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GARCH Document Transcript

  • 1. MODEL 1GARCH(1,1)-M, STUDENT-T,Dependent Variable: RKLCIMethod: ML - ARCH (Marquardt) - Students t distributionDate: 05/28/13 Time: 00:59Sample (adjusted): 1/05/2000 6/24/2005Included observations: 1336 after adjustmentsConvergence achieved after 29 iterationsPresample variance: backcast (parameter = 0.7)GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)Variable Coefficient Std. Error z-Statistic Prob.GARCH 6.714234 5.270584 1.273907 0.2027C -0.000393 0.000433 -0.909039 0.3633AR(1) 0.160255 0.028432 5.636411 0.0000Variance EquationC 7.68E-06 2.08E-06 3.698449 0.0002RESID(-1)^2 0.170130 0.034268 4.964691 0.0000GARCH(-1) 0.749585 0.042101 17.80434 0.0000T-DIST. DOF 5.762087 0.774290 7.441767 0.0000R-squared 0.033255 Mean dependent var 5.65E-05Adjusted R-squared 0.031804 S.D. dependent var 0.009917S.E. of regression 0.009758 Akaike info criterion -6.671159Sum squared resid 0.126937 Schwarz criterion -6.643927Log likelihood 4463.334 Hannan-Quinn criter. -6.660955Durbin-Watson stat 1.929735Inverted AR Roots .16
  • 2. .005.010.015.020.025.030.035I II III IV I II III IV I II III IV I II III IV I II III IV I II2000 2001 2002 2003 2004 2005Conditional standard deviation
  • 3. Ujian DiagnosticsDate: 05/28/13 Time: 01:04Sample: 1/05/2000 6/24/2005Included observations: 1336Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 0.050 0.050 3.2819| | | | 2 0.054 0.052 7.2210 0.007| | | | 3 -0.005 -0.010 7.2498 0.027| | | | 4 0.010 0.008 7.3946 0.060| | | | 5 -0.001 -0.001 7.3961 0.116| | | | 6 0.034 0.033 8.9424 0.111| | | | 7 0.014 0.011 9.2157 0.162| | | | 8 0.066 0.061 15.055 0.035| | | | 9 0.003 -0.004 15.064 0.058| | | | 10 0.023 0.016 15.756 0.072| | | | 11 0.005 0.004 15.788 0.106| | | | 12 -0.028 -0.033 16.845 0.113*| | *| | 13 -0.108 -0.107 32.529 0.001| | | | 14 -0.011 -0.003 32.690 0.002| | | | 15 -0.006 0.004 32.732 0.003| | | | 16 0.011 0.005 32.882 0.005| | | | 17 -0.004 -0.003 32.901 0.008| | | | 18 0.041 0.041 35.196 0.006| | | | 19 0.003 0.007 35.210 0.009| | | | 20 -0.019 -0.018 35.697 0.011| | | | 21 0.014 0.030 35.963 0.016| | | | 22 -0.007 -0.007 36.034 0.022| | | | 23 -0.007 -0.005 36.101 0.030| | | | 24 0.042 0.042 38.497 0.023| | | | 25 0.045 0.036 41.237 0.016| | | | 26 0.029 0.005 42.374 0.016| | | | 27 0.002 -0.006 42.381 0.022| | | | 28 0.024 0.024 43.143 0.025| | | | 29 -0.023 -0.028 43.848 0.029| | | | 30 -0.004 -0.005 43.874 0.038| | | | 31 -0.010 -0.001 44.010 0.048| | | | 32 0.016 0.010 44.369 0.057| | | | 33 0.032 0.024 45.732 0.055| | | | 34 -0.007 -0.012 45.802 0.068| | | | 35 0.028 0.025 46.893 0.070| | | | 36 -0.002 -0.008 46.901 0.086Ujian residual diagnostics Q- stat menunjukkakan pada Q(12) nilai probability adalah lebih besardaripada 0.05, oleh itu gagal menolak H null, ini menunjukkan tidak wujud autokorelasi dalam model.
