ANALISIS RESIKO SAHAM SYARI AH MENGGUNAKAN PENDEKATAN BAYESIAN GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH)

ANALISIS RESIKO SAHAM SYARI’AH MENGGUNAKAN PENDEKATAN BAYESIAN GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH) (Studi Kasus: Penutupan Indeks Harga Saham Harian Jakarta Islamic Index (JII) Periode 1

Januari 2014 – 31 Maret 2016)

Skripsi Untuk memenuhi sebagian persyaratan mencapai derajat Sarjana S-1

Program Studi Matematika

Disusun Oleh Diani Febriyati Pratiwi 12610012

PROGRAM STUDI MATEMATIKA FAKULTAS SAINS DAN TEKNOLOGI UIN SUNAN KALIJAGA YOGYAKARTA 2016 i

ww*

Universitos lslqm Negeri Sunqn Kolijogo

rli17

FM-UTNSK-BM-0s-07/R0

PENGESAHAN SKRIPSI/TUGAS AKHIR Nomor : UI N.02/D.SI/PP.lt.t 129221 2016

Skripsi/Tugas Akhir dengan judul

Analisis Resiko Saham Syari'ah Menggunakan Pendekatan

Bayesian Generalized Autoregressive H eterosceda

Conditional

sticity (GARCH )

Yang dipersiapkan dan disusun oleh Nama

Diani Febriyati Pratiwi

NIM

12610012

Telah dimunaqasyahkan pada Nilai Munaqasyah

19 Agustus 2016

A

Dan dinyatakan telah diterima oleh Fakultas Sains dan Teknologi UIN Sunan Kalijaga

AH:

TIM

r.tru siluns

*,n.If,|*, lah,

Moh. NIP. Ls7eos22

Penguji

M.Si

2trort 11011

I

Penguji

II

mrttri,

Noor sair M.sc NrP.19820617 200912 1 005

Yogyakarta, 24 Agustus 2016 UIN Sunan Kalijaga Sains dan Teknologi Dekan

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M.Si

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HALAMAN PERSEMBAHAN

Perjuangan Merupakan Pengalaman Berharga Yang Dapat Menjadikan Kita Manusia Yang Berkualitas

Skripsi Ini Kupersembahkan Untuk Kedua Orang Tuaku Yang Selalu Mendukung Serta Nasihatnya Yang Menjadi Jembatan Perjalanan Hidupku

v

MOTTO

Man Jadda Wa Jadda

“Barang Siapa yang Bersungguh-sungguh akan mendapatkannya.” *** “Kecerdasan bukanlah tolak ukur kesuksesan, tetapi dengan menjadi cerdas kita bisa menggapai kesuksesan.” *** “Do not put off doing a job because nobody knows whether we can meet tomorrow or not.” “Jangan menunda-nunda untuk melakukan suatu pekerjaan karena tidak ada yang tahu apakah kita dapat bertemu hari esok atau tidak.”

vi

KATA PENGANTAR

Puji Syukur kehadirat Allah SWT yang telah melimpahkan segala rahmat dan hidayah-Nya, sehingga skripsi yang berjudul Analisis Resiko Saham Syari’ah menggunakan pendekatan Bayesian Generalized Autoregressive Conditional Heteroscedasticity (GARCH) pada saham Jakarta Islamic Index (JII) dapat terselesaikan guna memenuhi syarat memperoleh gelar kesarjanaan di Program Studi Matematika Fakultas Sains dan Teknologi Universitas Islam Negeri Sunan Kalijaga Yogyakarta. Shalawat serta salam senantiasa dicurahkan kepada Nabi Agung Muhammad SAW, pembawa cahaya kesuksesan dalam menempuh hidup di dunia dan akhirat. Penulis menyadari skripsi ini tidak akan selesai tanpa motivasi, bantuan, bimbingan, dan arahan dari berbagai pihak baik moril maupun materiil. Oleh karena itu, dengan kerendahan hati penulis mengucapkan rasa terima kasih yang sedalam-dalamnya kepada: 1. Bapak Prof. KH. Yudian Wahyudi, Ph.D. selaku Rektor Universitas Islam Negeri Sunan Kalijaga Yogyakarta. 2. Bapak Drs. Murtono, M.Si. selaku Dekan Fakultas Sains dan Teknologi Universitas Islam Negeri Sunan Kalijaga Yogyakarta. 3. Bapak Dr. Muhammad Wakhid Musthofa, M.Si. selaku Ketua Program Studi Matematika, Fakultas Sains dan Teknologi Universitas Islam Negeri Sunan Kalijaga Yogyakarta.

vii

4. Bapak Moch. Farhan Qudratullah, M.Si. selaku pembimbing yang telah meluangkan waktu untuk membantu, memotivasi, membimbing serta mengarahkan sehingga skripsi ini dapat terselesaikan. 5. Bapak Muchammad Abrori, S.Si, M.Kom. selaku penasehat akademik yang

telah

meluangkan

waktu

untuk

membantu,

memotivasi,

membimbing serta megarahkan sehingga skripsi ini dapat terselesaikan. 6. Bapak Ki Hariyadi, S.Si, M.Ph. selaku dosen program studi matematika yang

telah

membimbing

meluangkan serta

waktu

mengarahkan

untuk

membantu,

sehingga

skripsi

memotivasi, ini

dapat

terselesaikan. 7. Bapak/Ibu Dosen dan Staf Fakultas Sains dan Teknologi UIN Sunan Kalijaga Yogyakarta atas ilmu, bimbingan dan pelayanan selama perkuliahan dan penyusunan skripsi ini selesai. 8. Orang tua tercinta Mulyono, S.E. dan Yani Maryani yang senantiasa memberikan doa, kasih sayang dan pengorbanan yang sangat besar. 9. Kakak tercinta Eko Agus Sarjono, S.T. dan Dwi Heryono Prabowo, S.P. serta keluarga tercinta yang selalu memberikan motivasi. 10. Sahabat terbaik Lisa Ariyanti, Arum Septya Ayu, Fitri Malaikhah dan Rindu Setyaningrum yang selalu memberikan semangat dan motivasi serta Eko Priyono, S.H.I. yang selalu memberikan semangat, motivasi, dukungan dan kasih sayang. 11. Teman-teman matematika 2012 yang selalu memberikan semangat dan dukungan. viii

DAFTAR ISI

HALAMAN JUDUL .................................................................................

i

HALAMAN PERSETUJUAN .................................................................

ii

HALAMAN PENGESAHAN...................................................................

iii

HALAMAN PERNYATAAN...................................................................

iv

HALAMAN PERSEMBAHAN ...............................................................

v

MOTTO .....................................................................................................

vi

KATA PENGANTAR...............................................................................

vii

DAFTAR ISI..............................................................................................

x

DAFTAR GAMBAR.................................................................................

xv

DAFTAR TABEL .....................................................................................

xvi

DAFTAR LAMPIRAN .............................................................................

xvii

DAFTAR LAMBANG .............................................................................. xviii ABSTRAK .................................................................................................

xx

BAB I PENDAHULUAN..........................................................................

1

1.1

Latar Belakang...................................................................................

1

1.2

Batasan Masalah ................................................................................

6

1.3

Rumusan Masalah..............................................................................

7

1.4

Tujuan Penelitian ...............................................................................

7

1.5

Manfaat Penelitian .............................................................................

8

1.6

Tinjauan Pustaka................................................................................

8

x

1.7

Sistematika Penulisan ........................................................................

11

BAB II LANDASAN TEORI ...................................................................

13

2.1

Jakarta Islamic Index (JII) ................................................................

13

2.2

Investasi Saham .................................................................................

14

2.3

Resiko ................................................................................................

17

2.4

Return ................................................................................................

18

2.5

Stasioneritas.......................................................................................

19

2.5.1 Stasioneritas dalam Mean .........................................................

19

2.5.2 Stasioneritas dalam Variansi.....................................................

19

2.5.3 Uji Akar Unit (Unit Root Test) .................................................

20

Distribusi Probabilitas .......................................................................

21

2.6.1 Distribusi Probabilitas Diskrit ..................................................

22

2.6.2 Distribusi Probabilitas Kontinu ................................................

22

2.7

Distribusi Normal ..............................................................................

23

2.8

Data Runtun Waktu (Time Series).....................................................

23

2.9

Model Umum Runtun Waktu ............................................................

25

2.9.1 Model Autoregressive (AR)......................................................

25

2.9.2 Model Moving Average (MA) ..................................................

26

2.9.3 Model Autoregressive Moving Average (ARMA)....................

27

2.9.4 Model Autoregressive Integrated Average (ARIMA)..............

27

2.10 Fungsi ACF dan PACF......................................................................

28

2.10.1 Fungsi Autokorelasi (ACF) ....................................................

28

2.10.2 Fungsi Autokorelasi Parsial (PACF) ......................................

30

2.6

xi

2.11 Pengujian Parameter Model...............................................................

31

2.12 Proses White Noise ............................................................................

33

2.13 Kriteria Pemilihan Model Terbaik.....................................................

34

2.14 Pengujian Asumsi Model Klasik .......................................................

35

2.14.1 Uji Normalitas ........................................................................

36

2.14.2 Uji Autokorelasi......................................................................

37

2.14.3 Uji Heterokedastisitas.............................................................

37

2.15 Pemodelan ARCH (p,q) dan GARCH (p,q) ......................................

39

2.16 Metode Maximum Likelihood ............................................................

40

2.17 Metode Bayesian ...............................................................................

41

2.18 Value at Risk (VaR) ...........................................................................

47

2.19 Likelihood Ratio Test.........................................................................

48

BAB III METODE PENELITIAN ..........................................................

49

3.1

Jenis dan Sumber Data......................................................................

49

3.2

Metode Pengumpulan Data................................................................

49

3.3

Variabel Penelitian.............................................................................

50

3.4

Metode Penelitian ..............................................................................

50

3.5

Metode Analisis Data ........................................................................

51

3.6

Alat Pengolahan Data ........................................................................

53

3.7

Flow Chart.........................................................................................

54

BAB IV PEMBAHASAN..........................................................................

55

4.1

Pemodelan dengan GARCH ..............................................................

55

4.1.1 Model GARCH ........................................................................

55

xii

4.1.2 Estimasi Parameter GARCH (p,q) ...........................................

56

4.1.3 Pemeriksa Diagnosa Model......................................................

63

4.2

Menghitung Value at Risk .................................................................

65

4.3

Menghitung Resiko dengan Model VaR - GARCH ..........................

66

BAB V STUDI KASUS .............................................................................

67

5.1

Pengumpulan Data.............................................................................

67

5.2

Menghitung Nilai Return...................................................................

67

5.3

Deskripsi Data Return........................................................................

68

5.4

Uji Stasioner ......................................................................................

69

5.5

Uji Normalitas ...................................................................................

71

5.6

Pembentukan Model Kondisional Mean ...........................................

73

5.6.1 Identifikasi Model ARIMA ......................................................

73

5.6.2 Estimasi Model Kondisional Mean ..........................................

74

5.7

Uji Efek ARCH..................................................................................

76

5.8

Pemodelan Model GARCH ...............................................................

78

5.8.1 Identifikasi Model GARCH......................................................

78

5.8.2 Estimasi Model GARCH ..........................................................

79

Uji Diagnosa Model GARCH (p,q) ...................................................

81

5.10 Pembentukan Model ..........................................................................

86

5.11 Value at Risk – GARCH (1,1) ...........................................................

86

5.12 Uji Validasi Model ............................................................................

89

BAB VI PENUTUP ...................................................................................

93

6.1

93

5.9

Kesimpulan ........................................................................................ xiii

6.2

Saran ..................................................................................................

94

DAFTAR PUSTAKA ................................................................................

95

LAMPIRAN...............................................................................................

97

DAFTAR RIWAYAT HIDUP .................................................................

182

xiv

DAFTAR GAMBAR

Gambar 2.1 Jenis-Jenis Pola Data...............................................................

24

Gambar 2.2 Ilustrasi Teorema Bayes ..........................................................

42

Gambar 3.1 Flow Chart Analisis VaR – GARCH ......................................

54

Gambar 5.1 Plot Data Return ......................................................................

69

Gambar 5.2 Plot ACF dan PACF Data .......................................................

73

Gambar 5.3 Korelogram Model GARCH (1,1) Iterasi 12 ..........................

84

xv

DAFTAR TABEL

Tabel 1.1 Tinjauan Pustaka .........................................................................

10

Tabel 2.1 Bentuk Transformasi...................................................................

20

Tabel 5.1 Deskripsi Data Return Saham .....................................................

68

Tabel 5.2 Hasil Uji Akar Unit .....................................................................

70

Tabel 5.3 Hasil Uji Normalitas ...................................................................

72

Tabel 5.4 Nilai Z Koreksi ...........................................................................

72

Tabel 5.5 Estimasi Parameter Model Kondisional Mean............................

74

Tabel 5.6 Uji ARCH-LM Model ARIMA (0,0,3).......................................

78

Tabel 5.7 Estimasi Parameter Model GARCH ...........................................

79

Tabel 5.8 Hasil Uji Normalitas Model GARCH (1,1) ................................

83

Tabel 5.9 Hasil Uji ARCH-LM Model GARCH (1,1) Iterasi 12................

86

Tabel 5.10 Hasil Pemeriksaan Diagnosa Model GARCH (1,1)..................

86

Tabel 5.11 Ringkasan Output LR dengan Microsoft Excel ........................

89

xvi

DAFTAR LAMPIRAN

LAMPIRAN 1 Data return index saham JII ...............................................

98

LAMPIRAN 2 Uji Stasioneritas ADF untuk Data Return..........................

110

LAMPIRAN 3 Pengujian Normalitas Jarque-Bera untuk Data Return ......

111

LAMPIRAN 4 Estimasi Model ARIMA ....................................................

112

LAMPIRAN 5 Uji ARCH-LM model ARIMA (0,0,3) ..............................

127

LAMPIRAN 6 Data Pembangkit dan Data Residual indeks saham JII ......

128

LAMPIRAN 7 Uji Normalitas Data Residual ARIMA (0,0,3) ..................

140

LAMPIRAN 8 Estimasi Model GARCH....................................................

141

LAMPIRAN 9 Uji Diagnosa Model GARCH ............................................

156

LAMPIRAN 10 Perhitungan Likelihood Ratio Test ...................................

157

LAMPIRAN 11 Tabel Chi-Kuadrat............................................................

170

xvii

DAFTAR LAMBANG

: akhir suatu bukti

f  x

: fungsi kepadatan probabilitas (pdf)



: integral

P  A

: probabilitas kejadian dari A

P  A  B

: probabilitas kejadian dari A atau B

P  A  B

: probabilitas kejadian dari A dan B

P  A | B

: probabilitas kejadian dari A diberikan ke B

~

: berdistribusi



: omega



: tak terhingga

iid



: berdistribusi random



: didefinisikan



: psi



: sebanding

  

: hyperparameters dari prior yang normal

I

: fungsi indikator



: matriks diagonal dari varians bersyarat

lt* vt*

: transformasi rekursif

xviii

yt

: variabel dependen pada waktu ke-t

ht

: varians bersyarat pada waktu ke-t

t

: model inovasi pada waktu ke-t

J

: jumlah menarik pada posterior

ct

: vektor transformasi rekursif

min 

: nilai minimum



: operator penjumlahan



: operator perkalian

 0 1  2 

: parameter ARCH



: vektor dari parameter ARCH



: parameter GARCH



: gradien



: ekuivalensi



: operator perkalian atau produk Cartesian



: koleksi dari elemen

L  | y 

: marjinal fungsi likelihood

p  | y 

: densitas posterior



: menggambarkan sebelum sampel



*

j

: menggambarkan sampel j : menggambarkan sampel baru

xix

ANALISIS RESIKO SAHAM SYARI’AH MENGGUNAKAN PENDEKATAN BAYESIAN GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROCEDASTICITY (GARCH) (Studi Kasus: Indeks Harga Saham Syari’ah Jakarta Islamic Index) Oleh: Diani Febriyati Pratiwi 12610012 ABSTRAK Seiring dengan perkembangan ekonomi Islam secara global, indeks syari’ah merupakan alternatif investasi khususnya bagi kaum muslim yang ingin berinvestasi secara syari’ah. Salah satu saham dengan prinsip syari’ah yaitu Jakarta Islamic Index (JII). Kegiatan dalam berinvestasi perlu memperhatikan besar resiko yang akan diperoleh pada waktu yang akan datang, maka penelitian ini dilakukan dengan tujuan untuk menganalisis dan mengetahui besar resiko untuk indeks harga saham harian Jakarta Islamic Index (JII). Metode yang digunakan dalam penelitian ini yaitu metode Bayesian. Metode Bayesian adalah metode analisis yang didasarkan pada informasi sampel (sampel informasi) dan informasi prior (prior information). Metode ini akan di estimasi ke dalam model GARCH yang dapat digunakan investor dalam memilih periode yang tepat saat ingin berinvestasi dan menjual saham. Karakteristik model GARCH dilihat dari nilai volatilitas (tingkat perubahan dalam harga saham). Adapun data yang digunakan adalah data indeks penutupan harian saham syari’ah Jakarta Islamic Index (JII) pada periode 1 Januari 2014 sampai 31 Maret 2016 dan software yang digunakan adalah Microsoft Excel 2007, E-Views 5.1, dan Minitab 15. Langkah-langkah dalam penelitian ini adalah menghitung return, menguji stasioneritas, menguji normalitas, pemodelan mean, pengujian adanya efek ARCH, pemodelan variansi, menghitung VaR-GARCH (1,1) dan uji validasi. Hasil penelitian ini menunjukan bahwa model Bayesian GARCH (1,1) adalah model terbaik untuk menghitung resiko. Dimisalkan dana investasi awal Rp10.000.000,00 maka diperoleh model valid untuk meramalkan resiko 1 hari, 2 hari, dan 3 hari kedepan dengan besar resiko berturut-turut Rp275.465,00, Rp389.566,00, dan Rp477.119,00.

