harga/kg

140,000

120,000

100,000

80,000

60,000

40,000

20,000

0
I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV
2012 2013 2014 2015 2016 2017

Berdasarkan plot tersebut terlihat bahwa data Harga sudah stasioner karena tidak ada pola naik dan
menurun

Date: 01/01/19 Time: 08:26

Sample: 2012M01 2017M12
Included observations: 72

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |***** | . |***** | 1 0.743 0.743 41.476 0.000

. |*** | **| . | 2 0.399 -0.343 53.613 0.000
. |*. | . |*. | 3 0.182 0.097 56.171 0.000
.|. | .*| . | 4 0.036 -0.124 56.272 0.000
.*| . | .*| . | 5 -0.085 -0.079 56.849 0.000
.*| . | .|. | 6 -0.124 0.059 58.095 0.000
.*| . | .|. | 7 -0.106 -0.024 59.016 0.000
.*| . | .|. | 8 -0.081 -0.009 59.567 0.000
.*| . | .*| . | 9 -0.094 -0.093 60.310 0.000
.*| . | .|. | 10 -0.083 0.053 60.908 0.000
.|. | .|. | 11 -0.040 0.015 61.050 0.000
.|. | .|. | 12 -0.025 -0.056 61.104 0.000
.*| . | .*| . | 13 -0.069 -0.095 61.531 0.000
.*| . | .|. | 14 -0.077 0.061 62.077 0.000
.*| . | .*| . | 15 -0.072 -0.075 62.560 0.000
.|. | . |*. | 16 0.001 0.211 62.561 0.000
. |*. | .|. | 17 0.074 -0.049 63.093 0.000
.|. | .*| . | 18 0.051 -0.148 63.351 0.000
.|. | .|. | 19 -0.025 -0.037 63.415 0.000
.*| . | .|. | 20 -0.075 -0.024 63.990 0.000
.*| . | .|. | 21 -0.087 0.050 64.787 0.000
.|. | .|. | 22 -0.049 0.073 65.044 0.000
 .|. | .|. | 23 0.005 -0.008 65.046 0.000
. |*. | . |*. | 24 0.086 0.105 65.860 0.000
. |*. | .|. | 25 0.165 0.058 68.951 0.000
. |*. | .|. | 26 0.172 -0.050 72.386 0.000
. |*. | .*| . | 27 0.079 -0.123 73.123 0.000
.|. | .|. | 28 0.009 0.004 73.133 0.000
.|. | .|. | 29 -0.029 0.007 73.240 0.000
.*| . | .*| . | 30 -0.109 -0.119 74.755 0.000
.*| . | . |*. | 31 -0.154 0.101 77.835 0.000
.*| . | .*| . | 32 -0.147 -0.076 80.695 0.000

pada autocorelation function hanya terdapat dua lag yang keluar, data tidak stasioner terhadap rata-
rata ketika terdapat 5 lag yang keluar dari batas. Sehingga dengan hal tersebut data sudah stasioner
terhadap rata-rata dan tidak perlu dilakukan difrensi.

Unit root test

Statistik uji

H0: data harga tidak stasioner

H1: data harga stasioner

Null Hypothesis: HARGA_KG has a unit root

Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=11)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.210215 0.0013

Test critical values: 1% level -3.527045
5% level -2.903566
10% level -2.589227

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(HARGA_KG)
Method: Least Squares
Date: 01/01/19 Time: 08:32
Sample (adjusted): 2012M03 2017M12
Included observations: 70 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

HARGA_KG(-1) -0.343888 0.081679 -4.210215 0.0001

D(HARGA_KG(-1)) 0.343024 0.114576 2.993842 0.0039
C 10898.43 3197.511 3.408411 0.0011

R-squared 0.232515 Mean dependent var 122.3214

Adjusted R-squared 0.209605 S.D. dependent var 18015.02
S.E. of regression 16016.11 Akaike info criterion 22.24249
Sum squared resid 1.72E+10 Schwarz criterion 22.33885
Log likelihood -775.4871 Hannan-Quinn criter. 22.28077
F-statistic 10.14906 Durbin-Watson stat 1.930278
Prob(F-statistic) 0.000141

berdasarkan output nilai prob lebih kecil dari 0.05 sehingga tolak H0 dapat disimpukan bahwa data
harga stasioner dan tidak perlu dilakukan difrensiasi.

2.Pemilihan model terbaik

Date: 01/01/19 Time: 08:38

Sample: 2012M01 2017M12
Included observations: 72

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |***** | . |***** | 1 0.743 0.743 41.476 0.000

. |*** | **| . | 2 0.399 -0.343 53.613 0.000
. |*. | . |*. | 3 0.182 0.097 56.171 0.000
.|. | .*| . | 4 0.036 -0.124 56.272 0.000
.*| . | .*| . | 5 -0.085 -0.079 56.849 0.000
.*| . | .|. | 6 -0.124 0.059 58.095 0.000
.*| . | .|. | 7 -0.106 -0.024 59.016 0.000
.*| . | .|. | 8 -0.081 -0.009 59.567 0.000
.*| . | .*| . | 9 -0.094 -0.093 60.310 0.000
.*| . | .|. | 10 -0.083 0.053 60.908 0.000
.|. | .|. | 11 -0.040 0.015 61.050 0.000
.|. | .|. | 12 -0.025 -0.056 61.104 0.000
.*| . | .*| . | 13 -0.069 -0.095 61.531 0.000
.*| . | .|. | 14 -0.077 0.061 62.077 0.000
.*| . | .*| . | 15 -0.072 -0.075 62.560 0.000
.|. | . |*. | 16 0.001 0.211 62.561 0.000
. |*. | .|. | 17 0.074 -0.049 63.093 0.000
.|. | .*| . | 18 0.051 -0.148 63.351 0.000
.|. | .|. | 19 -0.025 -0.037 63.415 0.000
.*| . | .|. | 20 -0.075 -0.024 63.990 0.000
.*| . | .|. | 21 -0.087 0.050 64.787 0.000
.|. | .|. | 22 -0.049 0.073 65.044 0.000
.|. | .|. | 23 0.005 -0.008 65.046 0.000
. |*. | . |*. | 24 0.086 0.105 65.860 0.000
. |*. | .|. | 25 0.165 0.058 68.951 0.000
. |*. | .|. | 26 0.172 -0.050 72.386 0.000
. |*. | .*| . | 27 0.079 -0.123 73.123 0.000
.|. | .|. | 28 0.009 0.004 73.133 0.000
.|. | .|. | 29 -0.029 0.007 73.240 0.000
.*| . | .*| . | 30 -0.109 -0.119 74.755 0.000
.*| . | . |*. | 31 -0.154 0.101 77.835 0.000
.*| . | .*| . | 32 -0.147 -0.076 80.695 0.000