  • 4. Date: 05/28/13 Time: 01:04Sample: 1/05/2000 6/24/2005Included observations: 1336Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 0.006 0.006 0.0498| | | | 2 0.017 0.017 0.4175 0.518| | | | 3 -0.006 -0.007 0.4721 0.790| | | | 4 -0.025 -0.025 1.3270 0.723| | | | 5 -0.024 -0.023 2.0973 0.718| | | | 6 -0.008 -0.007 2.1925 0.822| | | | 7 -0.030 -0.029 3.3765 0.760| | | | 8 -0.025 -0.026 4.2315 0.753| | | | 9 0.007 0.007 4.2939 0.830| | | | 10 -0.019 -0.019 4.7710 0.854| | | | 11 -0.006 -0.008 4.8209 0.903| | | | 12 -0.022 -0.024 5.4995 0.905| | | | 13 0.035 0.034 7.1559 0.847| | | | 14 -0.012 -0.014 7.3554 0.883| | | | 15 -0.005 -0.009 7.3919 0.919| | | | 16 0.041 0.040 9.6910 0.839| | | | 17 -0.009 -0.010 9.7979 0.877| | | | 18 -0.018 -0.020 10.220 0.894| | | | 19 0.047 0.046 13.182 0.781| | | | 20 0.027 0.029 14.150 0.775| | | | 21 -0.007 -0.007 14.225 0.819|* | |* | 22 0.086 0.084 24.279 0.280| | | | 23 0.009 0.013 24.379 0.328| | | | 24 0.028 0.030 25.458 0.327| | | | 25 -0.002 -0.000 25.465 0.381| | | | 26 -0.035 -0.030 27.176 0.347| | | | 27 -0.004 0.007 27.194 0.399| | | | 28 0.041 0.048 29.526 0.336| | | | 29 0.040 0.043 31.665 0.288| | |* | 30 0.068 0.075 38.056 0.121| | | | 31 0.002 0.005 38.061 0.148| | | | 32 -0.035 -0.036 39.768 0.134| | | | 33 0.002 0.007 39.776 0.162| | | | 34 -0.013 0.001 39.998 0.187| | | | 35 -0.008 -0.011 40.083 0.218| | | | 36 0.001 0.006 40.085 0.255Ujian residual diagnostics Q2- stat menunjukkakan pada Q(12) nilai probability adalah lebih besardaripada 0.05, oleh itu gagal menolak H null, ini menunjukkan varians adalah mencukupi.
  • 5. Heteroskedasticity Test: ARCHF-statistic 0.049563 Prob. F(1,1333) 0.8239Obs*R-squared 0.049635 Prob. Chi-Square(1) 0.8237Test Equation:Dependent Variable: WGT_RESID^2Method: Least SquaresDate: 05/28/13 Time: 01:06Sample (adjusted): 1/06/2000 6/24/2005Included observations: 1335 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.C 1.016763 0.075486 13.46954 0.0000WGT_RESID^2(-1) 0.006098 0.027390 0.222627 0.8239R-squared 0.000037 Mean dependent var 1.023004Adjusted R-squared -0.000713 S.D. dependent var 2.559900S.E. of regression 2.560813 Akaike info criterion 4.720023Sum squared resid 8741.496 Schwarz criterion 4.727809Log likelihood -3148.616 Hannan-Quinn criter. 4.722941F-statistic 0.049563 Durbin-Watson stat 2.000013Prob(F-statistic) 0.823860H0 : varians adalah homogenousH1 : varian adalah heterosdastisiti.Jadual di atas menunjukkan nilai-p chi square adalah lebih besar dari 0.05,oleh itu gagal menolak H null,ini menunjukkan tidak wujud heterosdastisiti dalam model.
  • 6. MODEL 2GARCH(1,1), AR(2),Dependent Variable: RKLCIMethod: ML - ARCH (Marquardt) - Students t distributionDate: 05/28/13 Time: 01:06Sample (adjusted): 1/06/2000 6/24/2005Included observations: 1335 after adjustmentsConvergence achieved after 18 iterationsPresample variance: backcast (parameter = 0.7)GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)Variable Coefficient Std. Error z-Statistic Prob.GARCH 8.307812 4.805453 1.728830 0.0838C -0.000594 0.000406 -1.462378 0.1436AR(2) 0.047582 0.028183 1.688309 0.0914Variance EquationC 9.90E-06 2.54E-06 3.896075 0.0001RESID(-1)^2 0.198226 0.038539 5.143464 0.0000GARCH(-1) 0.703692 0.048270 14.57825 0.0000T-DIST. DOF 5.449148 0.711329 7.660515 0.0000R-squared -0.001005 Mean dependent var 7.20E-05Adjusted R-squared -0.002508 S.D. dependent var 0.009905S.E. of regression 0.009917 Akaike info criterion -6.652891Sum squared resid 0.131007 Schwarz criterion -6.625642Log likelihood 4447.805 Hannan-Quinn criter. -6.642681Durbin-Watson stat 1.611947Inverted AR Roots .22 -.22
