Date IHSG LQ45 JII RIHSG RLQ45 RJII

2/3/2022 6683.851 943.34 555.29 -0.3555 0.5027 0.5834

2/4/2022 6731.391 959.76 566.3 0.7087 1.7256 1.9633
2/7/2022 6804.937 949.49 560.2 1.0867 -1.0758 -1.083
2/8/2022 6789.522 939.34 553.16 -0.2268 -1.0747 -1.2647
2/9/2022 6834.606 946.86 560.67 0.6618 0.7974 1.3485
2/10/2022 6823.642 947.02 556.52 -0.1605 0.0169 -0.7429
2/11/2022 6815.607 949.77 557.52 -0.1178 0.29 0.1795
2/14/2022 6734.486 939.63 556.83 -1.1974 -1.0734 -0.1238
2/15/2022 6807.497 947.89 561.99 1.0783 0.8752 0.9224
2/16/2022 6850.198 945.94 559.25 0.6253 -0.2059 -0.4887
2/17/2022 6835.117 951.67 562.64 -0.2204 0.6039 0.6043
2/18/2022 6892.818 964.61 568.85 0.8406 1.3506 1.0977
2/21/2022 6902.965 962.01 562.86 0.1471 -0.2699 -1.0586
2/22/2022 6861.994 971.72 567.99 -0.5953 1.0043 0.9073
2/23/2022 6920.056 973.64 572.85 0.8426 0.1974 0.852
2/24/2022 6817.82 971.68 568.93 -1.4884 -0.2015 -0.6866
2/25/2022 6888.171 962.64 562.42 1.0266 -0.9347 -1.1509
3/1/2022 6921.441 975.32 567.83 0.4818 1.3086 0.9573
3/2/2022 6868.402 976.51 567.72 -0.7693 0.1219 -0.0194
3/4/2022 6928.328 973.4 566.44 0.8687 -0.319 -0.2257
3/7/2022 6869.066 979.96 570.55 -0.859 0.6717 0.723
3/8/2022 6814.183 979.78 569.26 -0.8022 -0.0184 -0.2263
3/9/2022 6864.441 973.74 568.26 0.7348 -0.6184 -0.1758
3/10/2022 6924.008 985.08 574.83 0.864 1.1579 1.1495
3/11/2022 6922.602 973.65 568.11 -0.0203 -1.1671 -1.1759
3/14/2022 6952.204 985.54 571.41 0.4267 1.2138 0.5792
3/15/2022 6918.185 987.65 574.92 -0.4905 0.2139 0.6124
3/16/2022 6992.395 978.16 570.7 1.067 -0.9655 -0.7367
3/17/2022 6964.385 994.05 583.14 -0.4014 1.6114 2.1564
3/18/2022 6954.965 988.91 584.47 -0.1354 -0.5184 0.2278
3/21/2022 6955.181 986.54 575.04 0.0031 -0.2399 -1.6266
3/22/2022 7000.822 993.38 573.9 0.6541 0.6909 -0.1984
3/23/2022 6996.115 997.14 579.24 -0.0673 0.3778 0.9262
3/24/2022 7049.685 997.7 582.87 0.7628 0.0561 0.6247
3/25/2022 7002.532 1003.8 577.95 -0.6711 0.6095 -0.8477
3/28/2022 7049.603 1001.28 568.31 0.6699 -0.2514 -1.682
3/29/2022 7011.689 1013.61 576.25 -0.5393 1.2239 1.3875
3/30/2022 7053.19 1005.82 571.24 0.5901 -0.7715 -0.8732
3/31/2022 7071.442 1003.77 573.58 0.2584 -0.204 0.4088
4/1/2022 7078.76 1003.76 574.44 0.1034 -0.001 0.1498
4/4/2022 7116.218 1011.75 582.16 0.5278 0.7929 1.335
4/5/2022 7148.299 1011.68 582.3 0.4498 -0.0069 0.024
4/6/2022 7104.216 1026.19 590.37 -0.6186 1.4241 1.3764
4/7/2022 7127.367 1017.67 584.15 0.3254 -0.8337 -1.0592
4/8/2022 7210.835 1026.84 589.79 1.1643 0.897 0.9609
4/11/2022 7203.794 1019.08 586.61 -0.0977 -0.7586 -0.5406
4/12/2022 7214.781 1024.22 591.76 0.1524 0.5031 0.8741
4/13/2022 7262.777 1022.99 590.17 0.663 -0.1202 -0.2691
4/14/2022 7235.532 1027.52 594.16 -0.3758 0.4418 0.6738
4/18/2022 7275.289 1033.5 600.34 0.548 0.5803 1.0348
4/19/2022 7199.232 1038.85 605.86 -1.0509 0.5163 0.9153
4/20/2022 7227.362 1030.12 604.57 0.39 -0.8439 -0.2131
4/21/2022 7276.193 1031.96 604.24 0.6734 0.1785 -0.0546
4/22/2022 7225.606 1043.82 611.26 -0.6977 1.1427 1.1551
4/25/2022 7215.979 1029.27 602.06 -0.1333 -1.4037 -1.5165
4/26/2022 7232.153 1036.85 601.29 0.2239 0.7337 -0.128
4/27/2022 7196.764 1044.75 610.07 -0.4905 0.759 1.4496
4/28/2022 7228.914 1035.67 607.8 0.4457 -0.8729 -0.3728
5/9/2022 6909.751 1040.97 608.65 -4.5155 0.5104 0.1398
5/10/2022 6819.794 1037.14 610.85 -1.3104 -0.3686 0.3608
5/11/2022 6816.203 1053.68 608.48 -0.0527 1.5822 -0.3887
5/12/2022 6599.84 1063.73 610.75 -3.2257 0.9493 0.3724
5/13/2022 6597.993 1056.86 606.27 -0.028 -0.6479 -0.7362
5/17/2022 6644.467 1063.85 606.79 0.7019 0.6592 0.0857
5/18/2022 6793.414 1075.11 611.05 2.2169 1.0529 0.6996
5/19/2022 6823.335 1074.25 614.16 0.4395 -0.08 0.5077
5/20/2022 6918.144 1085.44 619.2 1.3799 1.0363 0.8173
5/23/2022 6840.775 1025.95 594.3 -1.1247 -5.6366 -4.1044
5/24/2022 6914.141 1021.08 596.72 1.0668 -0.4758 0.4064
5/25/2022 6883.504 1025.44 603.31 -0.4441 0.4261 1.0983 et
5/27/2022 7026.256 993.35 587.23 2.0526 -3.1794 -2.7015 5/27/2022 -2.2952498
5/30/2022 7037.565 995.98 590.78 0.1608 0.2644 0.6027 5/30/2022 0.33741668
5/31/2022 7148.97 1004.12 591.48 1.5706 0.814 0.1184 5/31/2022 0.77162221
6/2/2022 7148.723 1016 593.85 -0.0035 1.1762 0.3999 2/6/2022 1.52748356
6/3/2022 7182.961 1008.2 588.11 0.4778 -0.7707 -0.9713 3/6/2022 -0.822341
6/6/2022 7096.582 1015.18 598.43 -1.2098 0.6899 1.7396 6/6/2022 0.57180471
6/7/2022 7141.045 1002.57 591.02 0.6246 -1.2499 -1.246 7/6/2022 -1.4836784
6/8/2022 7193.314 1015.93 596.35 0.7293 1.3238 0.8978 8/6/2022 1.4496577
6/9/2022 7182.83 1009.51 593.95 -0.1459 -0.6339 -0.4033 9/6/2022 -0.7214136
6/10/2022 7086.648 1031.93 600.77 -1.3481 2.1966 1.1417 10/6/2022 2.42367411
0.22186721
MA(3) 0.153048
Dependent Variable: IHSG
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 13:43
Sample: 2/03/2022 6/10/2022
Included observations: 80
Convergence achieved after 25 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