dari Partial Corelation Function dan Auto Corelation Function tersebut dapat diketahui

a. Pada autocorelation, terdapat 2 lag yang keluar jadi q=2 dengan ACF sama dengan model MA(q)
 b. Pada Partial Auto Corelation Function, terdapat 2 lag yang keluar jadi p=2 dengan PCF sama
dengan model AR(p)

Berdasrkan hasil tersebut di dapatkan kemungkinan model tentatif ARMA (p,q) adalah (1,1) (1,0)
(0,1) (2,2) (2.,1) (1,2)

 ARMA (1,1)

Dependent Variable: HARGA_KG

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 01/01/19 Time: 08:52
Sample: 2012M01 2017M12
Included observations: 72
Convergence achieved after 12 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 30509.56 7786.799 3.918114 0.0002

AR(1) 0.571908 0.128464 4.451888 0.0000
MA(1) 0.445062 0.121136 3.674066 0.0005
SIGMASQ 2.38E+08 34733984 6.858567 0.0000

R-squared 0.613506 Mean dependent var 31005.52

Adjusted R-squared 0.596455 S.D. dependent var 25001.14
S.E. of regression 15882.02 Akaike info criterion 22.25258
Sum squared resid 1.72E+10 Schwarz criterion 22.37906
Log likelihood -797.0930 Hannan-Quinn criter. 22.30294
F-statistic 35.98025 Durbin-Watson stat 1.938081
Prob(F-statistic) 0.000000

Inverted AR Roots .57

Inverted MA Roots -.45

Pada model ARMA (1,1) dapat dilihat bahwa nilai prob dari AR(1)lebih kecil dari 0.05 sehingga AR(1)
signifikan dan MA(1) prob lebih kecil dari 0.05 9signifikan) dapat disimpulkan bahwa model ARMA sesuai dengan
data harga.

Date: 01/01/19 Time: 09:00

Sample: 2012M01 2017M12
Included observations: 72
Q-statistic probabilities adjusted for 2 ARMA terms

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

.|. | .|. | 1 0.027 0.027 0.0566

.|. | .|. | 2 0.005 0.004 0.0583
.|. | .|. | 3 -0.029 -0.029 0.1227 0.726
.|. | .|. | 4 0.038 0.039 0.2341 0.890
.*| . | .*| . | 5 -0.125 -0.127 1.4701 0.689
.|. | .|. | 6 -0.061 -0.056 1.7713 0.778
.|. | .|. | 7 -0.043 -0.037 1.9208 0.860
.|. | .|. | 8 0.047 0.042 2.1069 0.910
 .|. | .|. | 9 -0.062 -0.059 2.4310 0.932
.|. | .|. | 10 -0.051 -0.063 2.6547 0.954
.|. | .|. | 11 -0.021 -0.028 2.6950 0.975
. |*. | . |*. | 12 0.110 0.094 3.7633 0.957
.*| . | .*| . | 13 -0.136 -0.139 5.4242 0.909
.|. | .|. | 14 0.051 0.053 5.6656 0.932
.*| . | .*| . | 15 -0.134 -0.158 7.3440 0.884
.|. | .|. | 16 0.007 -0.012 7.3485 0.920
. |*. | . |*. | 17 0.113 0.156 8.5959 0.898
. |*. | .|. | 18 0.074 0.032 9.1424 0.907
.|. | .|. | 19 -0.055 -0.059 9.4488 0.925
.|. | .*| . | 20 -0.031 -0.081 9.5484 0.946
.*| . | .*| . | 21 -0.077 -0.083 10.163 0.949
.|. | .|. | 22 -0.006 0.018 10.166 0.965
.|. | .|. | 23 -0.033 0.005 10.285 0.975
.|. | .|. | 24 0.016 -0.009 10.312 0.983
. |*. | . |*. | 25 0.084 0.081 11.115 0.982
. |*. | . |*. | 26 0.183 0.135 15.001 0.921
.|. | .|. | 27 -0.040 0.012 15.188 0.937
.|. | .*| . | 28 -0.059 -0.112 15.605 0.945
. |*. | . |*. | 29 0.088 0.076 16.570 0.941
.*| . | .*| . | 30 -0.095 -0.123 17.726 0.933
.*| . | .|. | 31 -0.078 -0.022 18.523 0.933
.|. | .|. | 32 -0.028 0.042 18.628 0.947

berdasrkan output tersebut tidak terdapat satupun lag yang keluar dari batas sehingga dapt dismpulkan sisaan
ARMA (1,1) bersifat white nose dan layak digunakan sebagai peramalan.

