NAMA : Hafizd Achmad H

NIM : 1910115075
MATKUL : Ekonometrika 2
UCP3

ARCH-GARCH
HASIL ARMA-ARIMA yang sudah Whitenoist
Output Estimate MA(1)
Dependent Variable: RBBNI
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 05/21/22 Time: 17:56
Sample: 1 909
Included observations: 909
Convergence achieved after 23 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.  

MA(1) 0.062562 0.020459 3.057839 0.0023

SIGMASQ 5.892709 0.158186 37.25172 0.0000

R-squared 0.003557    Mean dependent var -0.034227

Adjusted R-squared 0.002459    S.D. dependent var 2.433158
S.E. of regression 2.430165    Akaike info criterion 4.615998
Sum squared resid 5356.472    Schwarz criterion 4.626586
Log likelihood -2095.971    Hannan-Quinn criter. 4.620040
Durbin-Watson stat 2.001480

Inverted MA Roots      -.06

Cek White Noise

Date: 05/21/22 Time: 17:59
Sample: 1 909
Q-statistic probabilities adjusted for 1 ARMA term

Autocorrelation Partial Correlation AC   PAC  Q-Stat  Prob

       .| |        .| | 1 -0.001 -0.001 0.0016

       .| |        .| | 2 -0.018 -0.018 0.2814 0.596
       .| |        .| | 3 0.031 0.031 1.1754 0.556
       .| |        .| | 4 -0.004 -0.004 1.1914 0.755
       .| |        .| | 5 0.035 0.036 2.3322 0.675
       .| |        .| | 6 0.051 0.050 4.7191 0.451
       .| |        .| | 7 -0.006 -0.004 4.7525 0.576
       .| |        .| | 8 0.004 0.004 4.7704 0.688
       .| |        .| | 9 -0.020 -0.023 5.1266 0.744
       .| |        .| | 10 0.006 0.005 5.1568 0.820
       .| |        .| | 11 0.003 -0.001 5.1669 0.880
       .| |        .| | 12 -0.001 -0.001 5.1672 0.923
       .| |        .| | 13 -0.041 -0.041 6.7065 0.876
       .| |        .| | 14 0.002 0.003 6.7100 0.916
       .| |        .| | 15 -0.020 -0.020 7.0978 0.931
       .| |        .| | 16 0.039 0.041 8.4777 0.903
       .| |        .| | 17 -0.044 -0.045 10.283 0.851
       .| |        .| | 18 -0.011 -0.006 10.395 0.886
       .| |        .| | 19 -0.058 -0.059 13.554 0.758
       .| |        .| | 20 -0.047 -0.044 15.618 0.683
       .| |        .| | 21 0.062 0.060 19.197 0.509
       .| |        .| | 22 0.017 0.017 19.478 0.554
       .| |        .| | 23 0.012 0.024 19.623 0.607
       .| |        .| | 24 -0.038 -0.040 21.002 0.581
       .| |        .| | 25 -0.053 -0.043 23.674 0.480
       .| |        .| | 26 -0.009 -0.017 23.755 0.534
       .| |        .| | 27 0.011 0.006 23.868 0.584
       .| |        .| | 28 -0.029 -0.032 24.635 0.595
       .| |        .| | 29 0.025 0.029 25.235 0.615
       .| |        .| | 30 0.032 0.037 26.207 0.614
       .| |        .| | 31 -0.048 -0.039 28.397 0.549
       .| |        .| | 32 -0.008 -0.016 28.455 0.598
       .| |        .| | 33 -0.010 -0.015 28.546 0.642
       .| |        .| | 34 0.056 0.063 31.567 0.538
       .| |        .| | 35 0.062 0.062 35.225 0.410
       .| |        .| | 36 0.051 0.059 37.648 0.349

Hipotesis: dikatakan signifikan apabila prob > alfa (5%) 🡪 Model sudah white noise
Kesimpulan: dari hasil diatas, dapat disimpulkan bahwa prob secara keseluruhan menunjukan
angka yang lebih besar dari alfa sebesar (5%). Maka, data tersebut telah signifikan atau model
sudah white noise.