AR(1) 0.999949 0.000742 1347.267 0

SIGMASQ 4800.31 411.95 11.65265 0

R-squared 0.837275 Mean dependent v 6983.323

Adjusted R-squared 0.835188 S.D. dependent var 172.8377
S.E. of regression 70.16691 Akaike info criterio 11.4793 Yo
Sum squared resid 384024.8 Schwarz criterion 11.53885 Y1
Log likelihood -457.1719 Hannan-Quinn crite 11.50317
Durbin-Watson stat 2.099456

Inverted AR Roots 1

Dependent Variable: RIHSG

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 16:10
Sample: 2/03/2022 6/10/2022
Included observations: 80
Convergence achieved after 6 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob. AR(1)

AR(1) -0.077165 0.108145 -0.713533 0.4776 Yo

SIGMASQ 0.978828 0.083976 11.65603 0 Y1
rho1
R-squared 0.001169 Mean dependent v 0.068701 rho1
Adjusted R-squared -0.011637 S.D. dependent var 0.996182 y1
S.E. of regression 1.001961 Akaike info criterio 2.866553
Sum squared resid 78.30628 Schwarz criterion 2.926104 Y3
Log likelihood -112.6621 Hannan-Quinn crite 2.890428
Durbin-Watson stat 1.950975