 ARMA (1,0)

Dependent Variable: HARGA_KG

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 01/01/19 Time: 09:06
Sample: 2012M01 2017M12
Included observations: 72
Convergence achieved after 19 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 30055.36 9915.195 3.031242 0.0034

AR(1) 0.739807 0.065924 11.22207 0.0000
SIGMASQ 2.73E+08 37214140 7.329927 0.0000

R-squared 0.557450 Mean dependent var 31005.52

Adjusted R-squared 0.544623 S.D. dependent var 25001.14
S.E. of regression 16871.18 Akaike info criterion 22.35638
Sum squared resid 1.96E+10 Schwarz criterion 22.45124
Log likelihood -801.8298 Hannan-Quinn criter. 22.39415
F-statistic 43.45734 Durbin-Watson stat 1.476541
Prob(F-statistic) 0.000000

Inverted AR Roots .74

 Pada model ARMA (1,0) dapat dilihat bahwa nilai prob dari AR(1)lebih kecil dari 0.05 sehingga AR(1)
signifikan dapat disimpulkan bahwa model ARMA sesuai dengan data harga.

Date: 01/01/19 Time: 09:10

Sample: 2012M01 2017M12
Included observations: 72
Q-statistic probabilities adjusted for 1 ARMA term

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |** | . |** | 1 0.258 0.258 5.0009

.*| . | **| . | 2 -0.148 -0.230 6.6760 0.010
.*| . | .|. | 3 -0.090 0.019 7.2960 0.026
.|. | .|. | 4 -0.038 -0.056 7.4107 0.060
.*| . | .*| . | 5 -0.147 -0.155 9.1206 0.058
.*| . | .|. | 6 -0.117 -0.048 10.235 0.069
.|. | .|. | 7 -0.022 -0.036 10.273 0.114
.|. | .|. | 8 0.046 0.014 10.446 0.165
.|. | .*| . | 9 -0.044 -0.099 10.613 0.225
.*| . | .|. | 10 -0.072 -0.056 11.060 0.272
.|. | .|. | 11 0.021 0.012 11.098 0.350
. |*. | .|. | 12 0.080 0.026 11.665 0.389
.*| . | .*| . | 13 -0.073 -0.123 12.150 0.434
.|. | .|. | 14 -0.038 0.025 12.284 0.504
.*| . | **| . | 15 -0.127 -0.215 13.789 0.466
.|. | . |*. | 16 0.001 0.087 13.789 0.542
. |*. | . |*. | 17 0.170 0.120 16.575 0.414
. |*. | .|. | 18 0.106 -0.014 17.677 0.409
.|. | .|. | 19 -0.047 -0.055 17.904 0.462
.*| . | .*| . | 20 -0.078 -0.089 18.534 0.487
.*| . | .*| . | 21 -0.090 -0.072 19.370 0.498
.|. | .|. | 22 -0.044 0.008 19.575 0.548
.|. | .|. | 23 -0.040 -0.047 19.749 0.599
.|. | .|. | 24 0.016 -0.004 19.778 0.655
. |*. | . |*. | 25 0.148 0.110 22.276 0.563
. |*. | . |*. | 26 0.200 0.117 26.896 0.361
.|. | .|. | 27 -0.023 -0.041 26.960 0.411
.|. | .|. | 28 -0.056 -0.028 27.342 0.445
.|. | .|. | 29 0.054 0.062 27.705 0.480
.*| . | .*| . | 30 -0.082 -0.144 28.556 0.488
.*| . | .|. | 31 -0.109 0.054 30.101 0.461
.|. | .|. | 32 -0.051 -0.007 30.448 0.494

berdasrkan output tersebut tidak terdapat satupun lag yang keluar dari batas sehingga dapt dismpulkan
sisaan ARMA (1,0) bersifat white nose dan layak digunakan sebagai peramalan.
  ARMA (0,1)
Pada model ARMA (0,1) dapat dilihat bahwa nilai prob dari MA(1)lebih kecil dari 0.05 sehingga MA(1)
signifikan dapat disimpulkan bahwa model ARMA sesuai dengan data harga.

Dependent Variable: HARGA_KG

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 01/01/19 Time: 09:13
Sample: 2012M01 2017M12
Included observations: 72
Convergence achieved after 8 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 30841.48 5060.735 6.094268 0.0000

MA(1) 0.716032 0.071286 10.04448 0.0000
SIGMASQ 3.06E+08 46882440 6.522033 0.0000

R-squared 0.503925 Mean dependent var 31005.52

Adjusted R-squared 0.489546 S.D. dependent var 25001.14
S.E. of regression 17862.34 Akaike info criterion 22.46953
Sum squared resid 2.20E+10 Schwarz criterion 22.56440
Log likelihood -805.9032 Hannan-Quinn criter. 22.50730
F-statistic 35.04588 Durbin-Watson stat 1.288442
Prob(F-statistic) 0.000000

Inverted MA Roots -.72

Date: 01/01/19 Time: 09:16

Sample: 2012M01 2017M12
Included observations: 72
Q-statistic probabilities adjusted for 1 ARMA term

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |** | . |** | 1 0.350 0.350 9.2049