Kata kunci: Resiko, Jakarta Islamic Index (JII), Bayesian, GARCH, Volatilitas dan Value at Risk (VaR)

xx

BAB I PENDAHULUAN

1.1 Latar Belakang Pentingnya peran investasi terhadap pertumbuhan ekonomi itulah yang membuat akses terhadap sumber pembiayaan yang murah amatlah penting. Akses terhadap sumber pembiayaan ini dapat terjadi secara langsung (melalui pasar modal) maupun secara tidak langsung (melalui Bank dan lembaga perantara keuangan lainnya). Akses permodalan secara langsung melalui pasar modal memberikan keuntungan berupa relatif rendahnya biaya bunga yang dikenakan kepada investor jika dibandingkan dengan akses permodalan secara tidak langsung. Pada kasus permodalan langsung, investor mendapatkan dananya langsung dari pemilik dana, sedangkan pada kasus permodalan tidak langsung, investor mendapatkan dana dari perantara keuangan, yang mendapatkan dana dari pemilik dana. Perantara keuangan tentu mengenakan bunga yang lebih tinggi kepada investor. Sesuai dengan teori ekonomi, terjadi hubungan yang negatif antara suku bunga dan investasi. Jika suku bunga tinggi, maka akan mengurangi hasrat investor untuk berinvestasi sehingga pertumbuhan ekonomi tidak akan setinggi bila akses terhadap sumber pembiayaan murah (yang ditunjukan dengan rendahnya suku bunga). Pasar modal adalah pertemuan antara pihak yang memiiliki kelebihan dana dengan pihak yang membutuhkan dana dengan cara memperjualbelikan 1

2

sekuritas atau surat berharga. Sekuritas memiliki berbagai macam bentuk yang secara garis besar dikelompokkan menjadi dua jenis yaitu surat kepemilikan (saham) dan surat hutang (obligasi). Menurut Darmidji dan Hendy (2001), saham adalah tanda bukti penyertaan atau kepemilikan seseorang atau suatu institusi dalam suatu badan usaha atau perusahaan. Dengan menerbitkan saham, memungkinkan perusahaan-perusahaan yang membutuhkan pendanaan jangka panjang untuk menjual kepentingan dalam bisnis saham dengan imbalan uang tunai. Indikator atau cerminan harga saham disebut indeks harga saham. Indeks harga saham merupakan salah satu pedoman bagi investor untuk melakukan investasi di pasar modal, khususnya saham. Berkembangnya pasar modal yang telah mengembangkan pengertian mengenai pasar modal berbasis syari’ah. Pasar modal syari’ah merupakan pasar modal yang menerapkan prinsip-prinsip syari’ah dalam transaksi ekonomi. Pasar modal syari’ah menggunakan prinsip, prosedur, asumsi dan aplikasi bersumber dari epistemologi Islam. Di dunia internasional indeks saham syari’ah telah berkembang di negara bagian Timur Tengah maupun Barat. Seiring dengan perkembangan ekonomi Islam secara global, indeks syari’ah merupakan alternatif investasi yang aman khususnya bagi kaum muslim yang ingin berinvestasi secara syari’ah. Indonesia yang sebagian besar penduduknya muslim, memunculkan instrumen pasar modal yang menggunakan prinsip syari’ah, salah satunya dengan adanya Jakarta Islamic Indeks (JII) yang dikhususkan untuk perusahaan-perusahaan dengan prinsip syari’ah.

3

Salah satu indeks saham yang menunjukkan pergerakan harga saham yaitu Jakarta Indeks Islamic (JII). Jakarta Indeks Islamic (JII) merupakan suatu rangkaian informasi historis mengenai pergerakan harga saham Jakarta Indeks Islamic (JII) yang mencerminkan suatu nilai yang berfungsi sebagi pengukur kinerja suatu saham. Saham Jakarta Indeks Islamic (JII) sebagai acuan investasi yang berbasis syari’ah guna melihat pergerakan harga saham syari’ah, sehingga untuk mengetahui kemungkinan kenaikan atau penurunan harga saham diperlukan suatu metode analisis. Return saham merupakan ukuran yang dilihat oleh investor yang akan melakukan investasi pada suatu perusahaan. Menurut (Ang. 1997 dalam Adiliawan, 2010) konsep return (kembalian) adalah tingkat keuntungan yang dinikmati oleh pemodal atas suatu investasi yang dilakukannya. Return saham merupakan income yang diperoleh oleh pemegang saham sebagai hasil dari investasinya di perusahaan tertentu. Sedangkan menurut Hartono (2007) return merupakan hasil yang diperoleh dari investasi atau tingkat keuntungan yang dinikmati oleh pemodal atas suatu investasi yang dilakukannya. Dengan demikian return saham merupakan tingkat hasil pengembalian yang akan diperoleh investor atas investasinya terhadap saham suatu perusahaan. Model runtun waktu (time series) adalah pendugaan masa depan yang dilakukan berdasarkan nilai masa lalu dari suatu variabel atau kesalahan masa lalu. Langkah penting dalam memilih suatu metode runtun waktu (time series) yang tepat adalah dengan mempertimbangkan jenis pola data, sehingga metode yang paling tepat dengan pola tersebut dapat diuji. Pola data dapat dibedakan

4

menjadi empat jenis yaitu pola horizontal, pola musiman, pola siklik, dan pola trend. Nilai data berfluktasi di sekitar nilai rata-rata yang konstan disebut pola horizontal. Sebagai contoh penjualan tiap bulan suatu produk tidak meningkat atau menurun secara konsisten pada suatu waktu dapat dipertimbangkan untuk pola horizontal. Suatu deret dipengaruhi oleh faktor musiman disebut pola musiman yang ditandai dengan adanya pola perubahan yang berulang secara otomatis dari tahun ke tahun. Data dipengaruhi oleh fluktasi ekonomi jangka panjang seperti yang berhubungan dengan siklus bisnis yang dinamakan pola siklis. Terdapat kenaikan atau penurunan sekuler jangka panjang dalam data disebut pola trend (Makridakis, 1999:9-10). Sebagian besar data runtun waktu ekonomi dan keuangan seperti pergerakan kurs valuta asing, harga saham, Gross Domestic Product (GDP), Gross National Product (GNP), inflasi dan sebagainya merupakan data runtun waktu yang tidak stasioner terhadap rata-rata dan ragam (heteroskedastisitas). Model umum runtun waktu Autoregressive (AR), Moving Average (MA) dan Autoregressive Moving Average (ARMA) sering digunakan untuk memodelkan data ekonomi dan keungan dengan asumsi stasioneritas terhadap ragam (homoskedastisitas). Oleh karena itu, dibutuhkan suatu model runtun waktu lain yang dapat memodelkan sebagian dasar data ekonomi dan keuangan dengan tetap mempertahankan heteroskedastisitas data. Salah satu metode yang dapat digunakan untuk mengatasi masalah heteroskedastisitas

adalah

metode

Autoregressive

Conditional

Heteroskedasticity (ARCH) yang diperkenalkan Engle pada tahun 1982. Dalam

5

perkembangan data runtun waktu, muncul variansi dari model ARCH, yang dikenal dengan nama GARCH (Generalized Autoregressive Conditional Heteroscedasticity). GARCH dimaksudkan untuk memperbaiki ARCH dan dikembangkan oleh Tim Bollerslev (1986 dan 1994) (Winarno, 2007:8, 1). Model GARCH merupakan model yang lebih sederhana dengan banyaknya parameter yang lebih sedikit dibandingkan model ARCH berderajat tinggi. Dalam analisis data runtun waktu ekonomi dan keuangan, yang menjadi pusat perhatian adalah fluktasi harga yang menunjukkan naik turunnya harga. Model ARCH dan GARCH sangat berguna untuk mengevaluasi dan memproduksi fluktasi harga. Model GARCH dapat digunakan investor dalam memilih periode yang tepat saat ingin berinvestasi dan menjual saham. Karakteristik model GARCH dilihat dari nilai volatilitas (tingkat perubahan dalam harga saham), jika diprediksi nilai volatilitas tinggi maka menunjukkan tingkat resiko yang tinggi sehingga investor akan meninggalkan pasar atau menjual aset guna meminimalkan resiko. Bagi orang awam nilai volatilitas berguna untuk mengetahui dan memahami gambaran umum tentang resiko dalam berinvestasi saham sehingga dapat menjadi pertimbangan dalam pengambilan keputusan dan kebijakan para pemegang saham. Salah satu metode yang dapat di estimasi ke dalam model GARCH yaitu metode Bayesian. Metode Bayesian adalah metode analisis yang didasarkan pada informasi sampel (sampel information) dan informasi prior (prior information). Informasi prior merupakan informasi terdahulu atau sebelumnya

6

mengenai distribusi dari parameter yang tidak diketahui. Informasi prior ini bersifat subjektif, tergantung pendapat ahli mengenai parameter tersebut. Keuntungan menggunakan analisis Bayesian dalam mengestimasi parameter yaitu analisis yang berlandaskan pada data observasi sehingga memberikan implikasi yang baik dalam analisis, dengan noninformatif prior akan memberikan kemudahan dalam analisis, dan tidak memerlukan asymtotic inference sehingga dapat digunakan untuk semua ukuran sampel (Berger, 1985). Penelitian ini akan menggunakan model Generalized Autoregressive Conditional Heteroscedasticity (GARCH) yang di estimasi ke dalam metode Bayesian. Dari latar belakang di atas maka peneliti mengambil judul tentang “Analisis Resiko Saham Syari’ah menggunakan Pendekatan Bayesian Generalized Autoreressive Conditional Heteroscedasticity (GARCH)”.

1.2 Batasan Masalah Pada penelitian ini terdapat beberapa batasan-batasan yang akan diteliti, batasan-batasan ini digunakan untuk mempermudah peneliti dalam melakukan suatu penelitian, yaitu: 1. Estimasi parameter yang digunakan yaitu menggunakan metode Bayesian. 2. Menggunakan bantuan software Microsoft Excel 2007, E-Views 7.1, dan Minitab 15.

7

1.3 Rumusan Masalah Berdasarkan uraian di atas, maka masalah yang akan dikaji dalam penelitian ini adalah: 1. Bagaimana

langkah-langkah

analisis

resiko

saham

syari’ah

menggunakan Bayesian GARCH untuk data indeks harga saham syari’ah Jakarta Islamic Indeks (JII)? 2. Bagaimana bentuk model Bayesian GARCH untuk mengukur besar resiko investasi pada indeks harga saham syari’ah Jakarta Islamic Indeks (JII)? 3. Berapa besar resiko investasi pada indeks harga saham syari’ah Jakarta Islamic Indeks (JII) menggunakan metode Bayesian GARCH?

1.4 Tujuan Penelitian Berdasarkan rumusan masalah di atas, maka tujuan dari skripsi ini adalah: 1. Mengetahui langkah-langkah analisis resiko saham syari’ah dengan menggunakan Bayesian GARCH. 2. Mengetahui bentuk model Bayesian GARCH untuk mengukur besar resiko investasi pada indeks harga saham syari’ah Jakarta Islamic Indeks (JII). 3. Mengetahui besar resiko investasi pada indeks harga saham syari’ah Jakarta Islamic Indeks (JII).

8

1.5 Manfaat Penelitian 1. Bagi Penulis a. Menambah pengetahuan tentang aplikasi matematika khususnya statistika. b. Menambah wawasan mengenai analisis resiko saham syari’ah menggunakan Bayesian GARCH. 2. Bagi Investor Dapat memberikan informasi atau masukan kepada para investor yang akan berinvestasi dalam pengambilan keputusan, sehingga dapat meminimalis terjadinya resiko.

1.6 Tinjauan Pustaka Tinjauan pustaka yang digunakan oleh peneliti adalah beberapa penelitian yang relavan dengan tema yang diambil peneliti, antara lain: 1. Penelitian Dian Harry Hanggara (2013) yang berjudul Analisis Resiko Investasi dengan Value At Risk (VaR) – Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Penelitian ini menggunakan model Generalized Autoregressive Conditional Heteroscedasticity (GARCH) dengan estimasi parameter menggunakan metode Maximum Likelihood. Data saham yang digunakan pada 3 Januari 2011 – 1 Juli 2013.

9

2. Penelitian Andreas Kurniawan (2013) yang berjudul Analisis Volatilitas Pasar Modal di Indonesia Penerapan Model GARCH pada Return Saham IHSG Harian 4 April 1983 – 15 Juli 2013. Penelitian ini memodelkan return pasar modal untuk penerapan model GARCH dengan saham IHSG harian periode 4 April 1983 – 15 Juli 2013. 3. Penelitian Fauzan Abdillah (2015) yang berjudul Estimasi Bayesian dari Peluang Kegagalan pada Portofolio dengan Kejadian Kegagalan yang Rendah. Pada penelitian ini menganalisis Bayesian dalam mengestimasi besarnya peluang gagal bayar (PD) dalam kasus portofolio dengan kejadian gagal bayar yang sangat rendah. Data yang digunakan pada tahun 1990 – 2010 dari perusahaan pemeringkat obligasi Moody’s. Pada penelitian yang sekarang memiliki persamaan dan perbedaan baik itu dari model yang akan digunakan maupun objek yang diteliti. Penelitian dari Dian Harry Hanggara, objek yang diteliti sebelumnya sama menggunakan saham JII dan model yang digunakan sama menggunakan model GARCH tetapi estimasi yang digunakan berbeda. Pada penelitian sebelumnya mengestimasi menggunakan metode maximum likelihood sedangkan pada penelitian sekarang mengestimasi menggunakan metode Bayesian. Penelitian dari Andreas Kurniawan, model yang digunakan sebelumnya sama menggunakan model GARCH tetapi objek yang digunakan berbeda. Pada penelitian sebelumnya menggunakan objek saham IHSG sedangkan penelitian yang sekarang menggunakan saham JII. Dan penelitian Fauzan Abdillah, metode yang

10

digunakan sama menggunakan metode Bayesian tetapi objek yang digunakan berbeda. Pada penelitian sebelumnya menggunakan data dari perusahaan pemeringkat obligasi Moody’s sedangkan penelitian sekarang menggunakan saham JII. Tabel 1.1. Tinjauan Pustaka No. 1.

Nama Peneliti Dian Harry Hanggara

2.

Andreas Kurniawan

3.

Fauzan Abdillah

Judul Penelitian Analisis Resiko Investasi dengan Value At Risk (VaR) Generalized Autoregressive Conditional Heteroscedasticit y (GARCH). Analisis Volatilitas Pasar Modal di Indonesia Penerapan Model GARCH pada Return Saham IHSG Harian 4 April 1983 – 15 Juli 2013. Estimasi Bayesian dari Peluang Kegagalan pada Portofolio dengan Kejadian Kegagalan yang Rendah.

Model VaR – GARCH

Objek Saham Jakarta Islamic index (JII)

GARCH

Saham IHSG

Bayesian

Perusahaan pemeringkat obligasi Moody’s

11

1.7 Sistematika Penulisan Untuk memberikan gambaran menyeluruh dan memudahkan dalam penelitian mengenai analisis resiko saham syari’ah dengan Bayesian GARCH, secara garis besar sitematika penulisannya yaitu: BAB I

: PENDAHULUAN Berisi latar belakang masalah, batasan masalah, rumusan masalah, tujuan penelitian, manfaat penelitian, tinjauan pustaka, dan sistematika penulisan.

