085358765458

Selamat siang,Pak,
Berdasarkan hasil estimasi data saham dari bulan 12 tahun 2003 sampai dengan bulan 2
2015,maka menghasilkan estmasi dengan model Garch:
Jika digunakan melalui OLS
R-Square = 0.0009 Yang Artinya Masih Signifikan Karena Masih Berada Di Positif.
Dan p value menghasilkan hasil dibawah 5 % yang artinya masih signifikan .
Initial Statistic:
Dari gradient 1 dan 2 terlihat bahwa gradient lebih besar nya
semakin mendekati nol (0) maka data saham 1 dan 2 bersifat
(convergent), semakin mendekati titik keseimbangan.
Gradient 1 -325.8908
Gradient 2 -0.1596886E+11
VARIANCE EQUATION:
ALPHA_ 0.12211 0.1736E-05 0.7035E+05 0.000 1.00
ALPHA_ 1.1717 512.0 0.2288E-02 0.998 0.00
PHI_ -0.66990E-01 0.6388E+12 -0.1049E-12 1.000 0.00

Dari hasil analisisnya alphanya bahwa dibawah 0.005 yang artinya signifikan.
Dari grafik menunjukkan bahwa saham semakin lama semakin menurun.
Welcome to SHAZAM - Version 10.0 - APR+2008 SYSTEM=WIN-NT
12:28:47
|_FILE 1 D:\TS\SAHAM.TXT
|_SAMPLE 1 135
|_READ (1) NCZ AEL/SKIPLINES=1
2 VARIABLES AND
135 OBSERVATIONS STARTING AT OBS
|_*ESTIMATE SAHAM NCZ
|_*USING OLS ESTIMATE

PAR= 22480 - 05/07/15

|_OLS NCZ AEL/RSTAT

REQUIRED MEMORY IS PAR=
7 CURRENT PAR=
22480
OLS ESTIMATION
135 OBSERVATIONS
DEPENDENT VARIABLE= NCZ
...NOTE..SAMPLE RANGE SET TO:
1,
135
R-SQUARE =
0.0009
R-SQUARE ADJUSTED = -0.0066
VARIANCE OF THE ESTIMATE-SIGMA**2 =
11.597
STANDARD ERROR OF THE ESTIMATE-SIGMA =
3.4054
SUM OF SQUARED ERRORS-SSE=
1542.4
MEAN OF DEPENDENT VARIABLE =
11.026
LOG OF THE LIKELIHOOD FUNCTION = -355.973
MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)
AKAIKE (1969) FINAL PREDICTION ERROR - FPE =
11.768
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC =
2.4654
SCHWARZ (1978) CRITERION - LOG SC =
2.5085
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)

GENERALIZED CROSS VALIDATION - GCV =

HANNAN AND QUINN (1979) CRITERION =
RICE (1984) CRITERION =
SHIBATA (1981) CRITERION =
SCHWARZ (1978) CRITERION - SC =
AKAIKE (1974) INFORMATION CRITERION - AIC =

11.771
11.976
11.774
11.763
12.286
11.768

REGRESSION
ERROR
TOTAL

ANALYSIS OF VARIANCE - FROM MEAN

SS
DF
MS
1.4494
1.
1.4494
1542.4
133.
11.597
1543.8
134.
11.521

F
0.125
P-VALUE
0.724

REGRESSION
ERROR
TOTAL

ANALYSIS OF VARIANCE - FROM ZERO

SS
DF
MS
16415.
2.
8207.4
1542.4
133.
11.597
17957.
135.
133.02

F
707.742
P-VALUE
0.000

VARIABLE
ESTIMATED STANDARD
T-RATIO
NAME
COEFFICIENT
ERROR
133 DF
AEL
-0.19717E-01 0.5577E-01 -0.3535
CONSTANT
11.275
0.7628
14.78