  • 7. Date: 05/28/13 Time: 01:09Sample: 1/06/2000 6/24/2005Included observations: 1335Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob|* | |* | 1 0.177 0.177 41.968| | | | 2 0.039 0.008 44.011 0.000| | | | 3 0.002 -0.007 44.015 0.000| | | | 4 0.009 0.010 44.131 0.000| | | | 5 0.005 0.002 44.165 0.000| | | | 6 0.037 0.037 46.049 0.000| | | | 7 0.028 0.016 47.119 0.000| | | | 8 0.064 0.056 52.593 0.000| | | | 9 0.019 -0.002 53.076 0.000| | | | 10 0.024 0.019 53.845 0.000| | | | 11 0.008 0.001 53.940 0.000| | | | 12 -0.042 -0.049 56.336 0.000*| | *| | 13 -0.118 -0.107 74.985 0.000| | | | 14 -0.026 0.010 75.903 0.000| | | | 15 -0.002 0.003 75.909 0.000| | | | 16 0.007 0.002 75.976 0.000| | | | 17 0.006 0.004 76.017 0.000| | | | 18 0.041 0.042 78.293 0.000| | | | 19 0.007 0.002 78.369 0.000| | | | 20 -0.017 -0.013 78.768 0.000| | | | 21 0.014 0.035 79.053 0.000| | | | 22 -0.008 -0.014 79.150 0.000| | | | 23 -0.005 0.002 79.179 0.000| | | | 24 0.046 0.047 82.008 0.000| | | | 25 0.055 0.031 86.093 0.000| | | | 26 0.035 0.001 87.777 0.000| | | | 27 0.013 0.002 88.024 0.000| | | | 28 0.020 0.018 88.545 0.000| | | | 29 -0.020 -0.032 89.113 0.000| | | | 30 -0.005 0.003 89.145 0.000| | | | 31 -0.006 0.001 89.189 0.000| | | | 32 0.021 0.015 89.798 0.000| | | | 33 0.034 0.021 91.341 0.000| | | | 34 -0.003 -0.014 91.354 0.000| | | | 35 0.024 0.023 92.143 0.000| | | | 36 -0.002 -0.013 92.148 0.000Ujian residual diagnostics Q- stat menunjukkakan pada Q(12) nilai probability adalah lebih kecil daripada0.05, oleh itu menolak H null, ini menunjukkan wujud autokorelasi dalam model.
  • 8. Date: 05/28/13 Time: 01:09Sample: 1/06/2000 6/24/2005Included observations: 1335Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 0.009 0.009 0.1153| | | | 2 0.012 0.011 0.2938 0.588| | | | 3 -0.009 -0.010 0.4101 0.815| | | | 4 -0.024 -0.024 1.2018 0.753| | | | 5 -0.019 -0.019 1.6967 0.791| | | | 6 -0.011 -0.011 1.8701 0.867| | | | 7 -0.028 -0.028 2.9208 0.819| | | | 8 -0.025 -0.025 3.7550 0.808| | | | 9 0.007 0.007 3.8280 0.872| | | | 10 -0.013 -0.014 4.0433 0.909| | | | 11 -0.000 -0.002 4.0434 0.945| | | | 12 -0.019 -0.021 4.5312 0.952| | | | 13 0.043 0.042 6.9884 0.858| | | | 14 -0.010 -0.012 7.1217 0.896| | | | 15 -0.009 -0.012 7.2327 0.925| | | | 16 0.045 0.045 9.9707 0.822| | | | 17 -0.006 -0.006 10.019 0.866| | | | 18 -0.012 -0.013 10.212 0.894| | | | 19 0.049 0.050 13.470 0.763| | | | 20 0.027 0.029 14.454 0.757| | | | 21 0.003 0.004 14.469 0.806|* | |* | 22 0.086 0.085 24.560 0.267| | | | 23 -0.002 0.003 24.564 0.318| | | | 24 0.032 0.035 25.973 0.302| | | | 25 0.001 0.005 25.974 0.355| | | | 26 -0.034 -0.029 27.589 0.327| | | | 27 -0.002 0.007 27.597 0.379| | | | 28 0.030 0.038 28.792 0.371| | | | 29 0.035 0.037 30.474 0.341| | | | 30 0.065 0.071 36.330 0.164| | | | 31 0.004 0.008 36.355 0.197| | | | 32 -0.032 -0.033 37.733 0.189| | | | 33 0.009 0.012 37.835 0.220| | | | 34 -0.009 0.002 37.947 0.254| | | | 35 -0.004 -0.011 37.972 0.293| | | | 36 0.007 0.012 38.032 0.333Ujian residual diagnostics Q2- stat menunjukkakan pada Q(12) nilai probability adalah lebih besardaripada 0.05, oleh itu gagal menolak H null, ini menunjukkan varians adalah mencukupi.