BAB II

: LANDASAN TEORI Berisi tentang teori penunjang yang digunakan dalam pembahasan analisis resiko saham syari’ah menggunakan Bayesian GARCH.

BAB III

: METODE PENELITIAN Berisi berbagai penjelasan mengenai proses pelaksanaan penelitian ini, mulai jenis dan sumber data, metode pengumpulan data, variabel penelitian, metodologi penelitian, metode analisis data, dan sampai pada alat pengolahan data.

BAB IV

: PEMBAHASAN Berisi tentang pembahasan mengenai estimasi model GARCH menggunakan metode Bayesian.

BAB V

: STUDI KASUS Berisi tentang penerapan dan aplikasi analisis resiko saham syari’ah menggunakan Bayesian GARCH pada data

12

indeks saham syari’ah JII dan memberikan interpretasi terhadap hasil yang diperoleh. BAB VI

: PENUTUP Berisi tentang kesimpulan yang dapat diambil dari pembahasan permasalahan yang ada dan pemecahan masalah dan saran-saran yang berkaitan dengan penelitian sejenis untuk penelitian berikutnya.

BAB VI PENUTUP

6.1 Kesimpulan Berdasarkan pada permasalahan yang dikemukakan dalam penelitian ini, dapat diambil kesimpulan sebagai berikut: 1. Ada beberapa langkah-langkah dalam analisis resiko investasi dengan menggunakan VaR-GARCH yaitu menentukan nilai return, menguji kestasioneran data, menguji kenormalan data, menentukan model yang sesuai untuk persamaan mean, menguji ada tidaknya efek ARCH, menentukan model yang sesuai untuk persamaan variansi, menghitung nilai VaR-GARCH dan menguji validasi VaR-GARCH. 2. Berdasarkan simulasi join distribusi posterior, diperoleh model terbaik yaitu model GARCH (1,1) yang dapat ditulis sebagai ARMA (1,1). Jadi persamaan model GARCH (1,1) dengan estimasi Bayesian sebagai berikut: a. Persamaan ARIMA (0,0,3):

Yt  0,109960et 3 b. Persamaan GARCH (1,1):  t2  0, 000229  0, 227579 t21  0, 227857 t21

3. Pengukuran besar resiko investasi dengan menggunakan VaR – GARCH (1,1), dengan nilai investasi awal diasumsikan sebesar Rp10.000.000,00

93

94

menghasilkan besar nilai resiko untuk indeks harga saham harian JII dengan tingkat kepercayaan 95% sebagai berikut: a. Dalam periode waktu 1 hari kedepan sebesar Rp275.465,00 b. Dalam periode waktu 2 hari kedepan sebesar Rp389.566,00 c. Dalam periode waktu 3 hari kedepan sebesar Rp477.119,00 d. Dalam periode waktu 4 hari kedepan sebesar Rp550.929,00

6.2 Saran Berdasarkan pengalaman dan petimbangan dalam studi literatur, saransaran yang dapat disampaikan peneliti adalah: 1. Model yang didapat pada pembahasan penelitian ini, diharapkan dapat menjadi bahan pertimbangan bagi para investor. 2. Dengan adanya hasil penelitian ini, disarankan untuk para analis dan investor di pasar saham Indonesia untuk mengukur resiko harga dari saham dengan menggunakan Value at Risk agar dapat mengantisipasi lebih awal kerugian terburuk yang mungkin akan dialami. 3. Melanjutkan pembahasan tentang Value at Risk dengan metode lain seperti Bayesian Markov Switching ARCH, Bayesian Markov Switching GARCH, atau membandingkan dua metode dalam menentukan VaR. Demikian saran dari peneliti semoga dapat menjadi masukan para peneliti pada bidang statistik khususnya analisis resiko investasi dengan VaR-GARCH, untuk melanjutkan dan mengembangkan penelitian ini.

95

DAFTAR PUSTAKA Abdillah, F. 2015. Penelitian : Estimasi Bayesian dari Peluang Kegagalan pada Portofolio dengan Kejadian Kegagalan yang Rendah. Yogyakarta : Fakultas Matematika dan Ilmu Pengetahuan Alam Universitas Gadjah Mada. Ardian, D. 2008. Financial Risk Management with Bayesian Estimation of GARCH. Models: Theory and Application. Springer, Berlin. Ariefianto, M. Doddy. 2012. Ekonometrika Esensi dan Aplikasi dengan Menggunakan EViews. Jakarta: Erlangga. Bain, L. J. dan M. Engelhardt. 1992. Introduction to Probability and Mathematical Statistics 2nd Edition. California: Duxbury Press. Bodie, Z., Kane, A., & Marcus, A. J. 2006. Investments. (6th ed.) New York : McGraw-Hill/Irwin. Harry, D. H. 2013. Penelitian : Analisis Resiko Investasi dengan Value At Risk (VaR) – Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Yogyakarta : Fakultas Sains dan Teknologi Universitas Islam Negeri Sunan Kalijaga. Hartono, Jogiyanto. 2013. Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE-Yogyakarta. Hendrawan, Bambang. 2002. Penerapan Model ARIMA Dalam Memprediksi IHSG. Journal Politeknik Batam Parkway Streets. Jorion, Philippe. 2007. Value at Risk The New Benchmark for Managing Financial Risk. New York: McGraw-Hill. Kurniawan, A. 2013. Penelitian : Analisis Volatilitas Pasar Modal di Indonesia Penerapan Model GARCH pada Return Saham IHSG Harian 4 April 1983 – 15 Juli 2013. Yogyakarta : Fakultas Ekonomika dan Bisnis Universitas Gadjah Mada. Makridakis, S. Dkk. 1995. Metode dan Aplikasi Peramalan. Jakarta: Erlangga. Makridakis, S. Dkk. 1988. Metode dan Aplikasi Peramalan. Edisi kedua. Jakarta: Erlangga. Makridakis, S. Dkk. 1999. Metode Dan Aplikasi Peramalan. Jakarta : Erlangga.

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Qudratullah, M. F. 2013. Analisis Portofolio Optimum Saham Syariah dan Prospeknya Menggunakan Value at Risk-Capital Asset Pricing model (VaRCAMP) dalam rangka Pengembangan Pasar Modal Syariah di Indonesia. Program Studi Matematika Fakultas Sains dan Teknologi UIN Sunan Kalijaga. Qudratullah, M. F. 2009. Pengantar Statistika Matematik. Handout Kuliah Program Studi Matematika Fakultas Sains dan Teknologi UIN Sunan Kalijaga. Rosadi, D. 2006. Pengantar Analisis Runtun Waktu. FMIPA Universitas Gajah Mada : Yogyakarta. Subanar. 2013. Statistika Matematika. Yogyakarta: Graha Ilmu. Tandelilin, Eduardus. 2010. Portofolio dan Investasi teori dan aplikasi. Edisi Pertama. Yogyakarta: KANISIUS. Warsini, S. 2007. Management Risiko Finansial. Jakarta : Salemba Empat. Warsini, S. 2009. Manajemen Investasi. Jakarta: Semesta Media. Widarjono, A. 2007. Ekonomretrika Teori dan Aplikasi untuk Ekonomi dan Bisnis. Yogyakarta : Yogyakarta. Widarjono, A. 2013. Ekonometrika Pengantar dan Aplikasinya. Yogyakarta: UPP STIM YKPN. Winarno, W. W. 2007. Analisis Ekonometrika dan Statistika dengan Eviews. Yogyakarta : Sekolah Tinggi Ilmu Manajemen YKPN. www.yahoofinance.com

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LAMPIRAN 1: Data return indeks saham JII No. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44

Date 1/2/2014 1/3/2014 1/6/2014 1/7/2014 1/8/2014 1/9/2014 1/10/2014 1/13/2014 1/15/2014 1/16/2014 1/17/2014 1/20/2014 1/21/2014 1/22/2014 1/23/2014 1/24/2014 1/27/2014 1/28/2014 1/29/2014 1/30/2014 2/3/2014 2/4/2014 2/5/2014 2/6/2014 2/7/2014 2/10/2014 2/11/2014 2/12/2014 2/13/2014 2/14/2014 2/17/2014 2/18/2014 2/19/2014 2/20/2014 2/21/2014 2/24/2014 2/25/2014 2/26/2014 2/27/2014 2/28/2014 3/3/2014 3/4/2014 3/5/2014 3/6/2014

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589.450012 589.72998 588.109985 580.219971 573.869995 576.169983 572.700012 589.549988 603.099976 612.869995 605.47998 608.320007 611.599976 607.330017 616.210022 610.780029 589.780029 582.859985 591.289978 592.880005 598.280029 584.98999 592.869995 595.679993 604.049988 610.280029 602.26001 607.719971 607.73999 609.619995 611.849976 616.380005 615.820007 619.530029 625.159973 627.5 623.01001 610.650024 606.840027 615.570007 619.140015 618.200012 624.02002 629.440002

596.150024 585.640015 579.929993 572.289978 576.409973 574.280029 582.380005 601.809998 609.900024 606.820007 603.059998 608.320007 609.109985 614.409973 614.969971 604.369995 583.880005 588.27002 601.539978 602.869995 595.619995 587.48999 594.5 601.059998 606.219971 603.330017 604.700012 609.080017 607.219971 608.969971 615.609985 615.099976 621.72998 622.159973 626.969971 621.940002 614.47998 606.030029 612.840027 626.859985 618.97998 620.049988 628 631

0 -0.017787062 -0.009797897 -0.013261577 0.007173349 -0.003702033 0.014006031 0.032818613 0.013353271 -0.00506283 -0.006215527 0.00868438 0.00129778 0.008663563 0.000911025 -0.017386854 -0.034491094 0.007490569 0.022306937 0.002208579 -0.012098705 -0.013743664 0.011861509 0.010974044 0.008548149 -0.00477857 0.002268148 0.007217163 -0.003058534 0.002877842 0.010844664 -0.000828805 0.010721066 0.000691368 0.007701395 -0.008055018 -0.012067279 -0.013846811 0.011174397 0.022619272 -0.012650277 0.001727171 0.012740066 0.004765696

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No. 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90

Date 3/7/2014 3/10/2014 3/11/2014 3/12/2014 3/13/2014 3/14/2014 3/17/2014 3/18/2014 3/19/2014 3/20/2014 3/21/2014 3/24/2014 3/25/2014 3/26/2014 3/27/2014 3/28/2014 4/1/2014 4/2/2014 4/3/2014 4/4/2014 4/7/2014 4/8/2014 4/9/2014 4/10/2014 4/11/2014 4/14/2014 4/15/2014 4/16/2014 4/17/2014 4/21/2014 4/22/2014 4/23/2014 4/24/2014 4/25/2014 4/28/2014 4/29/2014 4/30/2014 5/2/2014 5/5/2014 5/6/2014 5/7/2014 5/8/2014 5/9/2014 5/12/2014 5/13/2014 5/14/2014

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633.77002 626.809998 631.909973 630.099976 635.179993 635.099976 665.130005 664.25 653.840027 652.719971 636.650024 638 633.659973 632.590027 634.27002 636.840027 645.359985 658.390015 657 659.070007 652.950012 666.369995 666.369995 652.719971 636.659973 652.679993 662 662.820007 662.909973 666.929993 664.25 663.950012 663.539978 664.869995 661.099976 646.01001 648.630005 646.049988 647.200012 649.719971 647.27002 654.380005 653.280029 658 666.659973 664.450012

631.73999 632.909973 635.349976 633.169983 641.309998 661.73999 663.859985 651.320007 655.450012 634.169983 636.549988 637.789978 632.440002 636.47998 635.02002 640.409973 657.090027 655.27002 658.530029 653.27002 667.219971 666.52002 666.52002 643.150024 653.280029 659.710022 659.780029 657.859985 663.590027 663.52002 664.130005 664.140015 663.179993 663.210022 650.320007 645.25 647.669983 646.25 648.25 647.039978 651.72998 652.799988 655.950012 662.469971 661.049988 672.599976

0.001172039 0.001850288 0.003847801 -0.003437069 0.012774035 0.031359758 0.003198547 -0.019070178 0.006320957 -0.03300501 0.00374592 0.00194609 -0.008423683 0.006367607 -0.002296438 0.008452028 0.025712482 -0.002773642 0.004962727 -0.008019572 0.021129232 -0.001049606 0 -0.035692161 0.015627856 0.009794506 0.000106112 -0.00291437 0.00867241 -0.000105503 0.000918894 1.50722E-05 -0.001446557 4.52793E-05 -0.019627155 -0.007826722 0.003743443 -0.002194855 0.003089999 -0.001868342 0.007222253 0.00164045 0.0048138 0.009890645 -0.002145768 0.017321302

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No. 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136

Date 5/16/2014 5/19/2014 5/20/2014 5/21/2014 5/22/2014 5/23/2014 5/26/2014 5/28/2014 5/30/2014 6/2/2014 6/3/2014 6/4/2014 6/5/2014 6/6/2014 6/9/2014 6/10/2014 6/11/2014 6/12/2014 6/13/2014 6/16/2014 6/17/2014 6/18/2014 6/19/2014 6/20/2014 6/23/2014 6/24/2014 6/25/2014 6/26/2014 6/27/2014 6/30/2014 7/1/2014 7/2/2014 7/3/2014 7/4/2014 7/7/2014 7/8/2014 7/10/2014 7/11/2014 7/14/2014 7/15/2014 7/16/2014 7/17/2014 7/18/2014 7/21/2014 7/22/2014 7/23/2014

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671.159973 683.849976 677.01001 658.130005 668.669983 673.630005 674.640015 671.349976 676.409973 655.780029 660.849976 661.380005 662.090027 663.559998 668.289978 660.599976 669.960022 670.77002 665.109985 664.659973 656.929993 661.429993 660.049988 655.700012 654.369995 654.859985 654.450012 651.599976 656.02002 652.51001 655.619995 656.570007 663.390015 660.349976 665.830017 682.789978 694.849976 687.679993 681.409973 682.309998 688.25 697.309998 681.780029 694.119995 699.929993 696.23999

680.630005 678.080017 660.080017 664.780029 672.51001 672.109985 671.820007 673.960022 656.830017 658.900024 662.609985 661.619995 663.030029 666.400024 658.98999 669.179993 672.98999 666.650024 665.27002 655.900024 661.51001 658.049988 654.359985 652.969971 653.440002 654.650024 651.630005 656.690002 651.890015 655 656.349976 663.859985 661.789978 663.630005 679.409973 683.289978 692.849976 679.849976 679.710022 688.200012 694.48999 685.929993 689.789978 697.109985 692.330017 692.140015

0.011868084 -0.003753547 -0.026904235 0.007095137 0.011560794 -0.000595001 -0.000431537 0.003180337 -0.025745536 0.003146555 0.005614745 -0.001495194 0.002128916 0.005069845 -0.011181782 0.015344727 0.005677384 -0.009465249 -0.002072203 -0.014184628 0.008516741 -0.005244218 -0.005623262 -0.002126494 0.000719577 0.00185006 -0.004623854 0.007735145 -0.007336209 0.004759377 0.002058911 0.011377115 -0.003123009 0.002776521 0.023499962 0.0056946 0.013894156 -0.018941341 -0.000205881 0.012413242 0.009098238 -0.012402177 0.0056116 0.010556024 -0.006880451 -0.000274476

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No. 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182

Date 7/24/2014 7/25/2014 8/4/2014 8/5/2014 8/6/2014 8/7/2014 8/8/2014 8/11/2014 8/12/2014 8/13/2014 8/14/2014 8/15/2014 8/18/2014 8/19/2014 8/20/2014 8/21/2014 8/22/2014 8/25/2014 8/26/2014 8/27/2014 8/28/2014 8/29/2014 9/1/2014 9/2/2014 9/3/2014 9/4/2014 9/5/2014 9/8/2014 9/9/2014 9/10/2014 9/11/2014 9/12/2014 9/15/2014 9/16/2014 9/17/2014 9/18/2014 9/19/2014 9/22/2014 9/23/2014 9/24/2014 9/25/2014 9/26/2014 9/29/2014 9/30/2014 10/1/2014 10/2/2014

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696.210022 694.369995 683.619995 702.169983 693.799988 687.200012 690.090027 693.789978 700.130005 702.52002 706.880005 703.630005 702.619995 704.650024 701.27002 705.27002 709.349976 703.23999 703.309998 695.679993 699.98999 699.51001 693.75 699.320007 703.609985 707.02002 699.289978 706.169983 708.380005 695.75 689.869995 686.210022 686.030029 694.340027 696.450012 701.359985 703.919983 702.659973 699.130005 697.630005 697.549988 685.359985 685.840027 685.380005 686.429993 676.51001

692.460022 690.400024 701.22998 697.150024 687.880005 690.390015 686.72998 697.349976 700.190002 707.380005 703.809998 701.440002 702.469971 701.369995 706.219971 707.440002 704.210022 701.090027 696 698.909973 701.52002 691.130005 699.5 703.049988 707.219971 702.22998 702.849976 707.97998 698.210022 688.650024 683.320007 688.679993 691.599976 691 699.090027 702.719971 704.710022 702.419983 696.190002 692.530029 695 687.630005 689.47998 687.619995 682.390015 661.700012

0.000462237 -0.002979332 0.015564733 -0.005835277 -0.013386219 0.003642266 -0.005315504 0.01534623 0.004064327 0.010216281 -0.00505958 -0.003373063 0.001467287 -0.001567096 0.006891205 0.00172606 -0.004576185 -0.004440333 -0.007286645 0.00417228 0.003727498 -0.014921492 0.012037848 0.005062202 0.005913754 -0.007080793 0.000882506 0.007272353 -0.013895868 -0.013786754 -0.007769913 0.00781343 0.004231007 -0.000867895 0.011639704 0.00517895 0.002827924 -0.00325491 -0.008908877 -0.005271014 0.003560245 -0.010660936 0.002686751 -0.002701309 -0.007634989 -0.030789065

102

No.