. |*** | . |** | 2 0.354 0.264 18.759 0.000
.|. | .*| . | 3 0.030 -0.188 18.829 0.000
. |*. | .|. | 4 0.101 0.060 19.630 0.000
.*| . | .*| . | 5 -0.140 -0.164 21.186 0.000
.|. | .|. | 6 -0.044 -0.003 21.345 0.001
.*| . | .|. | 7 -0.120 0.003 22.528 0.001
.|. | .|. | 8 -0.003 0.025 22.529 0.002
.*| . | .*| . | 9 -0.114 -0.083 23.619 0.003
.|. | .|. | 10 -0.033 -0.023 23.711 0.005
.*| . | .|. | 11 -0.080 -0.009 24.275 0.007
.|. | . |*. | 12 0.054 0.080 24.534 0.011
.*| . | .*| . | 13 -0.126 -0.159 25.962 0.011
.|. | .|. | 14 0.009 0.033 25.970 0.017
.*| . | .|. | 15 -0.115 -0.058 27.215 0.018
.|. | .|. | 16 0.035 0.039 27.333 0.026
.|. | . |*. | 17 0.045 0.158 27.529 0.036
 .|. | .*| . | 18 0.073 -0.082 28.054 0.044
.|. | .*| . | 19 -0.048 -0.119 28.289 0.058
.|. | .|. | 20 -0.033 -0.048 28.398 0.076
.*| . | .|. | 21 -0.091 -0.012 29.265 0.083
.|. | .|. | 22 -0.017 0.069 29.295 0.107
.|. | .|. | 23 -0.018 0.046 29.328 0.136
.|. | .|. | 24 0.068 0.013 29.847 0.154
. |*. | . |*. | 25 0.111 0.106 31.242 0.147
. |*. | .|. | 26 0.164 0.045 34.371 0.100
.|. | .|. | 27 0.037 -0.065 34.537 0.122
.|. | .*| . | 28 -0.013 -0.135 34.558 0.150
.|. | .|. | 29 0.011 0.071 34.574 0.183
.*| . | .*| . | 30 -0.103 -0.102 35.907 0.176
.*| . | .|. | 31 -0.105 -0.012 37.329 0.168
.*| . | .|. | 32 -0.106 0.046 38.813 0.158

berdasrkan output tersebut terdapat 2 lag yang keluar dari batas sehingga dapt dismpulkan sisaan ARMA
(0,1) tdk bersifat white nose dan tdk layak digunakan sebagai peramalan.

 ARMA (2,1)

Dependent Variable: HARGA_KG

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 01/01/19 Time: 09:18
Sample: 2012M01 2017M12
Included observations: 72
Convergence achieved after 18 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 30287.32 8034.056 3.769866 0.0003

AR(2) 0.431530 0.113086 3.815937 0.0003
MA(1) 0.807843 0.065076 12.41375 0.0000
SIGMASQ 2.60E+08 36842352 7.047500 0.0000

R-squared 0.578753 Mean dependent var 31005.52

Adjusted R-squared 0.560168 S.D. dependent var 25001.14
S.E. of regression 16580.71 Akaike info criterion 22.33504
Sum squared resid 1.87E+10 Schwarz criterion 22.46152
Log likelihood -800.0615 Hannan-Quinn criter. 22.38539
F-statistic 31.14182 Durbin-Watson stat 1.583869
Prob(F-statistic) 0.000000

Inverted AR Roots .66 -.66

Inverted MA Roots -.81

Pada model ARMA (0,1) dapat dilihat bahwa nilai prob dari MA(1)lebih kecil dari 0.05 sehingga AR(2)
signifikan dan MA(1)prob<0.05 dapat disimpulkan bahwa model ARMA sesuai dengan data harga.
Date: 01/01/19 Time: 09:23
Sample: 2012M01 2017M12
Included observations: 72
Q-statistic probabilities adjusted for 2 ARMA terms

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |*. | . |*. | 1 0.204 0.204 3.1249

.|. | .|. | 2 -0.008 -0.052 3.1301
.*| . | .*| . | 3 -0.103 -0.095 3.9566 0.047
.|. | .|. | 4 0.027 0.071 4.0122 0.135
.*| . | **| . | 5 -0.171 -0.207 6.3245 0.097
.*| . | .|. | 6 -0.068 0.004 6.6988 0.153
.|. | .|. | 7 -0.064 -0.050 7.0350 0.218
.|. | .|. | 8 0.059 0.040 7.3230 0.292
.*| . | .*| . | 9 -0.077 -0.094 7.8203 0.349
.|. | .|. | 10 -0.042 -0.046 7.9716 0.436
.|. | .|. | 11 -0.025 -0.004 8.0257 0.532
. |*. | .|. | 12 0.092 0.055 8.7812 0.553
.*| . | .*| . | 13 -0.102 -0.133 9.7130 0.556
.|. | .|. | 14 -0.008 0.025 9.7186 0.641
.*| . | .*| . | 15 -0.135 -0.164 11.434 0.575
.|. | .|. | 16 0.024 0.042 11.488 0.647
. |*. | . |*. | 17 0.122 0.163 12.940 0.607
. |*. | .|. | 18 0.107 -0.033 14.062 0.594
.|. | .|. | 19 -0.055 -0.053 14.367 0.641
.|. | .*| . | 20 -0.055 -0.091 14.676 0.684
.*| . | .|. | 21 -0.092 -0.061 15.564 0.686
.|. | .|. | 22 -0.031 0.012 15.667 0.737
.|. | .|. | 23 -0.037 -0.008 15.819 0.780
.|. | .|. | 24 0.026 -0.012 15.894 0.821
. |*. | . |*. | 25 0.129 0.125 17.788 0.769
. |*. | . |*. | 26 0.186 0.102 21.806 0.591
.|. | .|. | 27 -0.011 -0.024 21.820 0.646
.|. | .*| . | 28 -0.048 -0.070 22.102 0.683
.|. | .|. | 29 0.047 0.068 22.373 0.718
.*| . | .*| . | 30 -0.085 -0.138 23.295 0.718
.*| . | .|. | 31 -0.097 0.021 24.514 0.703
.|. | .|. | 32 -0.061 0.019 25.010 0.725

berdasrkan output tersebut tdk terdapat lag yang keluar dari batas sehingga dapt dismpulkan sisaan
ARMA (2,1) bersifat white nose dan layak digunakan sebagai peramalan.

 ARMA (2.1)

Dependent Variable: HARGA_KG
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 01/01/19 Time: 09:23
Sample: 2012M01 2017M12
Included observations: 72
Convergence achieved after 17 iterations
Coefficient covariance computed using outer product of gradients
 Variable Coefficient Std. Error t-Statistic Prob.

