
adjusted for 2
ARMA term(s)

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

.| | .| | 1 0.018 0.018 0.2737

.| | .| | 2 -0.010 -0.010 0.3566
.| | .| | 3 -0.000 0.000 0.3567 0.550
.| | .| | 4 -0.016 -0.016 0.5630 0.755
.| | .| | 5 -0.007 -0.007 0.6080 0.895
.| | .| | 6 -0.014 -0.015 0.7870 0.940
.| | .| | 7 -0.012 -0.012 0.9159 0.969
.| | .| | 8 -0.007 -0.007 0.9542 0.987
.| | .| | 9 0.034 0.033 1.9250 0.964
.| | .| | 10 -0.003 -0.005 1.9332 0.983
.| | .| | 11 -0.014 -0.014 2.1071 0.990
.| | .| | 12 -0.011 -0.011 2.2092 0.994
.| | .| | 13 -0.016 -0.016 2.4413 0.996
.| | .| | 14 -0.017 -0.016 2.6785 0.997
.| | .| | 15 0.004 0.005 2.6945 0.999
.| | .| | 16 -0.010 -0.010 2.7778 0.999
.| | .| | 17 -0.009 -0.009 2.8468 1.000
.|* | .|* | 18 0.095 0.093 10.645 0.831
.| | .| | 19 0.009 0.004 10.708 0.871
.| | .| | 20 -0.009 -0.007 10.771 0.904
.| | .| | 21 -0.003 -0.003 10.780 0.931
.| | .| | 22 -0.010 -0.007 10.864 0.950
.| | .| | 23 0.000 0.002 10.865 0.965
.| | .| | 24 -0.011 -0.010 10.977 0.975
.| | .| | 25 0.010 0.013 11.070 0.982
.| | .| | 26 0.015 0.015 11.256 0.987
.| | .| | 27 0.009 0.002 11.327 0.991
.| | .| | 28 -0.015 -0.016 11.513 0.994
.| | .| | 29 -0.011 -0.008 11.627 0.996
.| | .| | 30 0.007 0.009 11.669 0.997
.| | .| | 31 -0.015 -0.012 11.859 0.998
 .| | .| | 32 -0.002 0.001 11.863 0.999
.| | .| | 33 -0.012 -0.013 11.997 0.999
.| | .| | 34 -0.006 -0.005 12.031 0.999
.| | .| | 35 0.014 0.014 12.195 1.000
.| | .| | 36 -0.000 -0.010 12.195 1.000

jadi model lulus uji correlogram karena nilai q stat secara keseluruhan lebih dari 0,05

Uji Heterokedastisitas

Heteroskedasticity Test: ARCH

F-statistic 0.271899 Prob. F(1,842) 0.6022

Obs*R-squared 0.272457 Prob. Chi-Square(1) 0.6017

Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 05/06/19 Time: 14:52
Sample (adjusted): 7/06/2000 10/27/2002
Included observations: 844 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.982251 0.178392 5.506143 0.0000

WGT_RESID^2(-1) 0.017967 0.034457 0.521440 0.6022

R-squared 0.000323 Mean dependent var 1.000226

Adjusted R-squared -0.000864 S.D. dependent var 5.082709
S.E. of regression 5.084906 Akaike info criterion 6.092797
Sum squared resid 21770.98 Schwarz criterion 6.104025
Log likelihood -2569.160 Hannan-Quinn criter. 6.097099
F-statistic 0.271899 Durbin-Watson stat 1.999612
Prob(F-statistic) 0.602198

jadi model lulus uji heterokedastissitas karena nilai prob F statistic lebih besar dari 0,05 yaitu
0,6021
Uji normalitas

350
Series: Standardized Residuals
300 Sample 7/05/2000 10/27/2002
Observations 845
250
Mean 0.018463
Median 0.026889
200 Maximum 9.274847
Minimum -10.58120
150 Std. Dev. 1.000299
Skewness -0.615539
100 Kurtosis 26.84729

50 Jarque-Bera 20076.09
Probability 0.000000
0
-10 -8 -6 -4 -2 0 2 4 6 8 10

Jadi model 0,0000 lebih kecil dari 0,05 maka model tidak terdistribusi normal