  • 9. Heteroskedasticity Test: ARCHF-statistic 0.114795 Prob. F(1,1332) 0.7348Obs*R-squared 0.114958 Prob. Chi-Square(1) 0.7346Test Equation:Dependent Variable: WGT_RESID^2Method: Least SquaresDate: 05/28/13 Time: 01:09Sample (adjusted): 1/11/2000 6/24/2005Included observations: 1334 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.C 1.012694 0.077069 13.14016 0.0000WGT_RESID^2(-1) 0.009283 0.027397 0.338814 0.7348R-squared 0.000086 Mean dependent var 1.022179Adjusted R-squared -0.000665 S.D. dependent var 2.621713S.E. of regression 2.622584 Akaike info criterion 4.767695Sum squared resid 9161.422 Schwarz criterion 4.775485Log likelihood -3178.053 Hannan-Quinn criter. 4.770614F-statistic 0.114795 Durbin-Watson stat 1.999556Prob(F-statistic) 0.734803H0 : varians adalah homogenousH1 : varian adalah heterosdastisiti.Jadual di atas menunjukkan nilai-p chi square adalah lebih besar dari 0.05,oleh itu gagal menolak H null,ini menunjukkan tidak wujud heterosdastisiti dalam model.
  • 10. Model 3 egarach (1,1)Dependent Variable: RKLCIMethod: ML - ARCH (Marquardt) - Normal distributionDate: 05/29/13 Time: 23:14Sample (adjusted): 1/05/2000 6/24/2005Included observations: 1336 after adjustmentsConvergence achieved after 61 iterationsPresample 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.GARCH 5.786282 6.387819 0.905831 0.3650C -0.000363 0.000511 -0.709683 0.4779AR(1) 0.204524 0.027271 7.499597 0.0000Variance EquationC(4) -0.504055 0.073644 -6.844449 0.0000C(5) 0.174643 0.018649 9.364513 0.0000C(6) -0.074039 0.012047 -6.146006 0.0000C(7) 0.960896 0.007491 128.2706 0.0000R-squared 0.037028 Mean dependent var 5.65E-05Adjusted R-squared 0.035584 S.D. dependent var 0.009917S.E. of regression 0.009739 Akaike info criterion -6.614900Sum squared resid 0.126441 Schwarz criterion -6.587668Log likelihood 4425.753 Hannan-Quinn criter. -6.604696Durbin-Watson stat 2.023557Inverted AR Roots .20
  • 11. Date: 05/30/13 Time: 00:22Sample: 1/05/2000 6/24/2005Included observations: 1336Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 0.016 0.016 0.3636| | | | 2 0.044 0.043 2.9057 0.088| | | | 3 -0.006 -0.007 2.9506 0.229| | | | 4 0.025 0.023 3.7619 0.288| | | | 5 -0.003 -0.004 3.7780 0.437| | | | 6 0.037 0.035 5.6122 0.346| | | | 7 0.011 0.011 5.7900 0.447|* | |* | 8 0.078 0.074 13.969 0.052| | | | 9 -0.006 -0.008 14.011 0.081| | | | 10 0.027 0.019 14.960 0.092| | | | 11 0.001 0.002 14.961 0.133| | | | 12 -0.022 -0.029 15.611 0.156*| | *| | 13 -0.096 -0.096 28.188 0.005| | | | 14 0.002 0.000 28.192 0.009| | | | 15 -0.009 -0.003 28.307 0.013| | | | 16 0.013 0.006 28.536 0.018| | | | 17 -0.008 -0.003 28.615 0.027| | | | 18 0.050 0.048 31.970 0.015| | | | 19 0.007 0.014 32.040 0.022| | | | 20 -0.011 -0.010 32.198 0.030| | | | 21 0.016 0.031 32.546 0.038| | | | 22 0.000 -0.002 32.546 0.051| | | | 23 -0.007 -0.004 32.609 0.068| | | | 24 0.040 0.037 34.792 0.055| | | | 25 0.040 0.033 36.950 0.044| | | | 26 0.025 0.005 37.822 0.048| | | | 27 -0.009 -0.014 37.934 0.061| | | | 28 0.034 0.031 39.497 0.057| | | | 29 -0.016 -0.022 39.867 0.068| | | | 30 -0.003 -0.007 39.882 0.086Ujian residual diagnostics Q- stat menunjukkakan pada Q(12) nilai probability adalah lebih kecil daripada0.05, oleh itu gagal menolak H null, ini menunjukkan wujud tidak autokorelasi dalam model.
