Scribd Logo
Upload

Welcome to Scribd!

  • Variabel: Indeks - Saham & Volume

    Uploaded by

    Infan Nur Kharismawan
    11 views1 page
    The document presents equations for VAR and SVAR models analyzing the relationship between stock index (Indeks_Saham) and trading volume (Volume) variables. The VAR model equations show the influence of lagged values of each variable on the other. The SVAR model equations are similar but with smaller coefficient values, indicating the relationship between the variables is better captured through a structural vector autoregressive model.

    Original Description:

    ngngc

    Original Title

    Persamaan Model

    Copyright

    © © All Rights Reserved

    Available Formats

    DOCX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The document presents equations for VAR and SVAR models analyzing the relationship between stock index (Indeks_Saham) and trading volume (Volume) variables. The VAR model equations show the influence of lagged values of each variable on the other. The SVAR model equations are similar but with smaller coefficient values, indicating the relationship between the variables is better captured through a structural vector autoregressive model.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    11 views1 page

    Variabel: Indeks - Saham & Volume

    Uploaded by

    Infan Nur Kharismawan
    The document presents equations for VAR and SVAR models analyzing the relationship between stock index (Indeks_Saham) and trading volume (Volume) variables. The VAR model equations show the influence of lagged values of each variable on the other. The SVAR model equations are similar but with smaller coefficient values, indicating the relationship between the variables is better captured through a structural vector autoregressive model.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Variabel: Indeks_Saham & Volume

    Persamaan VAR

    d(volume) = - 0.671307708908 * d(volume(-1)) - 0.684209641008 * d(volume(-2)) -


    0.652124645079 * d(volume(-3)) - 0.633419858703 * d(volume(-4)) - 0.486998919636 *
    d(volume(-5)) - 0.344406328573 * d(volume(-6)) - 0.360719534731 * d(volume(-7)) -
    0.23757966425 * d(volume(-8)) + 0.45855876159 * d(indeks_saham(-1)) - 0.00111715849201
    * d(indeks_saham(-2)) - 0.110348918329 * d(indeks_saham(-3)) - 0.487198318787 *
    d(indeks_saham(-4)) - 0.260487417166 * d(indeks_saham(-5)) + 0.228946383291 *
    d(indeks_saham(-6)) - 0.454857752481 * d(indeks_saham(-7)) - 0.624026635734 *
    d(indeks_saham(-8)) + 7.00953617363

    d(indeks_saham) = 0.0336449136682 * d(volume(-1)) + 0.0616663403318 * d(volume(-2)) +


    0.0789327520333 * d(volume(-3)) + 0.0583487636632 * d(volume(-4)) + 0.0522536308392 *
    d(volume(-5)) + 0.0420916551407 * d(volume(-6)) - 0.0172615705771 * d(volume(-7)) -
    0.0171012439191 * d(volume(-8)) - 0.0681543971778 * d(indeks_saham(-1)) - 0.00295310390941 *
    d(indeks_saham(-2)) - 0.0291758120683 * d(indeks_saham(-3)) + 0.0925997842631 *
    d(indeks_saham(-4)) - 0.0576378891687 * d(indeks_saham(-5)) + 0.0155154008139 *
    d(indeks_saham(-6)) + 0.0647478938134 * d(indeks_saham(-7)) - 0.091707899346 *
    d(indeks_saham(-8)) - 0.248813926699

    Persamaan SVAR

    d(volume) = - 0.671307708908 * d(volume(-1)) - 0.684209641008 * d(volume(-2)) -


    0.652124645079 * d(volume(-3)) - 0.633419858703 * d(volume(-4)) - 0.486998919636 *
    d(volume(-5)) - 0.344406328573 * d(volume(-6)) - 0.360719534731 * d(volume(-7)) -
    0.23757966425 * d(volume(-8)) + 0.45855876159 * d(indeks_saham(-1)) - 0.00111715849201
    * d(indeks_saham(-2)) - 0.110348918329 * d(indeks_saham(-3)) - 0.487198318787 *
    d(indeks_saham(-4)) - 0.260487417166 * d(indeks_saham(-5)) + 0.228946383291 *
    d(indeks_saham(-6)) - 0.454857752481 * d(indeks_saham(-7)) - 0.624026635734 *
    d(indeks_saham(-8)) + 7.00953617363

    D(INDEKS_SAHAM) = 0.01870697 * D(VOLUME(-1)) + 0.04644131 * D(VOLUME(-2)) +


    0.06442167 * D(VOLUME(-3)) + 0.0442539 * D(VOLUME(-4)) + 0.04141693 * D(VOLUME(-5)) +
    0.03442793 * D(VOLUME(-6)) - 0.0252883 * D(VOLUME(-7)) - 0.0223879 * D(VOLUME(-8)) -
    0.05795055 * D(INDEKS_SAHAM(-1)) - 0.00297796 * D(INDEKS_SAHAM(-2)) - 0.031631294 *
    D(INDEKS_SAHAM(-3)) + 0.081758643 * D(INDEKS_SAHAM(-4)) - 0.063434256 *
    D(INDEKS_SAHAM(-5)) + 0.020609915 * D(INDEKS_SAHAM(-6)) + 0.054626395 *
    D(INDEKS_SAHAM(-7)) - 0.105593741 * D(INDEKS_SAHAM(-8)) - 0.092837731

    You might also like