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ARIMA

ARIMA. IHSG 9 JUL 07 S/D 6 JUL 09. K HOLIS B UDIONO (0806484300) D ELTADI R ACHMAN N URWIJAYANTO (0806 484111) I MAM S UDRAJAT (0806484162). Data IHSG BEJ (close). Correlogram & Unit Root Test. Heteroscedasticity Test. IHSG=c+IHSG(-1). ARIMA (3,1,3). ARIMA (3,1,3) without C.

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ARIMA

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  1. ARIMA IHSG 9 JUL 07 S/D 6 JUL 09 KHOLIS BUDIONO (0806484300) DELTADI RACHMAN NURWIJAYANTO (0806484111) IMAM SUDRAJAT (0806484162) UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  2. Data IHSG BEJ (close) UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  3. Correlogram & Unit Root Test UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  4. Heteroscedasticity Test IHSG=c+IHSG(-1) UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  5. ARIMA (3,1,3) ARIMA (3,1,3) without C UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  6. ARIMA (2,1,2) ARIMA (2,1,1) UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  7. ARIMA (2,1,1) Y(t) – Y(t-1) = b1{Y(t-1) – Y(t-2)} + b2 {Y(t-2)-Y(t-3)} + d1 {E(t-1) – E(t-2) Dengan b1=AR(1)=-0.766, b2=AR(2)=0.142, d1=MA(1)=0.891 Y(t) = -0.766 Y(t-1) + 0.766 Y(t-2) + 0.142 Y(t-2) – 0.142 Y(t-3) + 0.891(-40.256-7.235) + Y(t-1) UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  8. ARCH, GARCH DOWJONE 9 JUL 07 S/D 6 JUL 09 KHOLIS BUDIONO (0806484300) DELTADI RACHMAN NURWIJAYANTO (0806484111) IMAM SUDRAJAT (0806484162) UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  9. Correlogram & Unit Root Test Differencing Ordo 1 UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  10. Heteroscedacity Test DJON C DJON(-1) UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  11. GARCH (1,1) DJON C DJON(-1) Y(t) = C + b1 Y(t-1)  DJON(t) = 14.526 + 0.996 DJON(t-1) dengan 2(t) = 132.27 + 0.073 e2(t-1) + 0.896 2(t-1) R2 = 99.10% dan Akaike = 11.162 Lebih baik UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  12. GARCH (1,1) with STDEV DJON C DJON(-1) Y(t) = C + b1 Y(t-1)  DJON(t) = 13.96 + 0.996 DJON(t-1) + 0.007 (t) dengan 2(t) = 125.74 + 0.072 e2(t-1) + 0.898 2(t-1) R2 = 99.10% dan Akaike = 11.167 UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

  13. ALHAMDULILLAH UNIVERSITAS INDONESIA PROGRAM STUDI TIMUR TENGAH & ISLAM

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