  • 12. Date: 05/30/13 Time: 00:25Sample: 1/05/2000 6/24/2005Included observations: 1336Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 0.059 0.059 4.6619| | | | 2 0.063 0.059 9.9385 0.002| | | | 3 0.010 0.003 10.060 0.007| | | | 4 -0.013 -0.018 10.295 0.016| | | | 5 -0.029 -0.029 11.462 0.022| | | | 6 -0.011 -0.006 11.619 0.040| | | | 7 -0.030 -0.025 12.803 0.046| | | | 8 -0.044 -0.040 15.430 0.031| | | | 9 0.008 0.015 15.517 0.050| | | | 10 -0.031 -0.028 16.812 0.052| | | | 11 -0.020 -0.019 17.345 0.067| | | | 12 -0.031 -0.028 18.612 0.068| | | | 13 0.019 0.023 19.103 0.086| | | | 14 -0.020 -0.020 19.651 0.104| | | | 15 -0.016 -0.020 19.979 0.131| | | | 16 0.028 0.029 21.044 0.135| | | | 17 -0.036 -0.039 22.768 0.120| | | | 18 -0.032 -0.035 24.181 0.115| | | | 19 0.034 0.038 25.708 0.107| | | | 20 0.010 0.009 25.845 0.135| | | | 21 -0.011 -0.016 26.010 0.165| | | | 22 0.063 0.056 31.453 0.066| | | | 23 0.020 0.015 31.982 0.078| | | | 24 -0.001 -0.010 31.985 0.100| | | | 25 -0.018 -0.026 32.449 0.116| | | | 26 -0.030 -0.026 33.652 0.116| | | | 27 -0.019 -0.006 34.129 0.132| | | | 28 0.044 0.049 36.732 0.100| | | | 29 0.033 0.029 38.227 0.094| | | | 30 0.059 0.058 42.996 0.046| | | | 31 -0.008 -0.019 43.081 0.058| | *| | 32 -0.056 -0.068 47.410 0.030| | | | 33 -0.023 -0.012 48.156 0.033| | | | 34 -0.023 -0.006 48.889 0.037| | | | 35 -0.029 -0.028 50.026 0.038| | | | 36 -0.007 0.003 50.090 0.047Ujian residual diagnostics Q2- stat menunjukkakan pada Q(12) nilai probability adalah lebih besardaripada 0.05, oleh itu gagal menolak H null, ini menunjukkan varians adalah mencukupi.
  • 13. Heteroskedasticity Test: ARCHF-statistic 4.657425 Prob. F(1,1333) 0.0311Obs*R-squared 4.648172 Prob. Chi-Square(1) 0.0311Test Equation:Dependent Variable: WGT_RESID^2Method: Least SquaresDate: 05/30/13 Time: 00:30Sample (adjusted): 1/06/2000 6/24/2005Included observations: 1335 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.C 0.933735 0.062752 14.87988 0.0000WGT_RESID^2(-1) 0.059007 0.027342 2.158107 0.0311R-squared 0.003482 Mean dependent var 0.992317Adjusted R-squared 0.002734 S.D. dependent var 2.070005S.E. of regression 2.067173 Akaike info criterion 4.291738Sum squared resid 5696.184 Schwarz criterion 4.299524Log likelihood -2862.735 Hannan-Quinn criter. 4.294656F-statistic 4.657425 Durbin-Watson stat 2.006772Prob(F-statistic) 0.031098H0 : varians adalah homogenousH1 : varian adalah heterosdastisiti.Jadual di atas menunjukkan nilai-p chi square adalah lebih kecil dari 0.05,oleh itu menolak H null, inimenunjukkan wujud heterosdastisiti dalam model.