Inverted AR Roots -0.08

Dependent Variable: RJII

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 19:10
Sample: 2/03/2022 6/10/2022
Included observations: 80
Convergence achieved after 29 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

AR(1) -0.454113 0.112667 -4.030571 0.0001 yo 1.79407265

AR(2) -0.284199 0.142709 -1.99146 0.05 y1
SIGMASQ 0.893881 0.115807 7.718686 0 rho1 -0.3536158
rho2
R-squared 0.183773 Mean dependent v 0.105699 rho3
Adjusted R-squared 0.162572 S.D. dependent var 1.053091
S.E. of regression 0.963695 Akaike info criterio 2.80447
Sum squared resid 71.51049 Schwarz criterion 2.893796
Log likelihood -109.1788 Hannan-Quinn crite 2.840283
Durbin-Watson stat 1.953356

Inverted AR Roots -.23+.48i -.23-.48i

Dependent Variable: RIHSG

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 19:45
Sample: 2/03/2022 6/10/2022
Included observations: 80
Convergence achieved after 15 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

MA(1) -0.057127 0.114143 -0.500484 0.6181

SIGMASQ 0.980355 0.083783 11.70105 0

R-squared -0.000389 Mean dependent v 0.068701

Adjusted R-squared -0.013214 S.D. dependent var 0.996182 Yo 0.98355438
S.E. of regression 1.002742 Akaike info criterio 2.868077 rho1 0.05694117
Sum squared resid 78.42837 Schwarz criterion 2.927628
Log likelihood -112.7231 Hannan-Quinn crite 2.891953
Durbin-Watson stat 1.996623

Inverted MA Roots 0.06

Dependent Variable: LQ45

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 20:50
Sample: 2/03/2022 6/10/2022
Included observations: 80
Failure to improve objective (non-zero gradients) after 16 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

MA(1) 1.856127 438.407 0.004234 0.9966 yo 384987.405

MA(2) 0.999999 472.3721 0.002117 0.9983 y1 -0.1312321
SIGMASQ 70702.09 16666277 0.004242 0.9966 y2 70702.0193
rho1 -3.4087E-07
R-squared -56.621407 Mean dependent v 1002.682
Adjusted R-squared -58.118067 S.D. dependent var 35.24972
S.E. of regression 271.029 Akaike info criterio 14.19664
Sum squared resid 5656167 Schwarz criterion 14.28597
Log likelihood -564.8656 Hannan-Quinn crite 14.23245
Durbin-Watson stat 0.085015

Inverted MA Roots -.93+.37i -.93-.37i

Dependent Variable: RLQ45

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 20:53
Sample: 2/03/2022 6/10/2022
Included observations: 80
Convergence achieved after 32 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

MA(1) -0.306203 0.083793 -3.654262 0.0005 yo 1.26212058

MA(2) 0.135491 0.08661 1.56438 0.1218 y1 0.30042004
SIGMASQ 1.13488 0.088141 12.87578 0 y2 -0.153766
rho1 0.238028
R-squared 0.071772 Mean dependent v 0.118486 rho2 -0.1218315
Adjusted R-squared 0.047663 S.D. dependent var 1.112703
S.E. of regression 1.085862 Akaike info criterio 3.040811
Sum squared resid 90.79041 Schwarz criterion 3.130137
Log likelihood -118.6324 Hannan-Quinn crite 3.076624
Durbin-Watson stat 1.929511

Inverted MA Roots .15+.33i .15-.33i

Dependent Variable: RLQ45

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 21:18
Sample: 2/03/2022 6/10/2022
Included observations: 80
Convergence achieved after 26 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

AR(1) -0.286944 0.095825 -2.994455 0.0037

AR(2) -0.037043 0.195781 -0.189207 0.8504
SIGMASQ 1.143009 0.091092 12.5478 0

R-squared 0.065124 Mean dependent v 0.118486

Adjusted R-squared 0.040841 S.D. dependent var 1.112703
S.E. of regression 1.089744 Akaike info criterio 3.047571
Sum squared resid 91.44071 Schwarz criterion 3.136897
Log likelihood -118.9028 Hannan-Quinn crite 3.083385
Durbin-Watson stat 1.944385

Inverted AR Roots -.14-.13i -.14+.13i

Dependent Variable: RLQ45

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 21:26
Sample: 2/03/2022 6/10/2022
Included observations: 80
Convergence achieved after 21 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

AR(3) 0.139691 0.075345 1.854019 0.0675

SIGMASQ 1.2135 0.090953 13.34203 0

R-squared 0.007469 Mean dependent v 0.118486

Adjusted R-squared -0.005256 S.D. dependent var 1.112703
S.E. of regression 1.115623 Akaike info criterio 3.082125
Sum squared resid 97.07998 Schwarz criterion 3.141675
Log likelihood -121.285 Hannan-Quinn crite 3.106
Durbin-Watson stat 2.473448

Inverted AR Roots 0.52 -.26+.45i -.26-.45i

Dependent Variable: RLQ45

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 06/16/22 Time: 21:30
Sample: 2/03/2022 6/10/2022
Included observations: 80
Convergence achieved after 29 iterations
Coefficient covariance computed using outer product of gradients
Variable Coefficient Std. Error t-Statistic Prob.