Date

Open

Close

Return

183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228

10/3/2014 10/6/2014 10/7/2014 10/8/2014 10/9/2014 10/10/2014 10/13/2014 10/14/2014 10/15/2014 10/16/2014 10/17/2014 10/20/2014 10/21/2014 10/22/2014 10/23/2014 10/24/2014 10/27/2014 10/28/2014 10/29/2014 10/30/2014 10/31/2014 11/3/2014 11/4/2014 11/5/2014 11/6/2014 11/7/2014 11/10/2014 11/11/2014 11/12/2014 11/13/2014 11/14/2014 11/17/2014 11/18/2014 11/19/2014 11/20/2014 11/21/2014 11/24/2014 11/25/2014 11/26/2014 11/27/2014 11/28/2014 12/1/2014 12/2/2014 12/3/2014 12/4/2014 12/5/2014

664.51001 665.049988 667.070007 662.840027 665.049988 654.960022 651.640015 645.710022 654.320007 646.840027 653.349976 670.179993 667.309998 667.109985 668.099976 669.809998 668.280029 658.049988 656.23999 668.580017 669.780029 672.890015 669.460022 665.880005 665.809998 661.580017 655.070007 650.849976 664.73999 663.630005 666.070007 662.099976 672.059998 677.630005 678.090027 671.900024 681.710022 684.169983 681.190002 684.710022 682.719971 682.369995 686.049988 687.719971 686.690002 687.830017

658.98999 665.119995 671.01001 659.349976 662.820007 655.98999 647.23999 650.340027 652.77002 651.97998 663.570007 662.619995 661.880005 668.130005 671.070007 666.409973 658.700012 652.619995 667.799988 666.809998 670.440002 670.190002 664.450012 665.429993 662.140015 654.02002 649.650024 661.679993 663.919983 665.700012 665.840027 668.51001 675.76001 678.640015 672.590027 677.52002 686.48999 680.099976 681.599976 684.710022 683.02002 685.400024 685.919983 681.73999 686.690002 688.280029

-0.004103954 0.009259123 0.008816587 -0.01752959 0.005249006 -0.010357941 -0.013428377 0.004778191 0.003729533 -0.001211021 0.017620504 -0.001432694 -0.001117388 0.009398495 0.004390691 -0.006968408 -0.011636842 -0.009273191 0.022993687 -0.001483565 0.005429071 -0.000372959 -0.008601608 0.001473789 -0.004956401 -0.012339074 -0.006704169 0.018348252 0.00337959 0.002677502 0.000210305 0.004001928 0.010786628 0.004252819 -0.008954846 0.00730313 0.013152542 -0.009351833 0.002203129 0.004552483 -0.002471252 0.003478473 0.000758334 -0.006112639 0.007234617 0.002312818

103

No.

Date

Open

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Return

229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274

12/8/2014 12/9/2014 12/10/2014 12/11/2014 12/12/2014 12/15/2014 12/16/2014 12/17/2014 12/18/2014 12/19/2014 12/29/2014 12/30/2014 12/31/2014 1/2/2015 1/5/2015 1/6/2015 1/7/2015 1/8/2015 1/9/2015 1/12/2015 1/13/2015 1/14/2015 1/15/2015 1/16/2015 1/19/2015 1/20/2015 1/21/2015 1/22/2015 1/23/2015 1/26/2015 1/27/2015 1/28/2015 1/29/2015 1/30/2015 2/2/2015 2/3/2015 2/4/2015 2/5/2015 2/6/2015 2/9/2015 2/10/2015 2/11/2015 2/12/2015 2/13/2015 2/16/2015 2/17/2015

691.929993 678.460022 682.719971 678.929993 679.669983 675.109985 666.530029 661.599976 675.48999 681.049988 684.320007 685.570007 685.570007 693.369995 692.669983 681.859985 682.219971 689.98999 690.23999 687.460022 686.950012 692.119995 685.710022 686.900024 682.890015 682.950012 690.409973 701.01001 713.73999 714.640015 704.140015 705.960022 704.25 708.159973 703.969971 703.369995 709.52002 706.710022 702.880005 710.890015 707.01001 712.140015 713.97998 716.719971 709.599976 714.340027

680.77002 678.710022 682.719971 679.659973 680.390015 674.280029 663.390015 661.599976 675.48999 679.179993 685.840027 691.039978 691.039978 694.469971 689.090027 681.070007 687.51001 688.140015 688.950012 683.780029 692.150024 681.659973 687.570007 681.690002 681.640015 688.619995 702.099976 708.840027 716.72998 705.429993 707.710022 706.090027 703.099976 706.679993 701.5 704.640015 708.719971 700.400024 711.52002 710.890015 707.01001 712.140015 713.97998 721.530029 709.599976 714.340027

-0.010971234 -0.00303057 0.005890807 -0.004492144 0.001073552 -0.009020687 -0.016282423 -0.002701968 0.020777231 0.005447839 0.009758226 0.007553274 0 0.004951246 -0.007776997 -0.011706825 0.009411288 0.000915938 0.001176389 -0.007532446 0.012166459 -0.01527177 0.008632693 -0.008588641 -7.33307E-05 0.010187906 0.019386222 0.009554059 0.011069304 -0.015891637 0.0032269 -0.00229169 -0.004243651 0.005078842 -0.007357037 0.004466156 0.00577343 -0.011808851 0.01575192 -0.000885828 -0.005472903 0.007229718 0.00258038 0.010519075 -0.0166726 0.00665768

104

No. 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320

Date 2/18/2015 2/19/2015 2/20/2015 2/23/2015 2/24/2015 2/25/2015 2/26/2015 2/27/2015 3/2/2015 3/3/2015 3/4/2015 3/5/2015 3/6/2015 3/9/2015 3/10/2015 3/11/2015 3/12/2015 3/13/2015 3/16/2015 3/17/2015 3/18/2015 3/19/2015 3/20/2015 3/23/2015 3/24/2015 3/25/2015 3/26/2015 3/27/2015 3/30/2015 3/31/2015 4/1/2015 4/2/2015 4/6/2015 4/7/2015 4/8/2015 4/9/2015 4/10/2015 4/13/2015 4/14/2015 4/15/2015 4/16/2015 4/17/2015 4/20/2015 4/21/2015 4/22/2015 4/23/2015

Open

Close

Return

719.109985 719.109985 717.320007 718.390015 720.429993 727.440002 727.369995 727.169983 728.609985 730.200012 723.390015 722.090027 725.669983 729.049988 722.840027 721.98999 720.830017 727.549988 722.469971 728.679993 722.650024 725.090027 722.01001 723.789978 721.130005 719.52002 706.090027 701.719971 714.51001 729.47998 726.809998 721.01001 719.429993 723.799988 726.52002 721.599976 724.440002 719.200012 717.109985 712.609985 712.140015 709.340027 709.47998 705.960022 716.98999 717.02002

718.679993 718.679993 715.359985 718.390015 720.429993 727.440002 727.369995 722.099976 728.609985 730.200012 723.390015 722.090027 734.849976 724.650024 725.849976 720.530029 723.77002 723.679993 725.349976 724.679993 718.320007 724.859985 721.669983 721 721.5 711.030029 703.47998 709.97998 720.5 728.200012 718.590027 716.799988 720.869995 727.559998 719.98999 723.849976 722.080017 717.429993 711.109985 711.090027 710.409973 709.330017 704.25 717.97998 716.119995 718.849976

0.006057109 0 -0.004630295 0.004226726 0.002835628 0.009683278 -9.62421E-05 -0.007271682 0.008974989 0.002179897 -0.009369969 -0.001798694 0.017516542 -0.013977551 0.001654536 -0.007356256 0.004486597 -0.000124394 0.002304968 -0.000924095 -0.008815006 0.00906335 -0.004410565 -0.00092881 0.000693241 -0.014617714 -0.010675245 0.009197354 0.014708643 0.010630337 -0.013284756 -0.002494151 0.005661964 0.009237658 -0.010459158 0.005346846 -0.002448196 -0.006460587 -0.008848264 -2.80664E-05 -0.000956812 -0.001521344 -0.00718748 0.019308279 -0.002593942 0.003804936

105

No. 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366

Date 4/24/2015 4/27/2015 4/28/2015 4/29/2015 4/30/2015 5/1/2015 5/4/2015 5/5/2015 5/6/2015 5/7/2015 5/8/2015 5/11/2015 5/12/2015 5/13/2015 5/15/2015 5/18/2015 5/19/2015 5/20/2015 5/21/2015 5/22/2015 5/25/2015 5/26/2015 5/27/2015 5/28/2015 5/29/2015 6/1/2015 6/3/2015 6/4/2015 6/5/2015 6/8/2015 6/9/2015 6/10/2015 6/11/2015 6/12/2015 6/15/2015 6/16/2015 6/17/2015 6/18/2015 6/19/2015 6/22/2015 6/23/2015 6/24/2015 6/25/2015 6/26/2015 6/29/2015 6/30/2015

Open

Close

Return

722.679993 713.460022 693.429993 698.109985 670.609985 670.609985 668.150024 681.419983 680.52002 687.719971 692.030029 701.030029 696.72998 701.539978 707.340027 707.570007 707.909973 714.349976 717.320007 712.630005 712.780029 712.51001 716.539978 711.099976 705.77002 698.700012 698.429993 690.159973 683.5 681.840027 672.539978 659.200012 672.630005 668.75 663.799988 649.940002 656.460022 661.070007 665.950012 667.859985 663.109985 662.409973 664.109985 659.599976 655 652.950012

723.289978 698.23999 701.080017 674.869995 664.799988 664.799988 679.159973 686.25 692.299988 685.969971 696.700012 696.159973 696.950012 706.030029 708.849976 708.51001 711.75 714.799988 712.280029 711.77002 711.27002 719.299988 707.77002 707.159973 698.070007 700.650024 692.400024 685.289978 684.75 672.869995 655.700012 664.75 666.599976 665.659973 648.039978 653.030029 660.820007 665.059998 666.820007 661.640015 657.109985 666.369995 659.789978 658.849976 652.820007 656.98999

0.006157538 -0.035247349 0.004059159 -0.038101955 -0.015033847 0 0.021370475 0.010385292 0.008777378 -0.009185518 0.015521067 -0.000775439 0.001134209 0.012944081 0.003986134 -0.000479717 0.004562539 0.00427604 -0.003531633 -0.00071628 -0.000702721 0.011226368 -0.01615929 -0.0008623 -0.012937516 0.003689116 -0.011844652 -0.010321784 -0.000788266 -0.01750167 -0.025848753 0.013707645 0.0027791 -0.001411141 -0.0268266 0.007670726 0.011858384 0.00639576 0.002642896 -0.007798531 -0.006870215 0.013993655 -0.009923495 -0.001425715 -0.009194403 0.006367331

106

No. 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412

Date 7/1/2015 7/2/2015 7/3/2015 7/6/2015 7/7/2015 7/8/2015 7/9/2015 7/10/2015 7/13/2015 7/14/2015 7/15/2015 7/22/2015 7/23/2015 7/24/2015 7/27/2015 7/28/2015 7/29/2015 7/30/2015 7/31/2015 8/3/2015 8/4/2015 8/5/2015 8/6/2015 8/7/2015 8/10/2015 8/11/2015 8/12/2015 8/13/2015 8/14/2015 8/18/2015 8/19/2015 8/20/2015 8/21/2015 8/24/2015 8/25/2015 8/26/2015 8/27/2015 8/28/2015 8/31/2015 9/1/2015 9/2/2015 9/3/2015 9/4/2015 9/7/2015 9/8/2015 9/9/2015

Open

Close

Return

660.059998 657.820007 661.049988 664.109985 661.590027 661.299988 649.75 650.130005 650.77002 658.590027 654.72998 655.900024 655.780029 653.070007 642.049988 629.969971 632.179993 632.640015 630.780029 636.429993 632.210022 636.109985 644.880005 635.340027 630.940002 630.710022 599.679993 587.950012 604.390015 603.450012 593.669983 589.599976 581.929993 553.909973 545.880005 547.77002 562.159973 593.72998 588.150024 594.049988 575.580017 588.22998 589.530029 584.789978 560.869995 573.080017

654.809998 662.419983 670.929993 661.369995 657.719971 653.25 645.590027 648.73999 654.820007 655.900024 653.650024 658.390015 656.340027 646.940002 632.140015 628.630005 629.099976 628.900024 641.969971 636.98999 634.219971 644.25 634.640015 631.77002 628.830017 607.75 585.320007 605.299988 606.409973 597.190002 592.130005 587.98999 572.01001 544.390015 554.869995 553.090027 585.169983 586.090027 598.280029 584.099976 582.659973 590.890015 589.140015 565.330017 567.340027 574.98999

-0.003323668 0.011554656 0.012765029 -0.014351366 -0.005534169 -0.00681936 -0.011795235 0.004867335 0.009328395 0.001647975 -0.003436298 0.007225407 -0.003118495 -0.014425431 -0.023142645 -0.005568056 0.000747332 -0.000317889 0.020569229 -0.007787587 -0.004358089 0.015690998 -0.015028917 -0.004532497 -0.004664459 -0.034097364 -0.037604895 0.033565465 0.001832097 -0.015320956 -0.00850911 -0.00701629 -0.027553433 -0.049490562 0.019067914 -0.003213057 0.056381589 0.001571033 0.020585513 -0.02398676 -0.00246838 0.014026121 -0.002966028 -0.04125421 0.003549157 0.013393813

107

No.

Date

Open

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Return

413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458

9/10/2015 9/11/2015 9/14/2015 9/15/2015 9/16/2015 9/17/2015 9/18/2015 9/21/2015 9/22/2015 9/23/2015 9/25/2015 9/28/2015 9/29/2015 9/30/2015 10/1/2015 10/2/2015 10/5/2015 10/6/2015 10/7/2015 10/8/2015 10/9/2015 10/12/2015 10/13/2015 10/15/2015 10/16/2015 10/19/2015 10/20/2015 10/21/2015 10/22/2015 10/23/2015 10/26/2015 10/27/2015 10/28/2015 10/29/2015 10/30/2015 11/2/2015 11/3/2015 11/4/2015 11/5/2015 11/6/2015 11/9/2015 11/10/2015 11/11/2015 11/12/2015 11/13/2015 11/16/2015

567.030029 581.859985 588.590027 588.47998 583.880005 579.75 585.299988 579.48999 585.090027 569.679993 564.650024 554.080017 532.580017 555.059998 556.849976 560.049988 559.169983 584.73999 597.179993 604.97998 610.940002 616.340027 617.570007 598.97998 605.190002 604.659973 610.98999 615.429993 616.679993 624.75 623.76001 619.080017 617.130005 610.369995 586.289978 584.450012 599.469971 610.469971 605.22998 605.570007 591.369995 582.210022 584.880005 582.47998 578.52002 581.530029

577.059998 584.900024 591.679993 580.280029 577.070007 584.429993 584.840027 583.280029 576.159973 561.530029 557.22998 542 554.429993 556.090027 563.059998 553.869995 576.340027 596.679993 602.549988 601.150024 615.429993 619.080017 592.97998 599.47998 602.01001 612.109985 612.840027 616.929993 611.340027 620.23999 623.609985 620.940002 610.900024 586.969971 586.099976 593.580017 599.469971 610.469971 605.22998 603.789978 591.369995 582.210022 584.880005 582.47998 587.549988 581.530029

0.003593612 0.01349469 0.011525003 -0.019455141 -0.005547207 0.012673413 0.00070135 -0.002670956 -0.012282042 -0.0257201 -0.007687208 -0.027712044 0.022674545 0.002989654 0.012455991 -0.016456198 0.039767818 0.034683133 0.009789685 -0.002326102 0.023476672 0.005913333 -0.043073895 0.010901942 0.004211494 0.016637907 0.001191954 0.006651619 -0.009102241 0.01445317 0.005418665 -0.004290687 -0.016301143 -0.039959657 -0.001483279 0.012681645 0.009873856 0.018183222 -0.008620587 -0.002382099 -0.020784548 -0.015610625 0.004575461 -0.004111891 0.008666513 -0.010298717

108

No.