  • 14. Model 4 EGARCH(1,1)Dependent Variable: RKLCIMethod: ML - ARCH (Marquardt) - Students t distributionDate: 05/30/13 Time: 00:53Sample (adjusted): 1/05/2000 6/24/2005Included observations: 1336 after adjustmentsConvergence achieved after 19 iterationsPresample 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.GARCH 6.095233 5.466759 1.114963 0.2649C -0.000525 0.000442 -1.187902 0.2349AR(1) 0.166727 0.027819 5.993372 0.0000Variance EquationC(4) -0.926758 0.207993 -4.455728 0.0000C(5) 0.277872 0.045509 6.105849 0.0000C(6) -0.070588 0.025550 -2.762772 0.0057C(7) 0.924446 0.020246 45.66077 0.0000T-DIST. DOF 5.891519 0.869331 6.777073 0.0000R-squared 0.035912 Mean dependent var 5.65E-05Adjusted R-squared 0.034466 S.D. dependent var 0.009917S.E. of regression 0.009745 Akaike info criterion -6.679959Sum squared resid 0.126588 Schwarz criterion -6.648837Log likelihood 4470.213 Hannan-Quinn criter. -6.668298Durbin-Watson stat 1.939539Inverted AR Roots .17
  • 15. Date: 05/30/13 Time: 00:59Sample: 1/05/2000 6/24/2005Included observations: 1336Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 0.056 0.056 4.1261| | | | 2 0.054 0.051 8.0690 0.005| | | | 3 -0.001 -0.007 8.0702 0.018| | | | 4 0.019 0.016 8.5378 0.036| | | | 5 -0.001 -0.003 8.5405 0.074| | | | 6 0.038 0.037 10.508 0.062| | | | 7 0.015 0.012 10.818 0.094| | | | 8 0.072 0.067 17.857 0.013| | | | 9 0.002 -0.006 17.862 0.022| | | | 10 0.022 0.014 18.495 0.030| | | | 11 0.001 -0.001 18.496 0.047| | | | 12 -0.025 -0.030 19.319 0.056*| | *| | 13 -0.103 -0.102 33.663 0.001| | | | 14 -0.005 0.002 33.699 0.001| | | | 15 -0.009 -0.000 33.804 0.002| | | | 16 0.009 0.004 33.926 0.003| | | | 17 -0.004 -0.002 33.950 0.006| | | | 18 0.044 0.043 36.518 0.004| | | | 19 0.005 0.009 36.549 0.006| | | | 20 -0.014 -0.013 36.807 0.008| | | | 21 0.015 0.031 37.115 0.011| | | | 22 -0.002 -0.004 37.121 0.016| | | | 23 -0.007 -0.006 37.194 0.023| | | | 24 0.038 0.036 39.158 0.019| | | | 25 0.042 0.033 41.512 0.015| | | | 26 0.028 0.004 42.552 0.016| | | | 27 -0.001 -0.008 42.553 0.022| | | | 28 0.031 0.029 43.840 0.021| | | | 29 -0.017 -0.023 44.215 0.026| | | | 30 -0.007 -0.010 44.285 0.034| | | | 31 -0.011 -0.003 44.465 0.043| | | | 32 0.017 0.011 44.843 0.051| | | | 33 0.030 0.024 46.047 0.052| | | | 34 -0.006 -0.011 46.097 0.065| | | | 35 0.026 0.025 47.029 0.068| | | | 36 0.001 -0.006 47.030 0.084Ujian residual diagnostics Q- stat menunjukkakan pada Q(12) nilai probability adalah lebih besardaripada 0.05, oleh itu gagal menolak H null, ini menunjukkan tidak wujud autokorelasi dalam model.
  • 16. Date: 05/30/13 Time: 01:01Sample: 1/05/2000 6/24/2005Included observations: 1336Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 0.021 0.021 0.5643| | | | 2 0.040 0.039 2.6851 0.101| | | | 3 -0.009 -0.011 2.8015 0.246| | | | 4 -0.024 -0.025 3.5732 0.311| | | | 5 -0.033 -0.031 5.0133 0.286| | | | 6 -0.015 -0.012 5.3255 0.377| | | | 7 -0.031 -0.028 6.5804 0.361| | | | 8 -0.038 -0.038 8.5641 0.285| | | | 9 0.007 0.009 8.6314 0.374| | | | 10 -0.025 -0.025 9.4901 0.393| | | | 11 -0.010 -0.013 9.6325 0.473| | | | 12 -0.025 -0.026 10.462 0.489| | | | 13 0.032 0.031 11.838 0.459| | | | 14 -0.014 -0.016 12.109 0.519| | | | 15 -0.013 -0.020 12.355 0.578| | | | 16 0.040 0.039 14.468 0.490| | | | 17 -0.018 -0.020 14.924 0.530| | | | 18 -0.024 -0.029 15.719 0.544| | | | 19 0.048 0.049 18.902 0.398| | | | 20 0.019 0.019 19.412 0.431| | | | 21 -0.010 -0.013 19.542 0.487|* | |* | 22 0.081 0.076 28.394 0.129| | | | 23 0.018 0.019 28.815 0.150| | | | 24 0.012 0.009 28.998 0.180| | | | 25 -0.007 -0.007 29.056 0.218| | | | 26 -0.032 -0.027 30.424 0.209| | | | 27 -0.009 0.004 30.533 0.246| | | | 28 0.042 0.050 32.989 0.197| | | | 29 0.040 0.040 35.143 0.166| | | | 30 0.068 0.073 41.507 0.062Ujian residual diagnostics Q2- stat menunjukkakan pada Q(12) nilai probability adalah lebih besardaripada 0.05, oleh itu gagal menolak H null, ini menunjukkan varians adalah mencukupi.