MA(3) 0.153048 0.077276 1.980539 0.0512

SIGMASQ 1.211349 0.089344 13.55832 0

R-squared 0.009228 Mean dependent v 0.118486

Adjusted R-squared -0.003475 S.D. dependent var 1.112703
S.E. of regression 1.114634 Akaike info criterio 3.080501
Sum squared resid 96.90794 Schwarz criterion 3.140051
Log likelihood -121.22 Hannan-Quinn crite 3.104376
Durbin-Watson stat 2.477644

Inverted MA Roots .27+.46i .27-.46i -0.53

47063062.9
47060662.6

0.98469128

0.98469128
-0.0759837
-0.077165

-0.0759837
-0.077165
0.00586328
0.00595444
0.00595444
0.61948228 1.111396
Vector Error Correction Estimates
Date: 06/16/22 Time: 22:56
Sample (adjusted): 2/08/2022 6/10/2022
Included observations: 77 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

IHSG(-1) 1

JII(-1) -5.032239
-3.03939
[-1.65567]

C -4049.28

Error Correction: D(IHSG) D(JII)

CointEq1 -0.082716 0.010427

-0.05181 -0.004
[-1.59667] [ 2.60664]

D(IHSG(-1)) -0.024327 0.002827

-0.12085 -0.00933
[-0.20130] [ 0.30293]

D(IHSG(-2)) 0.21525 -0.009386

-0.11927 -0.00921
[ 1.80478] [-1.01924]

D(JII(-1)) -0.628751 -0.472506

-1.41284 -0.10909
[-0.44503] [-4.33140]

D(JII(-2)) -0.980861 -0.314471

-1.3802 -0.10657
[-0.71067] [-2.95089]

C 3.125848 0.909776
-8.04633 -0.62128
[ 0.38848] [ 1.46437]

R-squared 0.080306 0.28959

Adj. R-squared 0.015539 0.239561
Sum sq. resids 340778.5 2031.636
S.E. equation 69.27985 5.34926
F-statistic 1.239917 5.788465
Log likelihood -432.4728 -235.2607
Akaike AIC 11.3889 6.266512
Schwarz SC 11.57154 6.449146
Mean dependent 3.658584 0.526883
S.D. dependent 69.82447 6.134252

Determinant resid covariance (d 137039.8

Determinant resid covariance 116515
Log likelihood -667.6489
Akaike information criterion 17.70517
Schwarz criterion 18.13131
Number of coefficients 14

Vector Error Correction Estimates

Date: 06/16/22 Time: 22:57
Sample (adjusted): 2/09/2022 6/10/2022
Included observations: 76 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

IHSG(-1) 1

JII(-1) -6.010141
-2.86003
[-2.10143]

C -3478.51

Error Correction: D(IHSG) D(JII)

CointEq1 -0.085372 0.011369

-0.05373 -0.00413
[-1.58896] [ 2.75203]

D(IHSG(-1)) -0.059095 0.005057

-0.12439 -0.00956
[-0.47508] [ 0.52872]

D(IHSG(-2)) 0.235745 -0.00974

-0.12151 -0.00934
[ 1.94019] [-1.04259]

D(IHSG(-3)) 0.156036 -0.011601

-0.12373 -0.00951
[ 1.26109] [-1.21945]
D(JII(-1)) -1.173268 -0.487472
-1.4943 -0.1149
[-0.78516] [-4.24272]

D(JII(-2)) -1.986081 -0.285213

-1.58985 -0.12224
[-1.24923] [-2.33317]

D(JII(-3)) -1.746359 -0.018955

-1.47456 -0.11338
[-1.18433] [-0.16718]

C 3.95921 1.068455
-8.22566 -0.63247
[ 0.48132] [ 1.68934]

R-squared 0.117038 0.310336

Adj. R-squared 0.026145 0.239341
Sum sq. resids 326842.6 1932.299
S.E. equation 69.32899 5.330681
F-statistic 1.287643 4.371241
Log likelihood -425.7664 -230.7972
Akaike AIC 11.4149 6.284136
Schwarz SC 11.66024 6.529476
Mean dependent 3.909552 0.626448
S.D. dependent 70.25345 6.112061