CEK MASALAH HETEROKEDASTISITAS

view - residual diagnostic- correlogram squared residual

Date: 05/22/22 Time: 19:44

Sample: 1 909
Included observations: 909
Autocorrelation Partial Correlation AC   PAC  Q-Stat  Prob

       .|** |        .|** | 1 0.274 0.274 68.569 0.000

       .|** |        .|* | 2 0.231 0.169 117.35 0.000
       .|** |        .|* | 3 0.230 0.146 165.70 0.000
       .|* |        .|* | 4 0.184 0.075 196.71 0.000
       .|* |        .| | 5 0.172 0.065 223.73 0.000
       .|** |        .|* | 6 0.273 0.182 291.89 0.000
       .|* |        .| | 7 0.166 0.018 317.26 0.000
       .|* |        .| | 8 0.117 -0.021 329.88 0.000
       .|* |        .|* | 9 0.189 0.083 362.76 0.000
       .|* |        .| | 10 0.144 0.023 381.76 0.000
       .|* |        .| | 11 0.111 -0.005 393.14 0.000
       .|** |        .|* | 12 0.235 0.133 444.10 0.000
       .|* |        .| | 13 0.174 0.044 471.94 0.000
       .| |        .| | 14 0.071 -0.065 476.67 0.000
       .| |        .| | 15 0.071 -0.060 481.40 0.000
       .| |        .| | 16 0.045 -0.049 483.26 0.000
       .| |        .| | 17 0.042 -0.011 484.91 0.000
       .| |        .| | 18 0.047 -0.047 486.98 0.000
       .| |        .| | 19 0.054 -0.008 489.65 0.000
       .| |        .| | 20 0.036 0.020 490.86 0.000
       .|* |        .| | 21 0.088 0.059 498.04 0.000
       .| |        .| | 22 0.027 -0.035 498.69 0.000
       .| |        .| | 23 0.051 0.029 501.08 0.000
       .|* |        .|* | 24 0.106 0.075 511.53 0.000
       .|* |        .| | 25 0.082 0.018 517.79 0.000
       .| |        .| | 26 0.031 -0.026 518.70 0.000
       .| |        .| | 27 0.044 0.005 520.54 0.000
       .| |        .| | 28 -0.011 -0.037 520.66 0.000
       .| |        .| | 29 0.010 -0.006 520.75 0.000
       .| |        .| | 30 0.054 0.022 523.51 0.000
       .| |        .| | 31 0.015 -0.016 523.72 0.000
       .| |        .| | 32 0.023 0.009 524.21 0.000
       .|* |        .| | 33 0.095 0.060 532.76 0.000
       .| |        .| | 34 0.034 -0.007 533.88 0.000
       .| |        .| | 35 0.017 -0.014 534.16 0.000
       .|* |        .| | 36 0.096 0.050 542.90 0.000

Keterangan: dari data diatas correlogram, dapat dilihat bahwa nilai prob dibawah 5%, hal ini
maka dicoba apakah ada permasalahan dalam uji hetero

Heteroskedasticity Test: ARCH

F-statistic 73.66724    Prob. F(1,906) 0.0000

Obs*R-squared 68.27813    Prob. Chi-Square(1) 0.0000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 05/22/22 Time: 20:12
Sample (adjusted): 2 909
Included observations: 908 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

C 4.280666 0.503677 8.498835 0.0000

RESID^2(-1) 0.274213 0.031949 8.582962 0.0000
R-squared 0.075196    Mean dependent var 5.897449
Adjusted R-squared 0.074175    S.D. dependent var 14.62893
S.E. of regression 14.07592    Akaike info criterion 8.129009
Sum squared resid 179507.3    Schwarz criterion 8.139606
Log likelihood -3688.570    Hannan-Quinn criter. 8.133055
F-statistic 73.66724    Durbin-Watson stat 2.091822
Prob(F-statistic) 0.000000

Keterangan: Dari hasil ini dapat dilihat bahwa nilai Resid(-1)^2 signifikan, hal ini dapat
dilihat dari nilai Probabilitas yang mana nilainya sebesar 0.0000. Artinya lebih kecil dari alpha
0.05 (0.05 < 0.000). Hasil ini mengindikasikan model ARCH.