C 29853.58 10132.89 2.946207 0.0044

AR(1) 0.811028 0.070621 11.48417 0.0000
MA(2) -0.246273 0.132032 -1.865260 0.0665
SIGMASQ 2.63E+08 36852265 7.129101 0.0000

R-squared 0.573761 Mean dependent var 31005.52

Adjusted R-squared 0.554956 S.D. dependent var 25001.14
S.E. of regression 16678.66 Akaike info criterion 22.34732
Sum squared resid 1.89E+10 Schwarz criterion 22.47380
Log likelihood -800.5036 Hannan-Quinn criter. 22.39768
F-statistic 30.51161 Durbin-Watson stat 1.493832
Prob(F-statistic) 0.000000

Inverted AR Roots .81

Inverted MA Roots .50 -.50

Pada model ARMA (0,1) dapat dilihat bahwa nilai prob dari AR(1)lebih kecil dari 0.05 sehingga AR(1)
signifikan dan MA(2)prob>0.05 dapat disimpulkan bahwa model ARMA tdk sesuai dengan data harga.

Date: 01/01/19 Time: 09:29

Sample: 2012M01 2017M12
Included observations: 72
Q-statistic probabilities adjusted for 2 ARMA terms

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |** | . |** | 1 0.249 0.249 4.6691

.|. | .|. | 2 0.022 -0.043 4.7055
.*| . | .*| . | 3 -0.097 -0.098 5.4250 0.020
.*| . | .|. | 4 -0.068 -0.020 5.7898 0.055
.*| . | .*| . | 5 -0.188 -0.178 8.5934 0.035
.*| . | .|. | 6 -0.126 -0.052 9.8818 0.042
.*| . | .|. | 7 -0.069 -0.037 10.278 0.068
.|. | .|. | 8 0.018 0.007 10.305 0.112
.|. | .*| . | 9 -0.055 -0.098 10.565 0.159
.|. | .|. | 10 -0.044 -0.058 10.732 0.217
.|. | .|. | 11 -0.008 -0.016 10.738 0.294
. |*. | .|. | 12 0.077 0.047 11.262 0.337
.*| . | .*| . | 13 -0.104 -0.169 12.234 0.346
.|. | .|. | 14 -0.012 0.024 12.247 0.426
.*| . | .*| . | 15 -0.122 -0.168 13.632 0.400
.|. | .|. | 16 0.022 0.047 13.678 0.474
. |*. | . |*. | 17 0.136 0.144 15.457 0.419
. |*. | .|. | 18 0.097 -0.042 16.384 0.426
.|. | .*| . | 19 -0.041 -0.093 16.554 0.485
.*| . | .*| . | 20 -0.067 -0.089 17.016 0.522
.*| . | .*| . | 21 -0.106 -0.076 18.182 0.510
.|. | .|. | 22 -0.047 0.011 18.419 0.560
.|. | .|. | 23 -0.036 -0.021 18.561 0.613
 .|. | .|. | 24 0.044 -0.001 18.781 0.659
. |*. | . |*. | 25 0.137 0.101 20.912 0.586
. |*. | . |*. | 26 0.200 0.106 25.546 0.377
.|. | .|. | 27 0.010 -0.032 25.558 0.431
.|. | .*| . | 28 -0.037 -0.083 25.727 0.478
.|. | . |*. | 29 0.038 0.083 25.907 0.524
.*| . | .*| . | 30 -0.105 -0.130 27.304 0.502
.*| . | .|. | 31 -0.114 0.009 28.980 0.466
.*| . | .|. | 32 -0.077 0.017 29.764 0.478

berdasrkan output tersebut tdk terdapat lag yang keluar dari batas sehingga dapt dismpulkan sisaan
ARMA (1,2) bersifat white nose dan layak digunakan sebagai peramalan.

 ARMA (2,2)

Dependent Variable: HARGA_KG

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 01/01/19 Time: 09:31
Sample: 2012M01 2017M12
Included observations: 72
Convergence achieved after 16 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 30626.81 6350.900 4.822437 0.0000

AR(2) 0.222347 0.488025 0.455605 0.6501
MA(2) 0.217103 0.522233 0.415720 0.6789
SIGMASQ 5.09E+08 73995194 6.878729 0.0000

R-squared 0.174216 Mean dependent var 31005.52

Adjusted R-squared 0.137785 S.D. dependent var 25001.14
S.E. of regression 23214.94 Akaike info criterion 23.00230
Sum squared resid 3.66E+10 Schwarz criterion 23.12878
Log likelihood -824.0828 Hannan-Quinn criter. 23.05265
F-statistic 4.782013 Durbin-Watson stat 0.880056
Prob(F-statistic) 0.004404

Inverted AR Roots .47 -.47

Inverted MA Roots -.00+.47i -.00-.47i

Pada model ARMA (2,2) dapat dilihat bahwa nilai prob dari AR(2)lebih besar dari 0.05 sehingga AR(2) tdk
signifikan dan MA(2)prob>0.05 dapat disimpulkan bahwa model ARMA tdk sesuai dengan data harga.