PARTIAL STANDARDIZED ELASTICITY

P-VALUE CORR. COEFFICIENT AT MEANS
0.724-0.031
-0.0306
-0.0226
0.000 0.788
0.0000
1.0226

DURBIN-WATSON = 0.0360
VON NEUMANN RATIO = 0.0363
RHO = 0.97831
RESIDUAL SUM = 0.15987E-13 RESIDUAL VARIANCE =
11.597
SUM OF ABSOLUTE ERRORS=
409.02
R-SQUARE BETWEEN OBSERVED AND PREDICTED = 0.0009
RUNS TEST:
4 RUNS,
56 POS,
0 ZERO,
79 NEG NORMAL STATISTIC =-11.1312
COEFFICIENT OF SKEWNESS = -0.0347 WITH STANDARD DEVIATION OF 0.2085
COEFFICIENT OF EXCESS KURTOSIS = -1.0846 WITH STANDARD DEVIATION OF 0.4142
JARQUE-BERA NORMALITY TEST- CHI-SQUARE(2 DF)=

6.6971 P-VALUE= 0.035

GOODNESS OF FIT TEST FOR NORMALITY OF RESIDUALS - 12 GROUPS

OBSERVED 0.0 4.0 3.0 6.0 45.0 21.0 5.0 11.0 40.0 0.0 0.0 0.0
EXPECTED 0.8 2.2 5.9 12.4 20.2 25.9 25.9 20.2 12.4 5.9 2.2 0.8
CHI-SQUARE = 129.6633 WITH 8 DEGREES OF FREEDOM, P-VALUE= 0.000
|_DIAGNOS /HET
REQUIRED MEMORY IS PAR=
17 CURRENT PAR=
22480
DEPENDENT VARIABLE = NCZ
135 OBSERVATIONS
REGRESSION COEFFICIENTS
-0.197165517378E-01
11.2753407623
HETEROSKEDASTICITY TESTS
CHI-SQUARE
TEST STATISTIC
E**2 ON YHAT:
25.426
E**2 ON YHAT**2:
25.596
E**2 ON LOG(YHAT**2):
25.257
E**2 ON LAG(E**2) ARCH TEST:
108.198
LOG(E**2) ON X (HARVEY) TEST:
4.482
ABS(E) ON X (GLEJSER) TEST:
14.133
E**2 ON X
TEST:
KOENKER(R2):
25.426
B-P-G (SSR) :
11.582
E**2 ON X X**2

(WHITE) TEST:

D.F.

P-VALUE

1
1
1
1
1
1

0.00000
0.00000
0.00000
0.00000
0.03426
0.00017

1
1

0.00000
0.00067

KOENKER(R2):
B-P-G (SSR) :

33.261
15.151

2
2

0.00000
0.00051

|_*ESTIMATE GARCH MODEL

|_HET NCZ AEL/GARCH=1 PRESAMP STDRESID=E RESID=E1
...NOTE..SAMPLE RANGE SET TO:
1,
135
135 OBSERVATIONS
REQUIRED MEMORY IS PAR=
20 CURRENT PAR=
22480
ARCH
HETEROSKEDASTICITY MODEL
135 OBSERVATIONS
ANALYTIC DERIVATIVES
PRE-SAMPLE VARIANCE ESTIMATE =
11.425
QUASI-NEWTON METHOD USING BFGS UPDATE FORMULA
INITIAL STATISTICS :
TIME =
0.0010 SEC.
ITER. NO.
1 FUNCTION EVALUATIONS
1
LOG-LIKELIHOOD FUNCTION=
-333.7099
COEFFICIENTS
-0.1971655E-01
11.27534
1.062479
0.9002439
0.000000
GRADIENT
-325.8908
-15.79656
2.618434
-2.048559
-0.9974982
TIME =
0.0030 SEC.
ITER. NO.
16 FUNCTION EVALUATIONS
58
LOG-LIKELIHOOD FUNCTION=
-272.1180
COEFFICIENTS
0.2311103E-01
8.334405
0.1199075
1.158960
-0.6716515E-01
GRADIENT
98240.56
9308.923
31907.26
-3299.204
60368.37
TIME =
0.0070 SEC.
ITER. NO.
31 FUNCTION EVALUATIONS
159
LOG-LIKELIHOOD FUNCTION=
-264.3589
COEFFICIENTS
0.2278195E-01
8.333801
0.1221140
1.171721
-0.6698999E-01
GRADIENT
-0.1596886E+11 -0.1520177E+10 -0.5099092E+10 0.5314155E+09 -0.9814341E+10
**** FAILURE TO COMPLETE A LINE SEARCH IN 20 FUNCTION EVALUATIONS.
THIS IS PROBABLY BECAUSE THE FUNCTION HAS NO GLOBAL MAXIMUM
TIME =
0.0130 SEC.
ITER. NO.
36 FUNCTION EVALUATIONS
196
LOG-LIKELIHOOD FUNCTION=
-263.8932
COEFFICIENTS
0.2278178E-01
8.333802
0.1221125
1.171706
-0.6698986E-01
GRADIENT
-0.3926182E+12 -0.3737455E+11 -0.1254119E+12 0.1307014E+11 -0.2413805E+12
...MATRIX ERROR...MAGNITUDE BELOW MACHINE PRECISION IN ROW
-4.
THIS IS USUALLY CAUSED BY SINGULAR MATRIX.
...ATTEMPTING INVERSION OF HESSIAN FOR COVARIANCE
COVARIANCE MATRIX AND STD ERRORS ARE INCORRECT
*** WARNING - STATIONARITY CONSTRAINTS NOT SATISFIED
SQUARED CORR. COEF. BETWEEN OBSERVED AND PREDICTED