1. ARCH
Dependent Variable: RBBNI
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 20:47
Sample: 1 909
Included observations: 909
Failure to improve likelihood (non-zero gradients) after 67 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2

Variable Coefficient Std. Error z-Statistic Prob.  

MA(1) -0.076750 0.030525 -2.514325 0.0119

Variance Equation

C 3.803741 0.171441 22.18682 0.0000

RESID(-1)^2 0.396014 0.046614 8.495506 0.0000

R-squared -0.015237    Mean dependent var -0.034227

Adjusted R-squared -0.015237    S.D. dependent var 2.433158
S.E. of regression 2.451625    Akaike info criterion 4.501484
Sum squared resid 5457.501    Schwarz criterion 4.517366
Log likelihood -2042.924    Hannan-Quinn criter. 4.507548
Durbin-Watson stat 1.729415

Inverted MA Roots       .08

Keterangan: Dari hasil ini dapat dilihat bahwa nilai Resid(-1)^2 signifikan, hal ini dapat dilihat
dari nilai Probabilitas yang mana nilainya sebesar 0.000. Artinya lebih kecil dari alpha 0.05 (0.05
< 0.000). Hasil ini mengindikasikan model ARCH.

ARCH-M (STD.DEV)
Dependent Variable: RBBNI
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 20:55
Sample: 1 909
Included observations: 909
Convergence achieved after 61 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2

Variable Coefficient Std. Error z-Statistic Prob.  

@SQRT(GARCH) -0.025201 0.025850 -0.974912 0.3296

MA(1) -0.080516 0.030838 -2.610925 0.0090

Variance Equation

C 3.826251 0.171559 22.30284 0.0000

RESID(-1)^2 0.379629 0.044504 8.530281 0.0000

R-squared -0.016370    Mean dependent var -0.034227

Adjusted R-squared -0.017490    S.D. dependent var 2.433158
S.E. of regression 2.454344    Akaike info criterion 4.503067
Sum squared resid 5463.591    Schwarz criterion 4.524244
Log likelihood -2042.644    Hannan-Quinn criter. 4.511153
Durbin-Watson stat 1.721006

Inverted MA Roots       .08

Keterangan: Dari hasil ini dapat dilihat bahwa nilai Resid(-1)^2 signifikan, hal ini dapat dilihat
dari nilai Probabilitas yang mana nilainya sebesar 0.000. Artinya lebih kecil dari alpha 0.05 (0.05
< 0.000). Hasil ini mengindikasikan model ARCH.

ARCH-M : VAR
Dependent Variable: RBBNI
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 20:57
Sample: 1 909
Included observations: 909
Convergence achieved after 43 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2

Variable Coefficient Std. Error z-Statistic Prob.  

GARCH -0.018105 0.008233 -2.199104 0.0279

MA(1) -0.071326 0.033963 -2.100096 0.0357

Variance Equation

C 3.754172 0.167010 22.47877 0.0000

RESID(-1)^2 0.402975 0.045560 8.844863 0.0000

R-squared -0.017983    Mean dependent var -0.034227

Adjusted R-squared -0.019106    S.D. dependent var 2.433158
S.E. of regression 2.456292    Akaike info criterion 4.500979
Sum squared resid 5472.266    Schwarz criterion 4.522156
Log likelihood -2041.695    Hannan-Quinn criter. 4.509065
Durbin-Watson stat 1.724475

Inverted MA Roots       .07

Keterangan: Dari hasil ini dapat dilihat bahwa nilai Resid(-1)^2 signifikan, hal ini dapat dilihat
dari nilai Probabilitas yang mana nilainya sebesar 0.000. Artinya lebih kecil dari alpha 0.05 (0.05
< 0.000). Hasil ini mengindikasikan model ARCH.