Date: 01/01/19 Time: 09:33

Sample: 2012M01 2017M12
Included observations: 72
Q-statistic probabilities adjusted for 2 ARMA terms

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

 . |**** | . |**** | 1 0.557 0.557 23.243
.|. | ***| . | 2 0.013 -0.430 23.255
.|. | . |** | 3 -0.040 0.336 23.379 0.000
.|. | **| . | 4 0.001 -0.280 23.379 0.000
.*| . | .|. | 5 -0.104 0.016 24.233 0.000
.*| . | .|. | 6 -0.140 -0.025 25.804 0.000
.|. | .|. | 7 -0.047 0.008 25.986 0.000
.|. | .|. | 8 0.000 -0.029 25.986 0.000
.*| . | .*| . | 9 -0.069 -0.098 26.388 0.000
.*| . | .|. | 10 -0.092 0.042 27.116 0.001
.|. | .|. | 11 -0.002 0.009 27.117 0.001
.|. | .|. | 12 0.037 -0.035 27.237 0.002
.|. | .|. | 13 -0.037 -0.051 27.361 0.004
.*| . | .*| . | 14 -0.100 -0.066 28.285 0.005
.*| . | .*| . | 15 -0.113 -0.087 29.472 0.006
.|. | . |** | 16 0.008 0.240 29.479 0.009
. |*. | .|. | 17 0.147 -0.051 31.563 0.007
. |*. | .|. | 18 0.102 -0.022 32.594 0.008
.|. | .*| . | 19 -0.038 -0.082 32.738 0.012
.*| . | .*| . | 20 -0.099 -0.076 33.751 0.014
.*| . | .|. | 21 -0.084 0.021 34.493 0.016
.|. | .|. | 22 -0.053 0.003 34.795 0.021
.|. | .|. | 23 -0.035 -0.026 34.925 0.029
.|. | . |*. | 24 0.045 0.125 35.153 0.037
. |*. | . |*. | 25 0.182 0.104 38.908 0.020
. |*. | .|. | 26 0.186 -0.010 42.897 0.010
.|. | .|. | 27 0.027 -0.064 42.981 0.014
.|. | .|. | 28 -0.031 0.029 43.093 0.019
.|. | .*| . | 29 -0.001 -0.091 43.094 0.026
.*| . | .|. | 30 -0.072 -0.054 43.759 0.029
.*| . | . |*. | 31 -0.126 0.099 45.828 0.024
.*| . | .*| . | 32 -0.104 -0.150 47.259 0.023

berdasrkan output tersebut tdk terdapat 3 lag yang keluar dari batas sehingga dapt dismpulkan sisaan
ARMA (2,2) tdk bersifat white nose dan tdk layak digunakan sebagai peramalan.

Berdasarkan estimasi model tentaif ARIMA yang sudah dilakukan maka di dapatkan nilai
perbandingan sebagai berikut.
MODEL AIC SIC White nose signif
1,0 22.35 22.45 ya ya
0,1 22.46 22.25 tdk ya
1,1 22.25 22.37 ya ya
2,1 22.33 22.46 ya ya
1,2 22.34 22.47 ya tdk
2,2 23.00 23.12 tdk tdk

Berdasarkan kriteria model terbaik maka model yang layak dan sesuai dengan data harga
adalah ARMA(1,0) (1,1) (1,1) (2,1) (1,2) dan untuk model terbaik adalah ARMA 1,1 dengan
nilai AIC dan SIC terkecil.
Opent = 31005.52 + εt.

Uji ARCH LM
LAG 1.

Heteroskedasticity Test: ARCH

F-statistic 4.869841 Prob. F(1,69) 0.0307

Obs*R-squared 4.680647 Prob. Chi-Square(1) 0.0305

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 01/01/19 Time: 10:14
Sample (adjusted): 2012M02 2017M12
Included observations: 71 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 1.78E+08 61708045 2.882526 0.0053

RESID^2(-1) 0.257097 0.116503 2.206772 0.0307

R-squared 0.065925 Mean dependent var 2.40E+08

Adjusted R-squared 0.052387 S.D. dependent var 4.75E+08
S.E. of regression 4.63E+08 Akaike info criterion 42.77095
Sum squared resid 1.48E+19 Schwarz criterion 42.83469
Log likelihood -1516.369 Hannan-Quinn criter. 42.79630
F-statistic 4.869841 Durbin-Watson stat 1.970032
Prob(F-statistic) 0.030660

dari uotput di ats di dapatkan nilai prob lebih kecil dari 0.05
dapat disimpulkan bahwa model mengandung efek ARCH

uji ARCHLM lag 2

Heteroskedasticity Test: ARCH

F-statistic 2.449186 Prob. F(2,67) 0.0941

Obs*R-squared 4.769037 Prob. Chi-Square(2) 0.0921

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 01/01/19 Time: 10:16
Sample (adjusted): 2012M03 2017M12
Included observations: 70 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

 C 1.91E+08 66766162 2.863773 0.0056
RESID^2(-1) 0.269583 0.121957 2.210470 0.0305
RESID^2(-2) -0.055521 0.122121 -0.454643 0.6508

R-squared 0.068129 Mean dependent var 2.43E+08

Adjusted R-squared 0.040312 S.D. dependent var 4.78E+08
S.E. of regression 4.68E+08 Akaike info criterion 42.80886
Sum squared resid 1.47E+19 Schwarz criterion 42.90522
Log likelihood -1495.310 Hannan-Quinn criter. 42.84713
F-statistic 2.449186 Durbin-Watson stat 2.000562
Prob(F-statistic) 0.094063

berdasrkan output di atas dapat dilihat nilai prob residual 2 lebih besar dari 0.05 dapat disimpulkan bahwa efek
ARCH hanya terdapat pada lag 1

 ARCH (1,0)

Dependent Variable: HARGA_KG

Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 01/01/19 Time: 10:19
Sample (adjusted): 2012M02 2017M12
Included observations: 71 after adjustments
Convergence achieved after 53 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 2012M01
Presample variance: backcast (parameter = 0.7)
GARCH = C(5) + C(6)*RESID(-1)^2

Variable Coefficient Std. Error z-Statistic Prob.