Date

Open

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Return

459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504

11/17/2015 11/18/2015 11/19/2015 11/20/2015 11/23/2015 11/24/2015 11/25/2015 11/26/2015 11/27/2015 11/30/2015 12/1/2015 12/2/2015 12/3/2015 12/4/2015 12/7/2015 12/8/2015 12/10/2015 12/11/2015 12/14/2015 12/15/2015 12/16/2015 12/17/2015 12/18/2015 12/21/2015 12/22/2015 12/23/2015 12/28/2015 12/29/2015 12/30/2015 1/4/2016 1/5/2016 1/6/2016 1/7/2016 1/8/2016 1/11/2016 1/12/2016 1/13/2016 1/14/2016 1/15/2016 1/18/2016 1/19/2016 1/20/2016 1/21/2016 1/22/2016 1/25/2016 1/26/2016

589.299988 593.789978 596.859985 597.219971 595.599976 594.880005 599.280029 601.789978 602.710022 579.799988 598.030029 596.900024 596.570007 590.75 595.719971 589.780029 578.299988 580.799988 565.630005 573.179993 583.169983 600.52002 590.419983 591.690002 595.599976 594.289978 597.280029 599.440002 600.929993 592.109985 597.26001 612.219971 599.380005 599.01001 586.710022 596.039978 601.440002 592.960022 596.609985 587.5 592.400024 582.799988 581.780029 589.940002 595.409973 594.950012

589.299988 593.789978 596.859985 604.539978 595.599976 594.880005 599.280029 601.789978 601.039978 579.799988 598.030029 596.900024 596.570007 592.900024 595.719971 582.210022 578.299988 565.090027 565.630005 573.179993 583.169983 600.52002 588.219971 591.690002 595.599976 593.25 597.280029 599.440002 603.349976 592.109985 597.26001 612.219971 599.380005 600.47998 586.710022 596.039978 601.859985 594.119995 594.640015 587.5 592.400024 582.799988 581.780029 590.669983 595.409973 594.950012

0.01327276 0.007590313 0.00515687 0.012785247 -0.014898541 -0.001209548 0.00736927 0.004179528 -0.001247059 -0.035978256 0.030957773 -0.001891333 -0.000553038 -0.006170806 0.004744918 -0.022939464 -0.006738501 -0.023107686 0.000955105 0.013259628 0.017278919 0.02931727 -0.020695002 0.005881874 0.006586408 -0.003953365 0.006770168 0.003609826 0.00650153 -0.018805017 0.008660143 0.024739101 -0.021195852 0.001833506 -0.023198604 0.015777044 0.009717093 -0.012943524 0.000874895 -0.01207996 0.008305877 -0.016338069 -0.001751634 0.015165038 0.007992741 -0.00077281

109

No. 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548

Date 1/27/2016 1/28/2016 1/29/2016 2/1/2016 2/2/2016 2/3/2016 2/4/2016 2/5/2016 2/9/2016 2/10/2016 2/11/2016 2/12/2016 2/15/2016 2/16/2016 2/17/2016 2/18/2016 2/19/2016 2/22/2016 2/23/2016 2/24/2016 2/25/2016 2/26/2016 2/29/2016 3/1/2016 3/2/2016 3/3/2016 3/4/2016 3/7/2016 3/8/2016 3/10/2016 3/11/2016 3/14/2016 3/15/2016 3/16/2016 3/17/2016 3/18/2016 3/21/2016 3/22/2016 3/23/2016 3/24/2016 3/28/2016 3/29/2016 3/30/2016 3/31/2016

Open

Close

Return

605.22998 607.75 610.080017 611.099976 603.719971 610.22998 621.97998 624.039978 636.130005 634.169983 643.97998 638.669983 633.969971 635.289978 638.289978 641.419983 640.109985 631.76001 623.530029 620.820007 623.52002 632.130005 641.859985 648.919983 660 657.369995 658.909973 650.559998 649.97998 649.179993 648.169983 658.280029 664.960022 658.039978 666.320007 670.48999 666.619995 665.429993 661.559998 652.919983 650.440002 644.679993 649.150024 652.72998

605.22998 607.75 612.75 611.099976 603.719971 610.22998 621.97998 642.549988 636.130005 634.169983 643.97998 630.48999 633.969971 635.289978 638.289978 641.419983 631.059998 631.76001 623.530029 620.820007 623.929993 636.619995 641.859985 648.919983 660 657.369995 654.52002 650.559998 648.359985 649.179993 653.01001 665.469971 658.030029 661.669983 668.140015 669.299988 668.26001 664.190002 656.98999 653.179993 646.070007 645 650.669983 652.690002

0.017131129 0.004155095 0.008193409 -0.00269645 -0.012150106 0.010725436 0.019072003 0.03253671 -0.010041663 -0.003085922 0.015350608 -0.02117036 0.00550431 0.002079964 0.004711138 0.004891751 -0.0162835 0.001108649 -0.013112665 -0.00435573 0.004996975 0.020134752 0.008197265 0.010939228 0.016930419 -0.003992817 -0.004344845 -0.006068646 -0.003387453 0.001263943 0.005882441 0.018901056 -0.011242947 0.005516349 0.009730838 0.001734617 -0.001555038 -0.006109078 -0.010899474 -0.005816051 -0.010944864 -0.001657551 0.008752258 0.003099712

110

LAMPIRAN 2: Uji stasioneritas ADF untuk data return

111

LAMPIRAN 3: Pengujian normalitas Jarque-Bera untuk data return

112

LAMPIRAN 4: Estimasi model ARIMA 1. Model ARIMA (1,0,0) Dengan Konstanta

2. Model ARIMA (1,0,0) Tanpa Konstanta

113

3. Model ARIMA (2,0,0) Dengan Konstanta


114



115



116



117



118



119



120



121



122



123



124



125



126



127

LAMPIRAN 5: Uji ARCH-LM model ARIMA (0,0,3)

128

LAMPIRAN 6: Data pembangkit dan data residual indeks saham JII No.

Date

Yt

(Yt)2

Iterasi 12

Residual

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44

1/2/2014 1/3/2014 1/6/2014 1/7/2014 1/8/2014 1/9/2014 1/10/2014 1/13/2014 1/15/2014 1/16/2014 1/17/2014 1/20/2014 1/21/2014 1/22/2014 1/23/2014 1/24/2014 1/27/2014 1/28/2014 1/29/2014 1/30/2014 2/3/2014 2/4/2014 2/5/2014 2/6/2014 2/7/2014 2/10/2014 2/11/2014 2/12/2014 2/13/2014 2/14/2014 2/17/2014 2/18/2014 2/19/2014 2/20/2014 2/21/2014 2/24/2014 2/25/2014 2/26/2014 2/27/2014 2/28/2014 3/3/2014 3/4/2014 3/5/2014 3/6/2014

1.57E-05 -0.017586238 -0.0096766 -0.013259854 0.005239559 -0.004766076 0.012547972 0.033394757 0.012829191 -0.00368305 -0.002543427 0.010095083 0.00089279 0.008383887 0.002021084 -0.017288682 -0.033569199 0.007712808 0.020405867 -0.001482703 -0.011250602 -0.011499827 0.01169847 0.009736923 0.007283624 -0.003492202 0.003338824 0.008018073 -0.003442538 0.00324498 0.011726334 -0.001207348 0.011077885 0.0019808 0.007568635 -0.006836889 -0.011849469 -0.013014561 0.01042261 0.0213163 -0.014081363 0.002873245 0.015084015 0.003217304

2.45E-10 3.09E-04 9.36E-05 1.76E-04 2.75E-05 2.27E-05 1.57E-04 1.12E-03 1.65E-04 1.36E-05 6.47E-06 1.02E-04 7.97E-07 7.03E-05 4.08E-06 2.99E-04 1.13E-03 5.95E-05 4.16E-04 2.20E-06 1.27E-04 1.32E-04 1.37E-04 9.48E-05 5.31E-05 1.22E-05 1.11E-05 6.43E-05 1.19E-05 1.05E-05 1.38E-04 1.46E-06 1.23E-04 3.92E-06 5.73E-05 4.67E-05 1.40E-04 1.69E-04 1.09E-04 4.54E-04 1.98E-04 8.26E-06 2.28E-04 1.04E-05

0.017796545 -0.006028785 -0.004651916 -0.000972008 0.012045928 0.000369693 -0.018520463 -0.00904055 -0.012023288 0.007892357 -0.02125792 -0.000170362 0.016364642 0.008010847 -0.009035831 -0.022710703 -0.020557385 -0.020397443 -0.006177091 -0.003681244 -0.014510672 0.000623278 -0.005369368 0.006201604 -0.005608422 0.003892839 0.004673686 -0.013358201 -0.001455232 0.006044427 0.019153898 -0.004451919 -0.011962601 -0.011391537 0.003928007 -0.001923887 0.010063435 -0.003254993 -0.010610352 0.008884735 0.002772804 0.025866178 -0.009330727 0.002111163

0 0.000239944 0.001403673 0.004917669 0.017894596 0.006617424 -0.012269568 -0.00342489 -0.006720416 0.012782663 -0.016105788 0.004257614 0.020783478 0.012979369 -0.003801733 -0.017787987 -0.016407171 -0.016944436 -0.003413608 -0.001124457 -0.01207556 0.002571136 -0.003395724 0.007998429 -0.003596799 0.005719441 0.006636964 -0.011232304 0.000223368 0.00767945 0.020998936 -0.001954521 -0.009612728 -0.009442529 0.00549676 -0.000216427 0.011711386 -0.001261248 -0.008722036 0.010419394 0.004613793 0.027805945 -0.00651207 0.004616367

129

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90

3/7/2014 3/10/2014 3/11/2014 3/12/2014 3/13/2014 3/14/2014 3/17/2014 3/18/2014 3/19/2014 3/20/2014 3/21/2014 3/24/2014 3/25/2014 3/26/2014 3/27/2014 3/28/2014 4/1/2014 4/2/2014 4/3/2014 4/4/2014 4/7/2014 4/8/2014 4/9/2014 4/10/2014 4/11/2014 4/14/2014 4/15/2014 4/16/2014 4/17/2014 4/21/2014 4/22/2014 4/23/2014 4/24/2014 4/25/2014 4/28/2014 4/29/2014 4/30/2014 5/2/2014 5/5/2014 5/6/2014 5/7/2014 5/8/2014 5/9/2014 5/12/2014 5/13/2014 5/14/2014

0.001487982 0.003508932 0.004201577 -0.00327345 0.013159879 0.031821765 0.002838597 -0.017623113 0.009820091 -0.032692877 0.001808076 0.003025911 -0.012018604 0.006566424 -0.001963708 0.007130458 0.026434528 -0.002989572 0.005746795 -0.005112821 0.020800497 -0.000417686 -0.000562208 -0.03340493 0.015581927 0.009732685 -0.003567107 -0.001200975 0.00974262 -0.000497743 0.000786834 0.001086374 -0.001501289 0.0001318 -0.019507697 -0.007991804 0.003757936 -0.004339929 0.002211217 -0.001455118 0.006745033 0.001883596 0.004653795 0.010632331 -0.001938647 0.017833035

2.21E-06 1.23E-05 1.77E-05 1.07E-05 1.73E-04 1.01E-03 8.06E-06 3.11E-04 9.64E-05 1.07E-03 3.27E-06 9.16E-06 1.44E-04 4.31E-05 3.86E-06 5.08E-05 6.99E-04 8.94E-06 3.30E-05 2.61E-05 4.33E-04 1.74E-07 3.16E-07 1.12E-03 2.43E-04 9.47E-05 1.27E-05 1.44E-06 9.49E-05 2.48E-07 6.19E-07 1.18E-06 2.25E-06 1.74E-08 3.81E-04 6.39E-05 1.41E-05 1.88E-05 4.89E-06 2.12E-06 4.55E-05 3.55E-06 2.17E-05 1.13E-04 3.76E-06 3.18E-04

0.001150913 -0.006046498 -0.000998283 -0.00153764 0.015760249 -0.006404464 -0.005380121 -0.011975816 0.000798343 0.022253791 0.005420027 0.002653835 -0.004795994 -0.008642446 -0.004898712 0.028312067 0.009221441 -0.015084259 -0.019032803 -0.016199403 -0.022076411 -0.008550269 -0.009714739 -0.015252564 -0.004079418 -0.000987817 0.013676195 0.000967127 -0.015643975 0.017626688 0.008307219 0.015365782 -0.013374555 -0.018610794 0.015122254 0.005310946 -0.01771109 -0.011332318 0.000684906 0.004982203 0.005209862 0.028332483 -0.010194661 -0.003371107 -0.010419839 0.028405785

0.003730364 -0.003425493 0.001420904 0.000850993 0.018100199 -0.003528459 -0.002718864 -0.009493988 0.002878429 0.024365147 0.008287633 0.005706326 -0.001652705 -0.005660421 -0.002207414 0.030840107 0.012709107 -0.011285266 -0.015744906 -0.013554372 -0.019976391 -0.007192091 -0.008638866 -0.014497426 -0.003831116 -0.000867102 0.013774221 0.001538105 -0.015031091 0.017719973 0.009006977 0.016355082 -0.011858116 -0.017540213 0.015571477 0.006280842 -0.016553793 -0.010766257 0.000877232 0.005208136 0.005614517 0.02892297 -0.008637526 -0.002152499 -0.009308051 0.029172892

130

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136

5/16/2014 5/19/2014 5/20/2014 5/21/2014 5/22/2014 5/23/2014 5/26/2014 5/28/2014 5/30/2014 6/2/2014 6/3/2014 6/4/2014 6/5/2014 6/6/2014 6/9/2014 6/10/2014 6/11/2014 6/12/2014 6/13/2014 6/16/2014 6/17/2014 6/18/2014 6/19/2014 6/20/2014 6/23/2014 6/24/2014 6/25/2014 6/26/2014 6/27/2014 6/30/2014 7/1/2014 7/2/2014 7/3/2014 7/4/2014 7/7/2014 7/8/2014 7/10/2014 7/11/2014 7/14/2014 7/15/2014 7/16/2014 7/17/2014 7/18/2014 7/21/2014 7/22/2014 7/23/2014

0.013037219 -0.003966721 -0.024943308 0.008528715 0.011124612 -0.003337777 0.000506284 0.004403604 -0.026112559 0.003202226 0.006098967 -0.004366541 0.002481034 0.00574049 -0.011661929 0.015617542 0.00630861 -0.010747599 -0.000354892 -0.013490931 0.007334931 -0.005283242 -0.00710673 -0.001319942 0.00013863 0.001068601 -0.004768995 0.007750389 -0.007218705 0.004234976 0.002911147 0.010583343 -0.002657329 0.003096632 0.024663711 0.005402399 0.014234663 -0.01622931 0.000388169 0.013978491 0.007313657 -0.012359494 0.00714868 0.011360237 -0.008239506 0.000511596


0.017655125 -0.005168051 0.013160561 -0.000483169 -0.014229242 0.002300092 -0.019866455 0.000307849 -0.017665506 0.026029967 0.001600339 -0.018866141 0.007713179 -0.016449752 0.005786381 0.007482083 -0.001944252 0.01441691 -0.001962383 -0.001037087 -0.003300721 0.015766685 0.000495135 -0.008961425 0.002432865 -0.005731353 -0.011051276 -0.003521364 -0.009238846 0.004989971 -0.000290839 -0.00678537 -0.011275742 0.013715869 -0.010048764 -0.02509948 0.021274374 0.002052232 0.004831553 0.013548803 -0.014417548 0.00372125 0.007683447 -0.006671193 -0.018190109 0.000929171