ARCH-M : LOG(VAR)
Dependent Variable: RBBNI
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 20:57
Sample: 1 909
Included observations: 909
Convergence achieved after 64 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2
 Variable Coefficient Std. Error z-Statistic Prob.  

LOG(GARCH) -0.028598 0.037706 -0.758454 0.4482

MA(1) -0.079447 0.030732 -2.585152 0.0097

Variance Equation

C 3.839381 0.172271 22.28693 0.0000

RESID(-1)^2 0.375385 0.044315 8.470776 0.0000

R-squared -0.015959    Mean dependent var -0.034227

Adjusted R-squared -0.017080    S.D. dependent var 2.433158
S.E. of regression 2.453849    Akaike info criterion 4.503344
Sum squared resid 5461.386    Schwarz criterion 4.524520
Log likelihood -2042.770    Hannan-Quinn criter. 4.511429
Durbin-Watson stat 1.723821

Inverted MA Roots       .08

Keterangan: Dari hasil ini dapat dilihat bahwa nilai Resid(-1)^2 signifikan, hal ini dapat dilihat
dari nilai Probabilitas yang mana nilainya sebesar 0.000. Artinya lebih kecil dari alpha 0.05 (0.05
< 0.000). Hasil ini mengindikasikan model ARCH.

2. GARCH
Dependent Variable: RBBNI
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 21:03
Sample: 1 909
Included observations: 909
Failure to improve likelihood (non-zero gradients) after 1 iteration
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.  

MA(1) 0.005584 0.046835 0.119225 0.9051

Variance Equation

C 3.844696 3.425769 1.122287 0.2617

RESID(-1)^2 0.039203 0.029253 1.340169 0.1802
 GARCH(-1) 0.594506 0.350314 1.697069 0.0897

R-squared 0.000443    Mean dependent var -0.034227

Adjusted R-squared 0.000443    S.D. dependent var 2.433158
S.E. of regression 2.432620    Akaike info criterion 4.705027
Sum squared resid 5373.215    Schwarz criterion 4.726203
Log likelihood -2134.435    Hannan-Quinn criter. 4.713112
Durbin-Watson stat 1.889949

Inverted MA Roots      -.01

GARCH M – STD. DEV

Dependent Variable: RBBNI
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 21:04
Sample: 1 909
Included observations: 909
Convergence achieved after 47 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
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.  

@SQRT(GARCH) 0.013766 0.031352 0.439075 0.6606

MA(1) 0.002528 0.035969 0.070279 0.9440

Variance Equation

C 0.120196 0.038523 3.120106 0.0018

RESID(-1)^2 0.091201 0.012612 7.231168 0.0000
GARCH(-1) 0.890436 0.013135 67.79166 0.0000

R-squared -0.000471    Mean dependent var -0.034227

Adjusted R-squared -0.001574    S.D. dependent var 2.433158
S.E. of regression 2.435072    Akaike info criterion 4.412922
Sum squared resid 5378.124    Schwarz criterion 4.439393
Log likelihood -2000.673    Hannan-Quinn criter. 4.423029
Durbin-Watson stat 1.883096

Inverted MA Roots      -.00

Keterangan: Dari hasil ini dapat dilihat bahwa nilai Resid(-1)^2 signifikan, hal ini dapat dilihat
dari nilai Probabilitas yang mana nilainya sebesar 0.000. Artinya lebih kecil dari alpha 0.05 (0.05
< 0.000). Hasil ini mengindikasikan model ARCH.

GARCH M – VAR
Dependent Variable: RBBNI
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 21:04
Sample: 1 909
Included observations: 909
Convergence achieved after 46 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
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.  