  • 17. Heteroskedasticity Test: ARCHF-statistic 0.562067 Prob. F(1,1333) 0.4536Obs*R-squared 0.562673 Prob. Chi-Square(1) 0.4532Test Equation:Dependent Variable: WGT_RESID^2Method: Least SquaresDate: 05/30/13 Time: 01:02Sample (adjusted): 1/06/2000 6/24/2005Included observations: 1335 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.C 0.987383 0.067415 14.64644 0.0000WGT_RESID^2(-1) 0.020530 0.027384 0.749711 0.4536R-squared 0.000421 Mean dependent var 1.008090Adjusted R-squared -0.000328 S.D. dependent var 2.246574S.E. of regression 2.246943 Akaike info criterion 4.458515Sum squared resid 6729.987 Schwarz criterion 4.466301Log likelihood -2974.059 Hannan-Quinn criter. 4.461432F-statistic 0.562067 Durbin-Watson stat 2.001382Prob(F-statistic) 0.453561H0 : varians adalah homogenousH1 : varian adalah heterosdastisiti.Jadual di atas menunjukkan nilai-p chi square adalah lebih besar dari 0.05,oleh itu gagal menolak H null,ini menunjukkan tidak wujud heterosdastisiti dalam model.
  • 18. Model 5 GARCH(1,1) LOG-VARDependent Variable: RKLCIMethod: ML - ARCH (Marquardt) - Students t distributionDate: 05/30/13 Time: 01:54Sample (adjusted): 1/05/2000 6/24/2005Included observations: 1336 after adjustmentsConvergence achieved after 23 iterationsPresample variance: backcast (parameter = 0.7)GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)Variable Coefficient Std. Error z-Statistic Prob.LOG(GARCH) 0.001104 0.000558 1.978373 0.0479C 0.010779 0.005434 1.983393 0.0473AR(1) 0.155840 0.028965 5.380234 0.0000Variance EquationC 8.92E-06 2.32E-06 3.848522 0.0001RESID(-1)^2 0.191628 0.037558 5.102223 0.0000GARCH(-1) 0.717005 0.045888 15.62498 0.0000T-DIST. DOF 5.796714 0.774819 7.481376 0.0000R-squared 0.032428 Mean dependent var 5.65E-05Adjusted R-squared 0.030976 S.D. dependent var 0.009917S.E. of regression 0.009763 Akaike info criterion -6.672274Sum squared resid 0.127045 Schwarz criterion -6.645042Log likelihood 4464.079 Hannan-Quinn criter. -6.662071Durbin-Watson stat 1.929307Inverted AR Roots .16
  • 19. Date: 05/30/13 Time: 02:00Sample: 1/05/2000 6/24/2005Included observations: 1336Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 0.040 0.040 2.1203| | | | 2 0.047 0.046 5.1334 0.023| | | | 3 -0.006 -0.010 5.1844 0.075| | | | 4 0.008 0.006 5.2669 0.153| | | | 5 0.002 0.003 5.2740 0.260| | | | 6 0.036 0.036 7.0425 0.217| | | | 7 0.019 0.017 7.5500 0.273| | | | 8 0.068 0.064 13.843 0.054| | | | 9 0.012 0.006 14.038 0.081| | | | 10 0.035 0.028 15.664 0.074| | | | 11 0.016 0.014 16.012 0.099| | | | 12 -0.021 -0.027 16.611 0.120*| | *| | 13 -0.102 -0.103 30.595 0.002| | | | 14 -0.003 0.001 30.607 0.004| | | | 15 0.003 0.009 30.620 0.006| | | | 16 0.013 0.005 30.861 0.009| | | | 17 0.000 -0.003 30.861 0.014| | | | 18 0.045 0.043 33.577 0.010| | | | 19 0.003 0.006 33.592 0.014| | | | 20 -0.017 -0.016 33.965 0.019| | | | 21 0.020 0.034 34.488 0.023| | | | 22 -0.006 -0.005 34.534 0.032| | | | 23 -0.002 0.001 34.537 0.043| | | | 24 0.048 0.050 37.740 0.027| | | | 25 0.053 0.044 41.510 0.015| | | | 26 0.035 0.011 43.178 0.013| | | | 27 0.012 0.004 43.371 0.018| | | | 28 0.028 0.027 44.458 0.019| | | | 29 -0.017 -0.024 44.836 0.023| | | | 30 0.000 -0.003 44.837 0.031| | | | 31 -0.003 0.002 44.849 0.040| | | | 32 0.021 0.011 45.466 0.045| | | | 33 0.035 0.024 47.162 0.041| | | | 34 -0.006 -0.013 47.206 0.052| | | | 35 0.034 0.027 48.791 0.048| | | | 36 -0.000 -0.008 48.791 0.061Ujian residual diagnostics Q- stat menunjukkakan pada Q(12) nilai probability adalah lebih besardaripada 0.05, oleh itu gagal menolak H null, ini menunjukkan tidak wujud autokorelasi dalam model.