0.01939078 -0.002830329 0.015327078 0.002132114 -0.011627746 0.0044233 -0.017661366 0.001845438 -0.01611145 0.02699303 0.00345102 -0.016956337 0.008990253 -0.014905098 0.00678116 0.008680248 -0.000486059 1.58E-02 -6.98E-05 0.000794041 -0.001499537 0.017461524 0.002728355 -0.006707683 0.004387481 -0.003689818 -0.009199015 -0.002037543 -0.00786779 0.00605541 0.000950841 -0.005546488 -0.010259131 0.014359185 -0.008932937 -0.024315807 0.021218343 0.002726435 0.005583996 0.014473156 -0.013027249 0.004630856 0.008726927 -0.005360374 -0.017097937 0.001414131

131

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182

7/24/2014 7/25/2014 8/4/2014 8/5/2014 8/6/2014 8/7/2014 8/8/2014 8/11/2014 8/12/2014 8/13/2014 8/14/2014 8/15/2014 8/18/2014 8/19/2014 8/20/2014 8/21/2014 8/22/2014 8/25/2014 8/26/2014 8/27/2014 8/28/2014 8/29/2014 9/1/2014 9/2/2014 9/3/2014 9/4/2014 9/5/2014 9/8/2014 9/9/2014 9/10/2014 9/11/2014 9/12/2014 9/15/2014 9/16/2014 9/17/2014 9/18/2014 9/19/2014 9/22/2014 9/23/2014 9/24/2014 9/25/2014 9/26/2014 9/29/2014 9/30/2014 10/1/2014 10/2/2014

0.001711413 -0.003885351 0.015620988 -0.005647089 -0.013813454 0.005359956 -0.00593646 0.013827297 0.00465371 0.009563506 -0.003539125 -0.002861339 0.002518894 -0.00195626 0.006576571 0.002003039 -0.004791296 -0.003717171 -0.00706639 0.003645427 0.003318756 -0.015698515 0.012438701 0.005427134 0.004187539 -0.005713029 0.001479276 0.007732816 -0.014524075 -0.013624092 -0.00691961 0.006216357 0.002732897 -0.001628778 0.012323257 0.00547946 0.002648823 -0.00189984 -0.008306353 -0.004979748 0.003351338 -0.011574306 0.002139176 -0.002332795 -0.008907704 -0.03055384


-0.010944789 0.009451787 -0.000951602 0.006268335 -0.018438627 -0.017849649 0.007181351 0.017533309 -0.015013912 0.027311979 0.010783519 -0.003938767 -0.012123743 0.00403013 -0.006419031 -0.000325776 0.012364078 5.29074E-05 -0.020725575 0.02263967 -0.010113138 0.00942494 0.029933689 0.030939615 0.003854972 -0.005891687 -0.007887924 -0.007896153 0.001741534 -0.012729575 -0.012175826 0.004430774 -0.003338693 -0.000439212 0.006331747 -0.005801244 0.000119297 0.006723647 0.022023691 -0.002502093 0.011967367 0.025245221 -0.023971028 0.008129146 -0.00157176 -0.013943958

-0.010418924 0.009617145 -0.000456275 0.006740972 -0.017744609 -0.01776994 0.006668663 0.017276077 -0.014666681 0.027161772 0.011567893 -0.002781441 -0.011092221 0.00465965 -0.005644282 0.000240599 0.012928681 0.001044595 -0.019724252 0.022948393 -0.009029234 0.010174619 0.03101052 0.033035617 0.00700081 -0.002614764 -0.00480973 -0.005083501 0.004289233 -0.010120259 -0.009994142 0.006204937 -0.001409503 0.001381931 0.008143184 -0.003770659 0.001958282 0.008571742 0.024104059 0.00032685 0.014713595 0.028397997 -0.019964311 0.011323761 0.001898226 -0.010527342

132

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228

10/3/2014 10/6/2014 10/7/2014 10/8/2014 10/9/2014 10/10/2014 10/13/2014 10/14/2014 10/15/2014 10/16/2014 10/17/2014 10/20/2014 10/21/2014 10/22/2014 10/23/2014 10/24/2014 10/27/2014 10/28/2014 10/29/2014 10/30/2014 10/31/2014 11/3/2014 11/4/2014 11/5/2014 11/6/2014 11/7/2014 11/10/2014 11/11/2014 11/12/2014 11/13/2014 11/14/2014 11/17/2014 11/18/2014 11/19/2014 11/20/2014 11/21/2014 11/24/2014 11/25/2014 11/26/2014 11/27/2014 11/28/2014 12/1/2014 12/2/2014 12/3/2014 12/4/2014 12/5/2014

-0.004360469 0.008279628 0.005456875 -0.018009069 0.006159437 -0.009757901 -0.015408661 0.005455485 0.00265655 -0.002905363 0.018220391 -0.001140579 -0.001436863 0.011402016 0.004265273 -0.007126406 -0.010383072 -0.00880418 0.022210065 -0.002625292 0.00446096 0.002069268 -0.008890286 0.001964318 -0.004728863 -0.013316653 -0.006488172 0.017828264 0.001915286 0.00196406 0.002170708 0.004212534 0.011002597 0.004491511 -0.008491634 0.00851298 0.01364643 -0.010285576 0.00313922 0.00605305 -0.003602258 0.003823663 0.00142393 -0.006508745 0.007655068 0.002469394


0.015059073 -0.009594588 -0.016465778 0.005626235 -0.009851199 -0.009716285 -0.011044528 -0.020594761 -0.010888205 -0.002828555 -0.008768118 0.023179958 -0.002562718 -0.014311867 -0.003200839 0.008988811 -0.008536063 -0.017735582 0.025071199 0.012057727 -0.025406072 0.002079672 0.009657871 0.007621775 -0.005992814 0.010554301 -0.012397896 -0.007370135 0.00642876 -0.00090445 -0.023474023 -0.014397514 0.01868753 0.014942239 -0.016917328 0.005808156 -0.003706297 -0.021133561 0.005534378 0.001890749 0.007689187 -0.013743694 0.004355025 -0.021538522 -0.004255981 0.000734989

0.018004379 -0.006138901 -0.013334544 0.008201867 -0.007082759 -0.007278723 -0.008932203 -0.018851499 -0.009835547 -0.002136213 -0.00816254 0.023498328 -0.001450939 -0.013279239 -0.002644164 0.009446584 -0.007764923 -0.017244348 0.024972546 0.01281776 -0.024229947 0.00240445 0.010062958 0.008363012 -0.004985335 0.01136705 -0.011220035 -0.006604019 0.006954388 -0.000152193 -0.022743701 -0.01445179 0.018157959 0.015057028 -0.016286856 0.005875938 -0.003431363 -0.02097369 0.004990611 0.00154688 0.007421428 -0.013739635 0.003905694 -0.021828119 -0.005261433 -0.000399918

133

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274

12/8/2014 12/9/2014 12/10/2014 12/11/2014 12/12/2014 12/15/2014 12/16/2014 12/17/2014 12/18/2014 12/19/2014 12/29/2014 12/30/2014 12/31/2014 1/2/2015 1/5/2015 1/6/2015 1/7/2015 1/8/2015 1/9/2015 1/12/2015 1/13/2015 1/14/2015 1/15/2015 1/16/2015 1/19/2015 1/20/2015 1/21/2015 1/22/2015 1/23/2015 1/26/2015 1/27/2015 1/28/2015 1/29/2015 1/30/2015 2/2/2015 2/3/2015 2/4/2015 2/5/2015 2/6/2015 2/9/2015 2/10/2015 2/11/2015 2/12/2015 2/13/2015 2/16/2015 2/17/2015

-0.011686938 -0.002188816 0.006162343 -0.005777244 0.000832869 -0.008343073 -0.016917691 -0.002610385 0.019859823 0.003587563 0.009471187 0.009737068 0.00039449 0.005992701 -0.006706305 -0.011663447 0.010070248 0.00017851 -0.000106128 -0.006425118 0.012186088 -0.01528344 0.007926185 -0.007248654 -0.001753904 0.011059472 0.018589157 0.009361199 0.012285408 -0.013847566 0.004256261 -0.000940782 -0.005766335 0.005546862 -0.007460486 0.003832088 0.006383365 -0.012629209 0.016173298 -0.000183911 -0.006861616 0.00900814 0.002560157 0.009764569 -0.015682061 0.006939196


-0.015539055 -0.005574007 -0.006734969 -0.002260244 -0.008900561 -0.001264912 -0.013089901 -0.010217814 0.005599197 -0.001825969 -0.026848321 -0.021923707 0.008279598 0.030416731 0.010471786 0.012811969 -0.026652556 0.006678944 0.001632577 0.01687762 0.006402566 -0.015150028 -0.005791611 -0.00026282 0.0160219 0.006778697 0.01385501 -0.00123303 -0.02120978 0.016355039 -0.014159993 -0.011047204 0.013205614 0.005057261 -0.005435797 0.017086588 -0.000551695 0.001549381 -0.005598712 0.015245335 0.013919104 -0.005660844 0.003054462 0.002366958 0.009943992 -0.00437569

-0.016634326 -0.007179749 -0.008512747 -0.00424873 -0.010947845 -0.003595209 -0.015444241 -0.012995742 0.002496127 -0.004718585 -0.029782104 -0.025744146 0.003741826 0.026184685 0.007292586 0.010008138 -0.029003157 0.003446396 -0.001352605 0.013968455 0.004084372 -0.017233184 -0.008368862 -0.003016286 0.013279639 0.004597943 0.011921556 -0.00268085 -0.02268345 0.014180494 -0.015763629 -0.013113044 0.010784276 0.003101205 -0.007203463 0.015152086 -0.001891349 0.000206549 -0.006873706 0.013796389 0.013001194 -0.006094273 0.002442231 0.001871041 0.009540775 -0.004430446

134

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320

2/18/2015 2/19/2015 2/20/2015 2/23/2015 2/24/2015 2/25/2015 2/26/2015 2/27/2015 3/2/2015 3/3/2015 3/4/2015 3/5/2015 3/6/2015 3/9/2015 3/10/2015 3/11/2015 3/12/2015 3/13/2015 3/16/2015 3/17/2015 3/18/2015 3/19/2015 3/20/2015 3/23/2015 3/24/2015 3/25/2015 3/26/2015 3/27/2015 3/30/2015 3/31/2015 4/1/2015 4/2/2015 4/6/2015 4/7/2015 4/8/2015 4/9/2015 4/10/2015 4/13/2015 4/14/2015 4/15/2015 4/16/2015 4/17/2015 4/20/2015 4/21/2015 4/22/2015 4/23/2015

0.007130825 -0.001724406 -0.003867258 0.005010834 0.002646012 0.009258033 0.000454751 -0.006980726 0.009993006 0.002229902 -0.010137572 -0.000699859 0.017761743 -0.015092282 0.001577579 -0.005403168 0.002827044 4.91E-05 0.001710834 -0.000613232 -0.008809609 0.009251474 -0.004477996 -0.001897518 0.001710537 -0.015110116 -0.010883897 0.009385445 0.013047129 0.009433539 -0.012252729 -0.001059484 0.00669928 0.007890343 -0.010575659 0.006083501 -0.001580571 -0.007623491 -0.00817932 -0.000201867 -0.001795094 -0.002420745 -0.007209677 0.01911089 -0.002860128 0.003012157


0.001394673 -0.003607056 -0.016567884 -0.005235914 0.029400455 -0.023641838 0.004918772 0.011158834 -0.00953167 -0.013980758 -0.004192689 0.002638742 0.004973864 0.003127526 -0.007508771 0.000330674 0.008159098 0.021055327 -0.002044753 -0.004589971 -0.02960424 0.016620583 0.00032884 -0.010308721 0.014557739 0.001677765 -0.00355812 0.003450093 -0.00017598 -0.000972283 0.002205528 -0.032478017 0.028955738 -0.015540855 -0.017426088 0.013476619 -0.020322854 -0.012754015 -0.00058961 0.005019548 -0.01075717 0.009778233 0.00325547 0.006948678 0.001900596 -0.001381517

0.001203309 -0.003739573 -0.01681078 -0.006026835 0.028446261 -0.023588244 0.004184309 0.010604088 -0.009696404 -0.014455986 -0.005127752 0.001576132 0.004014991 0.002350966 -0.008166011 -0.000567087 0.007286534 0.020472438 -0.001903089 -0.004506783 -0.029665353 0.01557029 -0.000145243 -0.010759054 0.013771586 0.001397245 -0.003769936 0.003129812 -0.000367531 -0.001158067 0.001998582 -0.032598663 0.027748988 -0.015754021 -0.018152668 0.012174591 -0.021154099 -0.014258261 -0.002508871 0.003097722 -0.012491992 0.007696633 0.001522214 0.005342193 0.000545278 -0.002657087

135

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366

4/24/2015 4/27/2015 4/28/2015 4/29/2015 4/30/2015 5/1/2015 5/4/2015 5/5/2015 5/6/2015 5/7/2015 5/8/2015 5/11/2015 5/12/2015 5/13/2015 5/15/2015 5/18/2015 5/19/2015 5/20/2015 5/21/2015 5/22/2015 5/25/2015 5/26/2015 5/27/2015 5/28/2015 5/29/2015 6/1/2015 6/3/2015 6/4/2015 6/5/2015 6/8/2015 6/9/2015 6/10/2015 6/11/2015 6/12/2015 6/15/2015 6/16/2015 6/17/2015 6/18/2015 6/19/2015 6/22/2015 6/23/2015 6/24/2015 6/25/2015 6/26/2015 6/29/2015 6/30/2015

0.008258979 -0.03556185 0.004390377 -0.037193794 -0.018944242 0.000482768 0.017280631 0.008302176 0.008830463 -0.007285333 0.016433977 0.000195562 0.000333111 0.014751168 0.004007638 -0.000443088 0.006184583 0.004716721 -0.003580355 -3.62E-05 -0.000184068 0.010832671 -0.016163273 -0.00088254 -0.011746351 0.001911796 -0.011941696 -0.011613417 -0.000578044 -0.018814784 -0.027125769 0.013644083 0.000710219 -0.004393901 -0.025326291 0.007748822 0.011375229 0.003610871 0.003494959 -0.006547706 -0.006473162 0.014377962 -0.010643483 -0.002137506 -0.007613397 0.005196969


0.017833617 -0.001622703 -0.025159717 0.008198097 0.002015447 0.002759785 0.003149328 0.015334671 0.004390979 -0.012033961 -0.00703815 0.023694226 0.002055634 -0.010907784 0.006761068 0.006930011 0.00241814 -0.001459329 -0.027335002 0.006436957 -0.031396958 0.012879757 0.020092095 0.000267045 -0.016154313 -0.026688732 0.00514552 -0.008692466 -0.000327801 0.002895104 0.031409323 -0.016258482 -0.002144166 -0.008137274 -0.004161448 0.020133077 -0.009301334 -0.006441239 -0.002521968 -0.008858685 -0.004065574 0.012549119 0.028533823 -0.01869307 0.00873826 0.003431234

0.016526616 -0.002311661 -0.025890174 0.006630849 0.000741462 0.001569163 0.002066952 0.014373352 0.003962121 -0.012301937 -0.007700846 0.022806931 0.001983068 -0.010899555 0.006411733 0.006821395 0.002555165 -0.001229943 -0.027144595 0.00571405 -0.031888879 0.01133948 0.019003208 -0.000128187 -0.01652814 -0.027596181 0.003350186 -0.010296953 -0.002209715 0.00101935 0.029648627 -0.016940864 -0.003362682 -0.009413181 -0.005697094 0.018472903 -0.010264601 -0.007704606 -0.003987798 -0.010393865 -0.005884026 0.010610303 0.027036526 -0.019210091 0.007602289 0.002605371

136

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412

7/1/2015 7/2/2015 7/3/2015 7/6/2015 7/7/2015 7/8/2015 7/9/2015 7/10/2015 7/13/2015 7/14/2015 7/15/2015 7/22/2015 7/23/2015 7/24/2015 7/27/2015 7/28/2015 7/29/2015 7/30/2015 7/31/2015 8/3/2015 8/4/2015 8/5/2015 8/6/2015 8/7/2015 8/10/2015 8/11/2015 8/12/2015 8/13/2015 8/14/2015 8/18/2015 8/19/2015 8/20/2015 8/21/2015 8/24/2015 8/25/2015 8/26/2015 8/27/2015 8/28/2015 8/31/2015 9/1/2015 9/2/2015 9/3/2015 9/4/2015 9/7/2015 9/8/2015 9/9/2015