0.00094

ASY. COVARIANCE MATRIX OF PARAMETER ESTIMATES IS ESTIMATED USING

THE INFORMATION MATRIX

LOG OF THE LIKELIHOOD FUNCTION = -263.893

ASYMPTOTIC
ESTIMATED STANDARD
T-RATIO
PARTIAL STANDARDIZED ELASTICITY
COEFFICIENT
ERROR
-------P-VALUE CORR. COEFFICIENT AT MEANS
MEAN EQUATION:
AEL
0.22782E-01 0.9810E-06 0.2322E+05 0.000 1.000
0.0354
0.0261
CONSTANT
8.3338
0.3824E-02
2179.
0.000 1.000
0.0000
0.7558
VARIANCE EQUATION:
ALPHA_
0.12211
0.1736E-05 0.7035E+05 0.000 1.00
ALPHA_
1.1717
512.0
0.2288E-02 0.998 0.00
PHI_
-0.66990E-01 0.6388E+12 -0.1049E-12 1.000 0.00
|_STAT E
NAME
N
MEAN
ST. DEV
VARIANCE
MINIMUM
MAXIMUM
E
135 0.37517
0.93591
0.87593
-3.7611
2.0114
VARIABLE
NAME

|_OLS E/GF
REQUIRED MEMORY IS PAR=
8 CURRENT PAR=
22480
OLS ESTIMATION
135 OBSERVATIONS
DEPENDENT VARIABLE= E
...NOTE..SAMPLE RANGE SET TO:
1,
135
R-SQUARE =
0.0000
R-SQUARE ADJUSTED =
0.0000
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.87593
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.93591
SUM OF SQUARED ERRORS-SSE=
117.37
MEAN OF DEPENDENT VARIABLE = 0.37517
LOG OF THE LIKELIHOOD FUNCTION = -182.113
MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)
AKAIKE (1969) FINAL PREDICTION ERROR - FPE =
0.88242
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -0.12509
SCHWARZ (1978) CRITERION - LOG SC =
-0.10357
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV =
0.88247
HANNAN AND QUINN (1979) CRITERION =
0.89017
RICE (1984) CRITERION =
0.88252
SHIBATA (1981) CRITERION =
0.88232
SCHWARZ (1978) CRITERION - SC =
0.90161
AKAIKE (1974) INFORMATION CRITERION - AIC =
0.88242