GARCH 0.006906 0.012878 0.536218 0.5918

MA(1) 0.002686 0.036205 0.074180 0.9409

Variance Equation

C 0.120116 0.038311 3.135261 0.0017

RESID(-1)^2 0.091004 0.012595 7.225136 0.0000
GARCH(-1) 0.890611 0.013051 68.24291 0.0000

R-squared -0.000934    Mean dependent var -0.034227

Adjusted R-squared -0.002037    S.D. dependent var 2.433158
S.E. of regression 2.435635    Akaike info criterion 4.412809
Sum squared resid 5380.614    Schwarz criterion 4.439280
Log likelihood -2000.622    Hannan-Quinn criter. 4.422916
Durbin-Watson stat 1.883160

Inverted MA Roots      -.00

Keterangan: Dari hasil ini dapat dilihat bahwa nilai Resid(-1)^2 signifikan, hal ini dapat dilihat
dari nilai Probabilitas yang mana nilainya sebesar 0.000. Artinya lebih kecil dari alpha 0.05 (0.05
< 0.000). Hasil ini mengindikasikan model ARCH.

GARCH-M : LOG(VAR)
Dependent Variable: RBBNI
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 21:05
Sample: 1 909
Included observations: 909
Convergence achieved after 46 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
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.  

LOG(GARCH) 0.021700 0.046203 0.469669 0.6386

MA(1) 0.002543 0.035972 0.070702 0.9436

Variance Equation

C 0.120106 0.038414 3.126597 0.0018

RESID(-1)^2 0.091062 0.012582 7.237207 0.0000
GARCH(-1) 0.890560 0.013103 67.96370 0.0000

R-squared -0.000492    Mean dependent var -0.034227

Adjusted R-squared -0.001595    S.D. dependent var 2.433158
S.E. of regression 2.435098    Akaike info criterion 4.412895
Sum squared resid 5378.242    Schwarz criterion 4.439366
Log likelihood -2000.661    Hannan-Quinn criter. 4.423002
Durbin-Watson stat 1.883010

Inverted MA Roots      -.00

Keterangan: Dari hasil ini dapat dilihat bahwa nilai Resid(-1)^2 signifikan, hal ini dapat dilihat
dari nilai Probabilitas yang mana nilainya sebesar 0.000. Artinya lebih kecil dari alpha 0.05 (0.05
< 0.000). Hasil ini mengindikasikan model ARCH.

CEK MASALAH HETERO

Heteroskedasticity Test: ARCH

F-statistic 0.862632    Prob. F(1,906) 0.3533

Obs*R-squared 0.863714    Prob. Chi-Square(1) 0.3527

Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 05/22/22 Time: 21:06
Sample (adjusted): 2 909
Included observations: 908 after adjustments
 Variable Coefficient Std. Error t-Statistic Prob.  

C 0.964796 0.070481 13.68878 0.0000

WGT_RESID^2(-1) 0.030840 0.033205 0.928780 0.3533

R-squared 0.000951    Mean dependent var 0.995487

Adjusted R-squared -0.000151    S.D. dependent var 1.875779
S.E. of regression 1.875921    Akaike info criterion 4.098277
Sum squared resid 3188.286    Schwarz criterion 4.108874
Log likelihood -1858.618    Hannan-Quinn criter. 4.102323
F-statistic 0.862632    Durbin-Watson stat 1.997278
Prob(F-statistic) 0.353251

Tidak ada masalah hetero

EGARCH

Dependent Variable: RBBNI

Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 05/22/22 Time: 21:43
Sample: 1 909
Included observations: 909
Convergence achieved after 78 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 0
Presample variance: backcast (parameter = 0.7)
LOG(GARCH) = C(2) + C(3)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(4)
        *RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1))

Variable Coefficient Std. Error z-Statistic Prob.  

MA(1) 0.020346 0.033806 0.601832 0.5473

Variance Equation

C(2) -0.058325 0.013373 -4.361521 0.0000

C(3) 0.095882 0.016697 5.742490 0.0000
C(4) -0.067372 0.009084 -7.416318 0.0000
C(5) 0.991550 0.002602 381.1420 0.0000

R-squared 0.001847    Mean dependent var -0.034227

Adjusted R-squared 0.001847    S.D. dependent var 2.433158
S.E. of regression 2.430910    Akaike info criterion 4.390109
Sum squared resid 5365.666    Schwarz criterion 4.416580
Log likelihood -1990.305    Hannan-Quinn criter. 4.400216
Durbin-Watson stat 1.918810
Inverted MA Roots      -.02