-0.003558709 0.010717484 0.01333649 -0.014742683 -0.00435567 -0.005352874 -0.013416346 0.004388384 0.008739791 0.000172708 -0.00295375 0.008186438 -0.003099504 -0.014750226 -0.022242461 -0.005908879 -0.000874609 -0.002763679 0.019919486 -0.007883759 -0.004661984 0.017881352 -0.015895818 -0.005045131 -0.002698219 -0.035845274 -0.03815966 0.033268768 -0.002109463 -0.019517007 -0.004850863 -0.007248247 -0.029699531 -0.050023965 0.018270894 -0.006478829 0.050880934 0.003580108 0.019873098 -0.018391873 -0.00207471 0.016211375 -0.004988405 -0.041482346 0.005331766 0.012845286


0.013779967 0.020744084 0.004973613 -0.012221226 -0.00786831 0.010570819 -0.008298345 0.00567159 -0.002362573 -0.019744544 -0.014400256 0.003636656 -0.006882097 -0.003473913 -0.005492862 0.010903862 -0.012732776 -0.006647795 -0.003076043 0.009485409 0.012004467 -0.009885225 -0.007526228 -0.018349999 0.003506109 -0.006941943 0.010606112 0.004275215 -0.006290863 -0.000918057 -0.019429511 -0.011903963 0.022623996 -0.010534301 0.014373861 -0.002433505 0.01745352 0.002153573 0.027773517 -0.004394677 0.014233561 0.007797999 -0.022089789 0.001401533 0.002979065 0.028292024

0.01308385 0.020527021 0.005469389 -0.0115479 -0.00759911 0.01058432 -0.007916561 0.005782774 -0.002048994 -0.019500744 -0.014813427 0.002749271 -0.007632594 -0.004443448 -0.00656554 0.009660148 -0.013592844 -0.007924265 -0.004561913 0.007911529 0.010767376 -0.010701496 -0.008662812 -0.019726127 0.001525432 -0.00878657 0.008544001 0.002589362 -0.007815638 -0.002639359 -0.021165124 -0.014279432 0.019865088 -0.012508532 0.012061166 -0.004241792 0.015579991 0.000887093 0.026595044 -0.004619611 0.013871934 0.007929662 -0.021683936 0.001070628 0.002707695 0.028133306

137

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458

9/10/2015 9/11/2015 9/14/2015 9/15/2015 9/16/2015 9/17/2015 9/18/2015 9/21/2015 9/22/2015 9/23/2015 9/25/2015 9/28/2015 9/29/2015 9/30/2015 10/1/2015 10/2/2015 10/5/2015 10/6/2015 10/7/2015 10/8/2015 10/9/2015 10/12/2015 10/13/2015 10/15/2015 10/16/2015 10/19/2015 10/20/2015 10/21/2015 10/22/2015 10/23/2015 10/26/2015 10/27/2015 10/28/2015 10/29/2015 10/30/2015 11/2/2015 11/3/2015 11/4/2015 11/5/2015 11/6/2015 11/9/2015 11/10/2015 11/11/2015 11/12/2015 11/13/2015 11/16/2015

-0.000967803 0.014080973 0.012937476 -0.019561561 -0.003998858 0.014096023 -0.001449647 -0.003110672 -0.010732038 -0.025879504 -0.008029259 -0.028892143 0.019828825 0.002106754 0.009279 -0.014275813 0.039999477 0.035703455 0.008219911 0.002072256 0.027402638 0.006817198 -0.042846029 0.013915147 0.004961116 0.011926541 0.002722069 0.007197145 -0.007790794 0.01475249 0.006210066 -0.005147366 -0.014678954 -0.039276796 -0.002049285 0.011067542 0.005554964 0.017957882 -0.007403596 -0.001771273 -0.018809892 -0.016424727 0.004380691 -0.006180234 0.006860444 -0.009817015


-0.001926897 0.003992923 0.003781297 -0.010578599 0.011042509 -0.009845873 -0.014571135 -0.011735401 -0.00354386 0.020455728 0.004065431 -0.006153114 -0.02545447 0.010738762 0.032622313 0.026486194 -0.004551859 -0.018646802 -0.007838561 0.017810409 0.016142156 -0.001653366 -0.003752932 -0.006374093 0.000640256 0.006005328 0.004553311 0.002731963 0.012757862 0.004147911 0.007832672 0.016935156 -0.015506092 0.004776355 0.008318963 0.002442669 -0.012161975 -0.018079724 -0.020373632 -0.00936716 0.005251246 -0.022958731 -0.023062698 0.016403423 -0.000569787 0.000510216

-0.001117886 0.004745259 0.004677203 -0.009546745 0.011724578 -0.008781766 -0.013832156 -0.011480177 -0.003674977 0.020216364 0.004529235 -0.005542348 -0.025042554 0.010300192 0.032559179 0.027536818 -0.002598486 -0.016842553 -0.006659285 0.018732017 0.017673739 0.00042982 -0.00172134 -0.004464882 0.002338905 0.007731151 0.006487531 0.004824828 0.014947301 0.006772432 0.010599882 0.019969114 -0.011898641 0.00785908 0.011564117 0.005969443 -0.008553089 -0.014882555 -0.017786824 -0.007466239 0.006840482 -0.021186136 -0.022060693 0.016633843 0.000225318 0.001294555

138

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504

11/17/2015 11/18/2015 11/19/2015 11/20/2015 11/23/2015 11/24/2015 11/25/2015 11/26/2015 11/27/2015 11/30/2015 12/1/2015 12/2/2015 12/3/2015 12/4/2015 12/7/2015 12/8/2015 12/10/2015 12/11/2015 12/14/2015 12/15/2015 12/16/2015 12/17/2015 12/18/2015 12/21/2015 12/22/2015 12/23/2015 12/28/2015 12/29/2015 12/30/2015 1/4/2016 1/5/2016 1/6/2016 1/7/2016 1/8/2016 1/11/2016 1/12/2016 1/13/2016 1/14/2016 1/15/2016 1/18/2016 1/19/2016 1/20/2016 1/21/2016 1/22/2016 1/25/2016 1/26/2016

0.012593179 0.00834469 0.004077387 0.014169998 -0.013980956 -0.000761197 0.008927408 0.002642177 -0.001330761 -0.034996595 0.031248308 -0.002037664 -0.004401277 -0.00273473 0.004520856 -0.02342343 -0.007039213 -0.022610571 -0.001620544 0.012485593 0.014792652 0.029139074 -0.019322081 0.00750848 0.009790552 -0.006078029 0.007595803 0.004686399 0.005833188 -0.01796978 0.009175461 0.025380521 -0.023171816 0.002842443 -0.020407752 0.013229062 0.010029649 -0.015187568 0.002329568 -0.010977096 0.006635846 -0.016081909 -0.00295868 0.015894718 0.006224368 -0.001098148


0.004917094 0.015663916 0.005836838 0.003104026 -0.006320094 0.005919501 0.013719943 0.019535444 -0.00074877 -0.004062301 0.004188835 -0.002774737 -0.01387277 0.012393628 -0.006256677 -0.007186535 -0.016384318 -0.012553044 0.005714885 -0.022689325 0.01821511 0.015549286 0.003347324 -0.012766872 0.012884707 0.021991547 -0.001826379 0.016765983 0.015090642 -0.012326319 0.007378212 -0.013732328 -0.003316293 -0.015093854 0.002636862 -0.01442205 -0.006600444 0.004737869 0.014918003 -0.021163817 0.019080783 -0.012733028 -0.006477627 0.015524082 -7.50777E-05 -0.004146003

0.005727201 0.016648636 0.007358786 0.004829343 -0.004484427 0.007546671 0.015552932 0.021837193 0.002216741 -0.001120698 0.006994628 0.000174535 -0.01101582 0.014783503 -0.003444684 -0.004584087 -0.014022154 -0.010741216 0.007107653 -0.021096887 0.019046651 0.017004774 0.005334628 -0.010661853 0.014562482 0.024110363 0.001039799 0.019572161 0.01846534 -0.008441577 0.010844781 -1.00E-02 -6.58E-05 -0.011954925 0.005266528 -0.011700778 -0.004364367 0.006754666 0.017099413 -0.018474298 0.021057375 -0.010106977 -0.00427938 0.017507323 0.002437403 -0.001633182

139

No.

Date

Yt

(Yt)2

Iterasi 12

Residual

505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548

1/27/2016 1/28/2016 1/29/2016 2/1/2016 2/2/2016 2/3/2016 2/4/2016 2/5/2016 2/9/2016 2/10/2016 2/11/2016 2/12/2016 2/15/2016 2/16/2016 2/17/2016 2/18/2016 2/19/2016 2/22/2016 2/23/2016 2/24/2016 2/25/2016 2/26/2016 2/29/2016 3/1/2016 3/2/2016 3/3/2016 3/4/2016 3/7/2016 3/8/2016 3/10/2016 3/11/2016 3/14/2016 3/15/2016 3/16/2016 3/17/2016 3/18/2016 3/21/2016 3/22/2016 3/23/2016 3/24/2016 3/28/2016 3/29/2016 3/30/2016 3/31/2016

0.018878918 0.004839529 0.008072656 -0.000620517 -0.01161795 0.011613108 0.019003771 0.031259196 -0.008764681 -0.00099626 0.018787881 -0.022134128 0.005394761 0.004145887 0.002277261 0.005484961 -0.015827617 0.001359057 -0.012509537 -0.006096141 0.005146417 0.018759199 0.007526931 0.01150513 0.018993188 -0.003165153 -0.003079736 -0.003980148 -0.003735494 0.000925294 0.005444782 0.0184903 -0.011141201 0.006115059 0.011764039 0.000509526 -0.000882624 -0.0048155 -0.010843446 -0.005913105 -0.011474378 -0.002849901 0.008102051 0.001837985

3.56E-04 2.34E-05 6.52E-05 3.85E-07 1.35E-04 1.35E-04 3.61E-04 9.77E-04 7.68E-05 9.93E-07 3.53E-04 4.90E-04 2.91E-05 1.72E-05 5.19E-06 3.01E-05 2.51E-04 1.85E-06 1.56E-04 3.72E-05 2.65E-05 3.52E-04 5.67E-05 1.32E-04 3.61E-04 1.00E-05 9.48E-06 1.58E-05 1.40E-05 8.56E-07 2.96E-05 3.42E-04 1.24E-04 3.74E-05 1.38E-04 2.60E-07 7.79E-07 2.32E-05 1.18E-04 3.50E-05 1.32E-04 8.12E-06 6.56E-05 3.38E-06

0.020554888 -0.021245926 0.003017696 -0.003793399 0.003528556 -0.004140885 0.004920972 -0.018042355 -0.002232212 -0.000744555 -0.012192003 -0.008569366 -0.003279538 -0.004178945 0.001899509 -0.002906908 0.008673317 0.00364134 0.003590633 -0.001215332 -0.014522193 0.019662358 -0.003041642 -0.013636521 -0.004134133 -0.011088786 -0.000296104 -0.007867055 0.003530262 -0.009507673 0.018642374 -0.001358217 -0.016363976 0.01670862 0.004883008 0.02655596 0.009260189 -0.006514756 0.008135727 0.001717659 -0.028333089 -0.004361058 -0.007107625 -0.004173447

0.022930472 -0.01817237 0.005374295 -0.001331431 0.005865369 -0.001681374 0.007243593 -0.015549933 -0.000346585 0.001070561 -0.010396893 -0.00718106 -0.00217428 -0.003177042 0.002767999 -0.001965974 0.009524026 0.004793469 0.004873144 0.00019542 -0.013146035 0.020554333 -0.001477009 -0.012168705 -0.003120868 -0.010207457 0.000218691 -0.007352861 0.003787998 -0.009120386 0.018718174 -0.000641562 -0.015684475 0.016843972 0.00559367 0.027440407 0.011050287 -0.004406474 0.010028042 0.003889823 -0.026098887 -0.00308058 -0.005967624 -0.003266284

140

LAMPIRAN 7: Uji normalitas data residual ARIMA (0,0,3)

141

LAMPIRAN 8: Estimasi model GARCH 1. Iterasi 1 GARCH (1,1)

2. Iterasi 2 GARCH (1,1)

142



143



144



145



146



147



148



149



150



151



152



153



154



155



156

LAMPIRAN 9: Uji diagnosa untuk data iterasi 12 model GARCH (1,1) 1. Uji Normalitas

2. Uji Heterokedastisitas

157

LAMPIRAN 10: Perhitungan Likelihood Ratio Test Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

1/2/2014 1/3/2014 1/6/2014 1/7/2014 1/8/2014 1/9/2014 1/10/2014 1/13/2014 1/15/2014 1/16/2014 1/17/2014 1/20/2014 1/21/2014 1/22/2014 1/23/2014 1/24/2014 1/27/2014 1/28/2014 1/29/2014 1/30/2014 2/3/2014 2/4/2014 2/5/2014 2/6/2014 2/7/2014 2/10/2014 2/11/2014 2/12/2014 2/13/2014 2/14/2014 2/17/2014 2/18/2014 2/19/2014 2/20/2014 2/21/2014 2/24/2014 2/25/2014 2/26/2014 2/27/2014 2/28/2014 3/3/2014 3/4/2014 3/5/2014

0 -0.017787062 -0.009797897 -0.013261577 0.007173349 -0.003702033 0.014006031 0.032818613 0.013353271 -0.00506283 -0.006215527 0.00868438 0.00129778 0.008663563 0.000911025 -0.017386854 -0.034491094 0.007490569 0.022306937 0.002208579 -0.012098705 -0.013743664 0.011861509 0.010974044 0.008548149 -0.00477857 0.002268148 0.007217163 -0.003058534 0.002877842 0.010844664 -0.000828805 0.010721066 0.000691368 0.007701395 -0.008055018 -0.012067279 -0.013846811 0.011174397 0.022619272 -0.012650277 0.001727171 0.012740066

0 -177870.6157 -97978.97407 -132615.7706 71733.48729 -37020.33439 140060.3146 328186.1333 133532.711 -50628.30397 -62155.27308 86843.79859 12977.7994 86635.63051 9110.251741 -173868.5408 -344910.9407 74905.69352 223069.3687 22085.79421 -120987.0503 -137436.6386 118615.0856 109740.437 85481.48818 -47785.69762 22681.48232 72171.6276 -30585.34027 28778.41935 108446.6399 -8288.045849 107210.6553 6913.682615 77013.95355 -80550.18065 -120672.7914 -138468.115 111743.9686 226192.7178 -126502.7661 17271.70922 127400.6587

True True True True True True True True True True True True True True True True False True True True True True True True True True True True True True True True True True True True True True True True True True True

True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True



158

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

3/6/2014 3/7/2014 3/10/2014 3/11/2014 3/12/2014 3/13/2014 3/14/2014 3/17/2014 3/18/2014 3/19/2014 3/20/2014 3/21/2014 3/24/2014 3/25/2014 3/26/2014 3/27/2014 3/28/2014 4/1/2014 4/2/2014 4/3/2014 4/4/2014 4/7/2014 4/8/2014 4/9/2014 4/10/2014 4/11/2014 4/14/2014 4/15/2014 4/16/2014 4/17/2014 4/21/2014 4/22/2014 4/23/2014 4/24/2014 4/25/2014 4/28/2014 4/29/2014 4/30/2014 5/2/2014 5/5/2014 5/6/2014 5/7/2014 5/8/2014 5/9/2014 5/12/2014

0.004765696 0.001172039 0.001850288 0.003847801 -0.003437069 0.012774035 0.031359758 0.003198547 -0.019070178 0.006320957 -0.03300501 0.00374592 0.00194609 -0.008423683 0.006367607 -0.002296438 0.008452028 0.025712482 -0.002773642 0.004962727 -0.008019572 0.021129232 -0.001049606 0 -0.035692161 0.015627856 0.009794506 0.000106112 -0.00291437 0.00867241 -0.000105503 0.000918894 1.50722E-05 -0.001446557 4.52793E-05 -0.019627155 -0.007826722 0.003743443 -0.002194855 0.003089999 -0.001868342 0.007222253 0.00164045 0.0048138 0.009890645

47656.96073 11720.38726 18502.88013 38478.01095 -34370.68736 127740.346 313597.5819 31985.46843 -190701.7763 63209.57308 -330050.1046 37459.20167 19460.90407 -84236.83458 63676.06638 -22964.38288 84520.28126 257124.8241 -27736.41534 49627.27309 -80195.71572 211292.3245 -10496.06473 0 -356921.6084 156278.5612 97945.05905 1061.12206 -29143.70144 86724.09643 -1055.029313 9188.943343 150.7223659 -14465.57215 452.7929141 -196271.5508 -78267.21604 37434.4253 -21948.55306 30899.98596 -18683.42028 72222.52651 16404.50225 48137.99554 98906.4522