  • 20. Date: 05/30/13 Time: 02:01Sample: 1/05/2000 6/24/2005Included observations: 1336Q-statisticprobabilities adjustedfor 1 ARMA term(s)Autocorrelation Partial Correlation AC PAC Q-Stat Prob| | | | 1 -0.001 -0.001 0.0016| | | | 2 0.013 0.013 0.2235 0.636| | | | 3 -0.010 -0.010 0.3483 0.840| | | | 4 -0.027 -0.027 1.3220 0.724| | | | 5 -0.031 -0.031 2.6134 0.624| | | | 6 -0.008 -0.007 2.6943 0.747| | | | 7 -0.029 -0.029 3.8482 0.697| | | | 8 -0.019 -0.020 4.3403 0.740| | | | 9 0.007 0.006 4.4007 0.819| | | | 10 -0.020 -0.022 4.9549 0.838| | | | 11 -0.008 -0.011 5.0412 0.888| | | | 12 -0.016 -0.019 5.4042 0.910| | | | 13 0.037 0.035 7.2558 0.840| | | | 14 -0.009 -0.011 7.3645 0.882| | | | 15 -0.007 -0.012 7.4379 0.917| | | | 16 0.037 0.036 9.2932 0.862| | | | 17 -0.008 -0.008 9.3869 0.897| | | | 18 -0.022 -0.023 10.020 0.903| | | | 19 0.042 0.042 12.412 0.825| | | | 20 0.039 0.042 14.441 0.757| | | | 21 -0.006 -0.005 14.486 0.805|* | |* | 22 0.085 0.082 24.201 0.283| | | | 23 -0.001 0.005 24.203 0.337| | | | 24 0.038 0.042 26.132 0.295| | | | 25 0.007 0.011 26.194 0.343| | | | 26 -0.040 -0.035 28.418 0.289| | | | 27 -0.002 0.009 28.426 0.338| | | | 28 0.051 0.058 31.917 0.235| | | | 29 0.037 0.042 33.740 0.210| | | | 30 0.063 0.069 39.127 0.099| | | | 31 -0.002 0.003 39.133 0.123| | | | 32 -0.036 -0.033 40.920 0.110| | | | 33 -0.005 -0.001 40.955 0.133| | | | 34 -0.013 0.001 41.180 0.155| | | | 35 -0.003 -0.004 41.197 0.185| | | | 36 0.000 0.003 41.197 0.218Ujian residual diagnostics Q2- stat menunjukkakan pada Q(12) nilai probability adalah lebih besardaripada 0.05, oleh itu gagal menolak H null, ini menunjukkan varians adalah mencukupi.
  • 21. Heteroskedasticity Test: ARCHF-statistic 0.001608 Prob. F(1,1333) 0.9680Obs*R-squared 0.001610 Prob. Chi-Square(1) 0.9680Test Equation:Dependent Variable: WGT_RESID^2Method: Least SquaresDate: 05/30/13 Time: 02:02Sample (adjusted): 1/06/2000 6/24/2005Included observations: 1335 after adjustmentsVariable Coefficient Std. Error t-Statistic Prob.C 1.047624 0.077247 13.56206 0.0000WGT_RESID^2(-1) -0.001098 0.027391 -0.040097 0.9680R-squared 0.000001 Mean dependent var 1.046474Adjusted R-squared -0.000749 S.D. dependent var 2.619654S.E. of regression 2.620635 Akaike info criterion 4.766207Sum squared resid 9154.678 Schwarz criterion 4.773992Log likelihood -3179.443 Hannan-Quinn criter. 4.769124F-statistic 0.001608 Durbin-Watson stat 1.999780Prob(F-statistic) 0.968022H0 : varians adalah homogenousH1 : varian adalah heterosdastisiti.Jadual di atas menunjukkan nilai-p chi square adalah lebih besar dari 0.05,oleh itu gagal menolak H null,ini menunjukkan tidak wujud heterosdastisiti dalam model.