REGRESSION
ERROR
TOTAL

ANALYSIS OF VARIANCE - FROM MEAN

SS
DF
MS
0.0000
0.
0.0000
117.37
134.
0.87593
117.37
134.
0.87593

F
0.000
P-VALUE
0.000

REGRESSION
ERROR
TOTAL

ANALYSIS OF VARIANCE - FROM ZERO

SS
DF
MS
19.002
1.
19.002
117.37
134.
0.87593
136.38
135.
1.0102

F
21.693
P-VALUE
0.000

VARIABLE
NAME

ESTIMATED STANDARD
COEFFICIENT
ERROR

T-RATIO
134 DF

PARTIAL STANDARDIZED ELASTICITY

P-VALUE CORR. COEFFICIENT AT MEANS

CONSTANT

0.37517

0.8055E-01

4.658

0.000 0.373

0.0000

1.0000

DURBIN-WATSON = 0.6846
VON NEUMANN RATIO = 0.6897
RHO = 0.64994
RESIDUAL SUM = -0.38858E-14 RESIDUAL VARIANCE = 0.87593
SUM OF ABSOLUTE ERRORS=
101.83
R-SQUARE BETWEEN OBSERVED AND PREDICTED = 0.0000
RUNS TEST:
14 RUNS,
82 POS,
0 ZERO,
53 NEG NORMAL STATISTIC = -9.3112
COEFFICIENT OF SKEWNESS = -1.2905 WITH STANDARD DEVIATION OF 0.2085
COEFFICIENT OF EXCESS KURTOSIS =
2.2885 WITH STANDARD DEVIATION OF 0.4142
JARQUE-BERA NORMALITY TEST- CHI-SQUARE(2 DF)=

62.8976 P-VALUE= 0.000

GOODNESS OF FIT TEST FOR NORMALITY OF RESIDUALS - 12 GROUPS

OBSERVED 3.0 2.0 5.0 13.0 15.0 15.0 18.0 56.0 5.0 3.0 0.0 0.0
EXPECTED 0.8 2.2 5.9 12.4 20.2 25.9 25.9 20.2 12.4 5.9 2.2 0.8
CHI-SQUARE =
86.3312 WITH 9 DEGREES OF FREEDOM, P-VALUE= 0.000
|_ARIMA E
ARIMA MODEL
NUMBER OF OBSERVATIONS = 135
...NOTE..SAMPLE RANGE SET TO:

1,

135

REQUIRED MEMORY IS PAR=

9 CURRENT PAR=
IDENTIFICATION SECTION - VARIABLE=E
NUMBER OF AUTOCORRELATIONS = 24
NUMBER OF PARTIAL AUTOCORRELATIONS = 12
0
0 0
SERIES (1-B) (1-B ) E
NET NUMBER OF OBSERVATIONS = 135
MEAN=
0.37517
VARIANCE=
0.87593
LAGS
1 -12
13 -24

22480

STANDARD DEV.=

0.93591

AUTOCORRELATIONS
STD ERR
0.65 0.53 0.44 0.43 0.36 0.32 0.31 0.27 0.19 0.17 0.12 0.10
0.09
0.10 0.01 0.08 -.05 -.14 -.16 -.08 -.11 -.09 -.04 0.02 -.01
0.18

MODIFIED BOX-PIERCE (LJUNG-BOX-PIERCE) STATISTICS (CHI-SQUARE)

LAG
Q
DF P-VALUE
LAG
Q
DF P-VALUE
1
57.93
1 .000
13 222.81 13 .000
2
97.19
2 .000
14 222.83 14 .000
3 124.29
3 .000
15 223.88 15 .000
4 149.89
4 .000
16 224.29 16 .000
5 167.91
5 .000
17 227.15 17 .000
6 182.97
6 .000
18 231.10 18 .000
7 196.67
7 .000
19 232.12 19 .000
8 207.58
8 .000
20 233.96 20 .000
9 213.15
9 .000
21 235.40 21 .000
10 217.60 10 .000
22 235.71 22 .000
11 219.79 11 .000
23 235.75 23 .000
12 221.35 12 .000
24 235.76 24 .000
LAGS
PARTIAL AUTOCORRELATIONS
STD ERR
1 -12
0.65 0.19 0.07 0.13 -.01 0.03 0.06 -.01 -.08 0.01 -.06 -.01
0.09
|_GENR E2=E**2
|_ARIMA E2
ARIMA MODEL
NUMBER OF OBSERVATIONS = 135
...NOTE..SAMPLE RANGE SET TO:

1,

135

REQUIRED MEMORY IS PAR=

10 CURRENT PAR=
IDENTIFICATION SECTION - VARIABLE=E2
NUMBER OF AUTOCORRELATIONS = 24
NUMBER OF PARTIAL AUTOCORRELATIONS = 12
SERIES

22480

0
0 0
(1-B) (1-B ) E2

NET NUMBER OF OBSERVATIONS = 135

MEAN=
1.0102
VARIANCE=
2.0976
LAGS
1 -12
13 -24
MODIFIED
LAG
1
2
3
4
5
6
7
8
9
10
11
12

STANDARD DEV.=

1.4483

AUTOCORRELATIONS
STD ERR
-.04 0.01 -.05 -.03 -.01 0.12 -.04 0.02 -.05 -.07 -.06 0.10
0.09
-.03 0.02 0.00 -.09 0.11 0.05 -.07 0.07 -.02 -.06 0.15 -.09
0.09
BOX-PIERCE (LJUNG-BOX-PIERCE) STATISTICS (CHI-SQUARE)
Q
DF P-VALUE
LAG
Q
DF P-VALUE
0.21
1 .645
13
6.46 13 .928
0.22
2 .897
14
6.52 14 .952
0.58
3 .901
15
6.53 15 .969
0.75
4 .946
16
7.67 16 .958
0.77
5 .979
17
9.53 17 .922
2.96
6 .814
18
9.87 18 .936
3.17
7 .869
19
10.71 19 .933
3.22
8 .920
20
11.48 20 .933
3.60
9 .936
21
11.53 21 .952
4.30 10 .933
22
12.03 22 .957
4.89 11 .936
23
15.59 23 .872
6.36 12 .897
24
16.93 24 .852

LAGS
PARTIAL AUTOCORRELATIONS
STD ERR
1 -12
-.04 0.01 -.05 -.04 -.02 0.12 -.03 0.01 -.04 -.07 -.07 0.08
0.09
|_GENR HSE=E1/E
|_GENR T=TIME (0)
|_NONPAR HSE T/METHOD=LOWESS PREDICT=HSMTH SMOOTH=.1
REQUIRED MEMORY IS PAR=

24 CURRENT PAR=

22480

135 OBSERVATIONS
DEPENDENT VARIABLE = HSE
...NOTE..SAMPLE RANGE SET TO:
1,
135
NONPARAMETRIC SMOOTHING USING LOWESS METHOD
SMOOTH PARAMETER= 0.10000
ITERATIONS= 0
NUMBER OF NEAREST NEIGHBORS - R =
13
R-SQUARE =
0.9658
R-SQUARE
ERROR VARIANCE
SIGMA**2 =
STANDARD ERROR
SIGMA =
SUM OF SQUARED ERRORS SSE =
EQUIVALENT NUMBER OF PARAMETERS -

DELTA= 0.000

ADJUSTED =
0.9589
0.33362
0.57760
37.200
K1 =
23.496
K2 =
16.738
K3 =
20.117

CROSS-VALIDATION MEAN SQUARE ERROR =

0.42260

MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)

AKAIKE (1969) FINAL PREDICTION ERROR - FPE =
0.39169
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -0.94086

SCHWARZ (1978) CRITERION - LOG SC =

-0.43521
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV =
0.40393
HANNAN AND QUINN (1979) CRITERION =
0.47932
RICE (1984) CRITERION =
0.42270
SHIBATA (1981) CRITERION =
0.37148
SCHWARZ (1978) CRITERION - SC =
0.64713
AKAIKE (1974) INFORMATION CRITERION - AIC =
0.39029
|_GRAPH HSE HSMTH/TIME LINEONLY
REQUIRED MEMORY IS PAR=
11 CURRENT PAR=
135 OBSERVATIONS
SHAZAM WILL NOW MAKE A PLOT FOR YOU
NO SYMBOLS WILL BE PLOTTED, LINE ONLY
..COMPLETED..

22480