Determinant resid covariance (d 136380.1

Determinant resid covariance 109179.6
Log likelihood -656.5071
Akaike information criterion 17.75019
Schwarz criterion 18.3022
Number of coefficients 18

R-squared 0.113823 0.385511

Adj. R-squared -0.008879 0.300427
Sum sq. resids 326510.4 1692.169
S.E. equation 70.8748 5.102291
F-statistic 0.927639 4.530987
Log likelihood -420.6227 -223.2808
Akaike AIC 11.48327 6.220822
Schwarz SC 11.79227 6.529821
Mean dependent 3.36056 0.534667
S.D. dependent 70.56223 6.100267

Determinant resid covariance (d 130685.7

Determinant resid covariance 98159.48
Log likelihood -643.8789
Akaike information criterion 17.75677
Schwarz criterion 18.43657
Number of coefficients 22
Tahun Kode Y X1 X2
1991 Banten 21.7 26.4 5.79
1992 Banten 10.9 17.3 2.6
1993 Banten 33.5 23.8 8.36
1994 Banten 22 17.6 5.5
1995 Banten 17.6 26.2 5.26
1996 Banten 16.1 21.1 1.03
1997 Banten 19 17.5 3.11
1998 Banten 18.1 22.9 4.87
1999 Banten 14.9 22.9 3.79
2000 Banten 23.2 14.9 7.24
1991 Jabar 21.8 19.6 3.36
1992 Jabar 21 22.8 1.59
1993 Jabar 33.8 27.8 6.19
1994 Jabar 18 14 3.75
1995 Jabar 12.2 11.4 1.59
1996 Jabar 30 16 9.87
1997 Jabar 21.7 28.8 1.31
1998 Jabar 24.9 16.8 5.42
1999 Jabar 21.9 11.8 6.32
2000 Jabar 23.6 18.6 5.35
1991 Jateng 25.2 13.4 9.57
1992 Jateng 41.9 29.7 9.62
1993 Jateng 31.3 21.6 6.61
1994 Jateng 27.8 25.1 7.24
1995 Jateng 13.2 14.1 1.64
1996 Jateng 27.9 24.1 5.99
1997 Jateng 33.3 10.5 9
1998 Jateng 20.5 22.1 1.75
1999 Jateng 16.7 17 1.74
2000 Jateng 20.7 20.5 1.82
1991 Jatim 15.3 14.2 4.09
1992 Jatim 25.9 18 9.56
1993 Jatim 21.9 29.9 2.18
1994 Jatim 15.5 14.1 5.43
1995 Jatim 16.7 18.4 6.33
1996 Jatim 26.1 20.1 8.27
1997 Jatim 34.8 27.6 9.16
1998 Jatim 22.6 27.4 5.24
1999 Jatim 29 28.5 7.92
2000 Jatim 37.1 28.6 9.63
Tahun Kode Y X1 X2
1991 1 21.7 26.4 5.79
1992 1 10.9 17.3 2.6
1993 1 33.5 23.8 8.36
1994 1 22 17.6 5.5
1995 1 17.6 26.2 5.26
1996 1 16.1 21.1 1.03
1997 1 19 17.5 3.11
1998 1 18.1 22.9 4.87
1999 1 14.9 22.9 3.79
2000 1 23.2 14.9 7.24
1991 2 21.8 19.6 3.36
1992 2 21 22.8 1.59
1993 2 33.8 27.8 6.19
1994 2 18 14 3.75
1995 2 12.2 11.4 1.59
1996 2 30 16 9.87
1997 2 21.7 28.8 1.31
1998 2 24.9 16.8 5.42
1999 2 21.9 11.8 6.32
2000 2 23.6 18.6 5.35
1991 3 25.2 13.4 9.57
1992 3 41.9 29.7 9.62
1993 3 31.3 21.6 6.61
1994 3 27.8 25.1 7.24
1995 3 13.2 14.1 1.64
1996 3 27.9 24.1 5.99
1997 3 33.3 10.5 9
1998 3 20.5 22.1 1.75
1999 3 16.7 17 1.74
2000 3 20.7 20.5 1.82
1991 4 15.3 14.2 4.09
1992 4 25.9 18 9.56
1993 4 21.9 29.9 2.18
1994 4 15.5 14.1 5.43
1995 4 16.7 18.4 6.33
1996 4 26.1 20.1 8.27
1997 4 34.8 27.6 9.16
1998 4 22.6 27.4 5.24
1999 4 29 28.5 7.92
2000 4 37.1 28.6 9.63