@SQRT(GARCH) 0.259535 0.688523 0.376945 0.7062

C 26895.56 7808.101 3.444571 0.0006
AR(1) 0.542223 0.179175 3.026215 0.0025
MA(1) 0.402595 0.190683 2.111327 0.0347

Variance Equation

C 2.04E+08 29315596 6.945164 0.0000

RESID(-1)^2 0.139052 0.154392 0.900642 0.3678

R-squared 0.612461 Mean dependent var 31251.37

Adjusted R-squared 0.595109 S.D. dependent var 25091.28
S.E. of regression 15965.85 Akaike info criterion 22.26087
Sum squared resid 1.71E+10 Schwarz criterion 22.45208
Log likelihood -784.2609 Hannan-Quinn criter. 22.33691
Durbin-Watson stat 1.813739

Inverted AR Roots .54

Inverted MA Roots -.40

Berdasarkan output di atas dapat dilihat bahwa niali prob lebih besar dari 0.05 (tdk signifikan) ode
p=0 q=1
 ARCH (2,0)

Dependent Variable: HARGA_KG
Method: ML ARCH - Normal distribution (BFGS / Marquardt steps)
Date: 01/01/19 Time: 11:30
Sample (adjusted): 2012M02 2017M12
Included observations: 71 after adjustments
Convergence achieved after 191 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 2012M01
Presample variance: backcast (parameter = 0.7)
GARCH = C(5) + C(6)*RESID(-1)^2 + C(7)*RESID(-2)^2

Variable Coefficient Std. Error z-Statistic Prob.

@SQRT(GARCH) 1.503610 0.844046 1.781432 0.0748

C 2335.770 13183.06 0.177180 0.8594
AR(1) -0.197914 0.445722 -0.444031 0.6570
MA(1) 0.538045 0.366213 1.469215 0.1418

Variance Equation

C 1.03E+08 36109923 2.842538 0.0045

RESID(-1)^2 0.564164 0.348359 1.619490 0.1053
RESID(-2)^2 0.325802 0.110768 2.941300 0.0033

R-squared 0.571057 Mean dependent var 31251.37

Adjusted R-squared 0.551851 S.D. dependent var 25091.28
S.E. of regression 16797.10 Akaike info criterion 22.29763
Sum squared resid 1.89E+10 Schwarz criterion 22.52071
Log likelihood -784.5660 Hannan-Quinn criter. 22.38635
Durbin-Watson stat 1.321720

Inverted AR Roots -.20

Inverted MA Roots -.54

Berdasarkan output di atas dapat dilihat bahwa niali prob lag 1 lebih besar dari 0.05 (tdk signifikan)
namun pada lag 2 lebih kecil dari 0.05 (signifikan)ode p=0 q=1

 ARCH 1,1


Dependent Variable: HARGA_KG
Method: ML ARCH - Normal distribution (BFGS / Marquardt steps)
Date: 01/01/19 Time: 11:36
Sample (adjusted): 2012M02 2017M12
Included observations: 71 after adjustments
Convergence not achieved after 500 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 2012M01
Presample variance: backcast (parameter = 0.7)
GARCH = C(5) + C(6)*RESID(-1)^2 + C(7)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.

@SQRT(GARCH) -0.302776 0.739327 -0.409529 0.6822

C 24554.21 6028.722 4.072872 0.0000
AR(1) 0.534298 0.217217 2.459742 0.0139
MA(1) 0.315746 0.183121 1.724247 0.0847

Variance Equation
 C 73342904 69335994 1.057790 0.2902
RESID(-1)^2 0.456963 0.324964 1.406194 0.1597
GARCH(-1) 0.345486 0.401385 0.860735 0.3894

R-squared 0.558878 Mean dependent var 31251.37

Adjusted R-squared 0.539126 S.D. dependent var 25091.28
S.E. of regression 17033.89 Akaike info criterion 22.27028
Sum squared resid 1.94E+10 Schwarz criterion 22.49336
Log likelihood -783.5949 Hannan-Quinn criter. 22.35899
Durbin-Watson stat 1.459683

Inverted AR Roots .53

Inverted MA Roots -.32

Berdasarkan output di atas dapat dilihat bahwa niali prob ARCH lebih besar dari 0.05 (tdk signifikan)
begitu juga pada GARCH lebih Bessr dari 0.05 (signifikan)ode p=1 q=1
 GARCH 2,1

Dependent Variable: HARGA_KG

Method: ML ARCH - Normal distribution (BFGS / Marquardt steps)
Date: 01/01/19 Time: 12:01
Sample (adjusted): 2012M02 2017M12
Included observations: 71 after adjustments
Convergence not achieved after 500 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 2012M01
Presample variance: backcast (parameter = 0.7)
GARCH = C(5) + C(6)*RESID(-1)^2 + C(7)*GARCH(-1) + C(8)*GARCH(-2)

Variable Coefficient Std. Error z-Statistic Prob.

@SQRT(GARCH) 2.164321 2.424174 0.892808 0.3720

C -4959.141 39643.53 -0.125093 0.9004
AR(1) -0.015115 0.392571 -0.038503 0.9693
MA(1) 0.481142 0.274430 1.753239 0.0796

Variance Equation

C 1.15E+08 55109796 2.078106 0.0377

RESID(-1)^2 0.214328 0.159958 1.339898 0.1803
GARCH(-1) 0.546071 0.374175 1.459401 0.1445
GARCH(-2) -0.179593 0.227967 -0.787804 0.4308

R-squared 0.558312 Mean dependent var 31251.37

Adjusted R-squared 0.538535 S.D. dependent var 25091.28
S.E. of regression 17044.81 Akaike info criterion 22.39116
Sum squared resid 1.95E+10 Schwarz criterion 22.64611
Log likelihood -786.8863 Hannan-Quinn criter. 22.49255
Durbin-Watson stat 1.314212

Inverted AR Roots -.02

Inverted MA Roots -.48
 Berdasarkan output di atas dapat dilihat bahwa nilai prob ARCH lebih besar dari 0.05 (tdk
signifikan) begitu juga pada GARCH lag 1 dan 2 lebih Besar dari 0.05 (signifikan)ode p=2 q=1

Model AIC SIC

ARCH( 1) 22.26 22.45
ARCH (2) 22.29 22.52
GARCH(1,1) 22.27 22.49
GARCH (2,1) 22.39 22.64

Berdasarkan tabel tersebut maka model peramalan yang cocok untuk data tersebut adalah ARCH (1)
Karena memiliki nilai AIC dan SIC terkecil. Berikut persamaanya Opent = 26895.56
+ εt. σ 2 t = 0.139052 + 2.04E + 08 ε 2 t − 1

uji kriteria model terbaik

a. Uji sereal korelasi

H0: residual mengandung korelasi

H1: residual tidak mengandun korelasi
Tolak H0 jika prob lebih kecil dari 0.05 pada semua tingkat kelambanan
Date: 01/01/19 Time: 12:35
Sample: 2012M01 2017M12
Included observations: 71

Autocorrelation Partial Correlation AC PAC Q-Stat Prob*

.|. | .|. | 1 -0.005 -0.005 0.0019 0.965

.|. | .|. | 2 0.042 0.042 0.1368 0.934
.|. | .|. | 3 -0.062 -0.061 0.4257 0.935
.|. | .|. | 4 0.021 0.018 0.4584 0.977
.|. | .|. | 5 -0.016 -0.011 0.4790 0.993
.*| . | .*| . | 6 -0.088 -0.094 1.0950 0.982
.|. | .|. | 7 0.028 0.031 1.1568 0.992
.*| . | .*| . | 8 -0.088 -0.084 1.7969 0.987
. |*. | .|. | 9 0.083 0.071 2.3693 0.984
.|. | .|. | 10 0.048 0.063 2.5613 0.990
.*| . | .*| . | 11 -0.080 -0.105 3.1125 0.989
.|. | .|. | 12 -0.037 -0.034 3.2346 0.994
.|. | .|. | 13 -0.062 -0.051 3.5749 0.995
.|. | .|. | 14 -0.000 -0.026 3.5749 0.998
. |*. | . |*. | 15 0.084 0.117 4.2353 0.997
.|. | .|. | 16 0.032 0.020 4.3302 0.998
.|. | .|. | 17 0.042 0.030 4.5022 0.999
.*| . | .|. | 18 -0.066 -0.058 4.9311 0.999
.|. | .|. | 19 0.009 -0.035 4.9391 0.999
.*| . | .*| . | 20 -0.108 -0.093 6.1275 0.999
.|. | .|. | 21 0.030 0.050 6.2203 0.999
.*| . | .|. | 22 -0.070 -0.058 6.7385 0.999
. |*. | . |*. | 23 0.174 0.200 10.002 0.991
.|. | .*| . | 24 -0.039 -0.071 10.171 0.994
. |*. | . |*. | 25 0.154 0.131 12.854 0.978
.|. | .|. | 26 0.066 0.065 13.361 0.981
 .|. | .*| . | 27 -0.051 -0.068 13.663 0.984
.|. | .|. | 28 -0.024 -0.003 13.731 0.989
.|. | .|. | 29 -0.044 0.014 13.974 0.992
.|. | .*| . | 30 -0.016 -0.072 14.006 0.994
.|. | .|. | 31 -0.019 0.050 14.054 0.996
.|. | .|. | 32 0.026 -0.026 14.141 0.997

*Probabilities may not be valid for this equation specification.

b. Uji ARCHLM
H0: model mengandung efec ARCH
H1: model tdk mengandung ARCH efect
Tolak H0 jika nilai prob lebih besar dari 0.05

Heteroskedasticity Test: ARCH

F-statistic 0.001774 Prob. F(1,68) 0.9665

Obs*R-squared 0.001826 Prob. Chi-Square(1) 0.9659

Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 01/01/19 Time: 12:38
Sample (adjusted): 2012M03 2017M12
Included observations: 70 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 1.056697 0.270034 3.913204 0.0002

WGT_RESID^2(-1) -0.005113 0.121387 -0.042119 0.9665

R-squared 0.000026 Mean dependent var 1.051300

Adjusted R-squared -0.014679 S.D. dependent var 1.974237
S.E. of regression 1.988674 Akaike info criterion 4.240969
Sum squared resid 268.9281 Schwarz criterion 4.305212
Log likelihood -146.4339 Hannan-Quinn criter. 4.266487
F-statistic 0.001774 Durbin-Watson stat 1.997301
Prob(F-statistic) 0.966527

c. Uji normalitas
H0:residual distribusi normal
H1: residual tdk distribusi normal
Tolak H0 jika nilai Prob lebih kecil dari 0.05
12
Series: Standardized Residuals
10 Sample 2012M02 2017M12
Observations 71
8
Mean -0.183972
Median -0.397852
6
Maximum 3.862424
Minimum -2.068479
4
Std. Dev. 1.010779
Skewness 1.163412
2 Kurtosis 5.459013

0 Jarque-Bera 33.90504
-2 -1 0 1 2 3 4
Probability 0.000000

Residual tidak terdistribusi normal maka di gunakan perbaikan dengan metode bollerslev-wooldrige
160,000
Forecast: HARGA_KGF
120,000 Actual: HARGA_KG
Forecast sample: 2012M01 2017M12
80,000 Adjusted sample: 2012M03 2017M12
Included observations: 70
40,000 Root Mean Squared Error 15452.87
Mean Absolute Error 11587.18
0 Mean Abs. Percent Error 45.63503
Theil Inequality Coefficient 0.201932
-40,000 Bias Proportion 0.000259
2012 2013 2014 2015 2016 2017 Variance Proportion 0.177974
Covariance Proportion 0.821768
HARGA_KGF ± 2 S.E.
Theil U2 Coefficient 0.904093
Symmetric MAPE 38.60882
700,000,000

600,000,000

500,000,000

400,000,000

300,000,000

200,000,000
2012 2013 2014 2015 2016 2017

Forecast of Variance

Hasil forcast