True True True True True True True True True True False True True True True True True True True True True True True True False True True True True True True True True True True True True True True True True True True True True

True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True



159

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

5/13/2014 5/14/2014 5/16/2014 5/19/2014 5/20/2014 5/21/2014 5/22/2014 5/23/2014 5/26/2014 5/28/2014 5/30/2014 6/2/2014 6/3/2014 6/4/2014 6/5/2014 6/6/2014 6/9/2014 6/10/2014 6/11/2014 6/12/2014 6/13/2014 6/16/2014 6/17/2014 6/18/2014 6/19/2014 6/20/2014 6/23/2014 6/24/2014 6/25/2014 6/26/2014 6/27/2014 6/30/2014 7/1/2014 7/2/2014 7/3/2014 7/4/2014 7/7/2014 7/8/2014 7/10/2014 7/11/2014 7/14/2014 7/15/2014 7/16/2014 7/17/2014 7/18/2014

-0.002145768 0.017321302 0.011868084 -0.003753547 -0.026904235 0.007095137 0.011560794 -0.000595001 -0.000431537 0.003180337 -0.025745536 0.003146555 0.005614745 -0.001495194 0.002128916 0.005069845 -0.011181782 0.015344727 0.005677384 -0.009465249 -0.002072203 -0.014184628 0.008516741 -0.005244218 -0.005623262 -0.002126494 0.000719577 0.00185006 -0.004623854 0.007735145 -0.007336209 0.004759377 0.002058911 0.011377115 -0.003123009 0.002776521 0.023499962 0.0056946 0.013894156 -0.018941341 -0.000205881 0.012413242 0.009098238 -0.012402177 0.0056116

-21457.68237 173213.0182 118680.8357 -37535.47045 -269042.346 70951.36926 115607.9365 -5950.008378 -4315.373661 31803.36693 -257455.3563 31465.55362 56147.44832 -14951.93734 21289.16328 50698.45098 -111817.8216 153447.2707 56773.8406 -94652.49272 -20722.03208 -141846.2846 85167.40825 -52442.17671 -56232.62242 -21264.93801 7195.765954 18500.59738 -46238.54478 77351.44616 -73362.09426 47593.76588 20589.11048 113771.1459 -31230.09452 27765.2096 234999.6196 56945.99875 138941.5628 -189413.4061 -2058.813156 124132.4182 90982.38043 -124021.7735 56116.0005





160

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

7/21/2014 7/22/2014 7/23/2014 7/24/2014 7/25/2014 8/4/2014 8/5/2014 8/6/2014 8/7/2014 8/8/2014 8/11/2014 8/12/2014 8/13/2014 8/14/2014 8/15/2014 8/18/2014 8/19/2014 8/20/2014 8/21/2014 8/22/2014 8/25/2014 8/26/2014 8/27/2014 8/28/2014 8/29/2014 9/1/2014 9/2/2014 9/3/2014 9/4/2014 9/5/2014 9/8/2014 9/9/2014 9/10/2014 9/11/2014 9/12/2014 9/15/2014 9/16/2014 9/17/2014 9/18/2014 9/19/2014 9/22/2014 9/23/2014 9/24/2014 9/25/2014 9/26/2014

0.010556024 -0.006880451 -0.000274476 0.000462237 -0.002979332 0.015564733 -0.005835277 -0.013386219 0.003642266 -0.005315504 0.01534623 0.004064327 0.010216281 -0.00505958 -0.003373063 0.001467287 -0.001567096 0.006891205 0.00172606 -0.004576185 -0.004440333 -0.007286645 0.00417228 0.003727498 -0.014921492 0.012037848 0.005062202 0.005913754 -0.007080793 0.000882506 0.007272353 -0.013895868 -0.013786754 -0.007769913 0.00781343 0.004231007 -0.000867895 0.011639704 0.00517895 0.002827924 -0.00325491 -0.008908877 -0.005271014 0.003560245 -0.010660936

105560.2447 -68804.50902 -2744.761487 4622.374652 -29793.31899 155647.3288 -58352.77343 -133862.1868 36422.6565 -53155.04286 153462.2964 40643.27252 102162.8125 -50595.80366 -33730.62796 14672.86656 -15670.96324 68912.04556 17260.60476 -45761.84723 -44403.3305 -72866.44988 41722.79613 37274.98033 -149214.9153 120378.4766 50622.01863 59137.54493 -70807.93249 8825.064191 72723.52827 -138958.6784 -137867.5441 -77699.12891 78134.30421 42310.07363 -8678.953393 116397.0416 51789.50241 28279.23714 -32549.10369 -89088.77059 -52710.1416 35602.45267 -106609.3572





161

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

9/29/2014 9/30/2014 10/1/2014 10/2/2014 10/3/2014 10/6/2014 10/7/2014 10/8/2014 10/9/2014 10/10/2014 10/13/2014 10/14/2014 10/15/2014 10/16/2014 10/17/2014 10/20/2014 10/21/2014 10/22/2014 10/23/2014 10/24/2014 10/27/2014 10/28/2014 10/29/2014 10/30/2014 10/31/2014 11/3/2014 11/4/2014 11/5/2014 11/6/2014 11/7/2014 11/10/2014 11/11/2014 11/12/2014 11/13/2014 11/14/2014 11/17/2014 11/18/2014 11/19/2014 11/20/2014 11/21/2014 11/24/2014 11/25/2014 11/26/2014 11/27/2014 11/28/2014

0.002686751 -0.002701309 -0.007634989 -0.030789065 -0.004103954 0.009259123 0.008816587 -0.01752959 0.005249006 -0.010357941 -0.013428377 0.004778191 0.003729533 -0.001211021 0.017620504 -0.001432694 -0.001117388 0.009398495 0.004390691 -0.006968408 -0.011636842 -0.009273191 0.022993687 -0.001483565 0.005429071 -0.000372959 -0.008601608 0.001473789 -0.004956401 -0.012339074 -0.006704169 0.018348252 0.00337959 0.002677502 0.000210305 0.004001928 0.010786628 0.004252819 -0.008954846 0.00730313 0.013152542 -0.009351833 0.002203129 0.004552483 -0.002471252

26867.51433 -27013.08786 -76349.88603 -307890.6474 -41039.54447 92591.23281 88165.86906 -175295.9004 52490.05819 -103579.4099 -134283.766 47781.91491 37295.32778 -12110.21416 176205.0395 -14326.93899 -11173.8781 93984.94687 43906.91005 -69684.07642 -116368.4236 -92731.91192 229936.8687 -14835.64775 54290.71477 -3729.589852 -86016.08419 14737.88874 -49564.01117 -123390.7399 -67041.69338 183482.5153 33795.8988 26775.01948 2103.053553 40019.28264 107866.2797 42528.19385 -89548.45941 73031.30471 131525.4176 -93518.33 22031.29411 45524.82783 -24712.52087

True True True False True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True




162

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

12/1/2014 12/2/2014 12/3/2014 12/4/2014 12/5/2014 12/8/2014 12/9/2014 12/10/2014 12/11/2014 12/12/2014 12/15/2014 12/16/2014 12/17/2014 12/18/2014 12/19/2014 12/29/2014 12/30/2014 12/31/2014 1/2/2015 1/5/2015 1/6/2015 1/7/2015 1/8/2015 1/9/2015 1/12/2015 1/13/2015 1/14/2015 1/15/2015 1/16/2015 1/19/2015 1/20/2015 1/21/2015 1/22/2015 1/23/2015 1/26/2015 1/27/2015 1/28/2015 1/29/2015 1/30/2015 2/2/2015 2/3/2015 2/4/2015 2/5/2015 2/6/2015 2/9/2015

0.003478473 0.000758334 -0.006112639 0.007234617 0.002312818 -0.010971234 -0.00303057 0.005890807 -0.004492144 0.001073552 -0.009020687 -0.016282423 -0.002701968 0.020777231 0.005447839 0.009758226 0.007553274 0 0.004951246 -0.007776997 -0.011706825 0.009411288 0.000915938 0.001176389 -0.007532446 0.012166459 -0.01527177 0.008632693 -0.008588641 -7.33307E-05 0.010187906 0.019386222 0.009554059 0.011069304 -0.015891637 0.0032269 -0.00229169 -0.004243651 0.005078842 -0.007357037 0.004466156 0.00577343 -0.011808851 0.01575192 -0.000885828

34784.73456 7583.336089 -61126.39249 72346.17217 23128.17986 -109712.3416 -30305.69796 58908.06897 -44921.4356 10735.5182 -90206.87302 -162824.2277 -27019.67715 207772.312 54478.39212 97582.25889 75532.73638 0 49512.45582 -77769.97201 -117068.246 94112.88275 9159.379676 11763.89455 -75324.45987 121664.5894 -152717.6961 86326.9252 -85886.40735 -733.3074076 101879.0641 193862.2218 95540.59358 110693.0354 -158916.367 32269.00313 -22916.89988 -42436.5129 50788.41768 -73570.37296 44661.55839 57734.29803 -118088.5051 157519.2019 -8858.276105





163

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

2/10/2015 2/11/2015 2/12/2015 2/13/2015 2/16/2015 2/17/2015 2/18/2015 2/19/2015 2/20/2015 2/23/2015 2/24/2015 2/25/2015 2/26/2015 2/27/2015 3/2/2015 3/3/2015 3/4/2015 3/5/2015 3/6/2015 3/9/2015 3/10/2015 3/11/2015 3/12/2015 3/13/2015 3/16/2015 3/17/2015 3/18/2015 3/19/2015 3/20/2015 3/23/2015 3/24/2015 3/25/2015 3/26/2015 3/27/2015 3/30/2015 3/31/2015 4/1/2015 4/2/2015 4/6/2015 4/7/2015 4/8/2015 4/9/2015 4/10/2015 4/13/2015 4/14/2015

-0.005472903 0.007229718 0.00258038 0.010519075 -0.0166726 0.00665768 0.006057109 0 -0.004630295 0.004226726 0.002835628 0.009683278 -9.62421E-05 -0.007271682 0.008974989 0.002179897 -0.009369969 -0.001798694 0.017516542 -0.013977551 0.001654536 -0.007356256 0.004486597 -0.000124394 0.002304968 -0.000924095 -0.008815006 0.00906335 -0.004410565 -0.00092881 0.000693241 -0.014617714 -0.010675245 0.009197354 0.014708643 0.010630337 -0.013284756 -0.002494151 0.005661964 0.009237658 -0.010459158 0.005346846 -0.002448196 -0.006460587 -0.008848264

-54729.03049 72297.18148 25803.80371 105190.7485 -166726.0041 66576.80097 60571.09054 0 -46302.94807 42267.26432 28356.283 96832.77917 -962.4212124 -72716.81825 89749.88624 21798.9681 -93699.69108 -17986.94292 175165.4184 -139775.5131 16545.36055 -73562.5627 44865.97417 -1243.939332 23049.67841 -9240.954491 -88150.06491 90633.50108 -44105.64927 -9288.09854 6932.40929 -146177.1442 -106752.4535 91973.54017 147086.4298 106303.3678 -132847.5601 -24941.51289 56619.64041 92376.58163 -104591.5799 53468.46308 -24481.95822 -64605.8748 -88482.63725





164

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

4/15/2015 4/16/2015 4/17/2015 4/20/2015 4/21/2015 4/22/2015 4/23/2015 4/24/2015 4/27/2015 4/28/2015 4/29/2015 4/30/2015 5/1/2015 5/4/2015 5/5/2015 5/6/2015 5/7/2015 5/8/2015 5/11/2015 5/12/2015 5/13/2015 5/15/2015 5/18/2015 5/19/2015 5/20/2015 5/21/2015 5/22/2015 5/25/2015 5/26/2015 5/27/2015 5/28/2015 5/29/2015 6/1/2015 6/3/2015 6/4/2015 6/5/2015 6/8/2015 6/9/2015 6/10/2015 6/11/2015 6/12/2015 6/15/2015 6/16/2015 6/17/2015 6/18/2015

-2.80664E-05 -0.000956812 -0.001521344 -0.00718748 0.019308279 -0.002593942 0.003804936 0.006157538 -0.035247349 0.004059159 -0.038101955 -0.015033847 0 0.021370475 0.010385292 0.008777378 -0.009185518 0.015521067 -0.000775439 0.001134209 0.012944081 0.003986134 -0.000479717 0.004562539 0.00427604 -0.003531633 -0.00071628 -0.000702721 0.011226368 -0.01615929 -0.0008623 -0.012937516 0.003689116 -0.011844652 -0.010321784 -0.000788266 -0.01750167 -0.025848753 0.013707645 0.0027791 -0.001411141 -0.0268266 0.007670726 0.011858384 0.00639576

-280.663758 -9568.118915 -15213.43649 -71874.79744 193082.7889 -25939.4195 38049.35781 61575.38339 -352473.4894 40591.5857 -381019.5513 -150338.4683 0 213704.752 103852.9213 87773.77527 -91855.17635 155210.6654 -7754.390719 11342.09206 129440.8119 39861.34123 -4797.172347 45625.38687 42760.40339 -35316.3325 -7162.79631 -7027.209446 112263.6752 -161592.8977 -8622.999595 -129375.1616 36891.15576 -118446.5191 -103217.8373 -7882.660895 -175016.6952 -258487.5305 137076.4455 27790.99747 -14111.40756 -268266.0022 76707.25543 118583.8425 63957.60457

True True True True True True True True False True False True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True




165

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

6/19/2015 6/22/2015 6/23/2015 6/24/2015 6/25/2015 6/26/2015 6/29/2015 6/30/2015 7/1/2015 7/2/2015 7/3/2015 7/6/2015 7/7/2015 7/8/2015 7/9/2015 7/10/2015 7/13/2015 7/14/2015 7/15/2015 7/22/2015 7/23/2015 7/24/2015 7/27/2015 7/28/2015 7/29/2015 7/30/2015 7/31/2015 8/3/2015 8/4/2015 8/5/2015 8/6/2015 8/7/2015 8/10/2015 8/11/2015 8/12/2015 8/13/2015 8/14/2015 8/18/2015 8/19/2015 8/20/2015 8/21/2015 8/24/2015 8/25/2015 8/26/2015 8/27/2015

0.002642896 -0.007798531 -0.006870215 0.013993655 -0.009923495 -0.001425715 -0.009194403 0.006367331 -0.003323668 0.011554656 0.012765029 -0.014351366 -0.005534169 -0.00681936 -0.011795235 0.004867335 0.009328395 0.001647975 -0.003436298 0.007225407 -0.003118495 -0.014425431 -0.023142645 -0.005568056 0.000747332 -0.000317889 0.020569229 -0.007787587 -0.004358089 0.015690998 -0.015028917 -0.004532497 -0.004664459 -0.034097364 -0.037604895 0.033565465 0.001832097 -0.015320956 -0.00850911 -0.00701629 -0.027553433 -0.049490562 0.019067914 -0.003213057 0.056381589

26428.95783 -77985.30881 -68702.147 139936.5498 -99234.95101 -14257.14664 -91944.03406 63673.31289 -33236.68283 115546.5602 127650.29 -143513.6556 -55341.68874 -68193.60354 -117952.3521 48673.35498 93283.94709 16479.75493 -34362.98166 72254.0697 -31184.95198 -144254.3091 -231426.4526 -55680.5605 7473.321444 -3178.887149 205692.2874 -77875.8729 -43580.89488 156909.9786 -150289.169 -45324.97112 -46644.58582 -340973.6374 -376048.9501 335654.6489 18320.9736 -153209.5637 -85091.10249 -70162.89871 -275534.3272 -494905.6191 190679.1375 -32130.57323 563815.8851

True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True False False True True True True True False False True True True

True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True False True True True

True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True True False True True True


166

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

8/28/2015 8/31/2015 9/1/2015 9/2/2015 9/3/2015 9/4/2015 9/7/2015 9/8/2015 9/9/2015 9/10/2015 9/11/2015 9/14/2015 9/15/2015 9/16/2015 9/17/2015 9/18/2015 9/21/2015 9/22/2015 9/23/2015 9/25/2015 9/28/2015 9/29/2015 9/30/2015 10/1/2015 10/2/2015 10/5/2015 10/6/2015 10/7/2015 10/8/2015 10/9/2015 10/12/2015 10/13/2015 10/15/2015 10/16/2015 10/19/2015 10/20/2015 10/21/2015 10/22/2015 10/23/2015 10/26/2015 10/27/2015 10/28/2015 10/29/2015 10/30/2015 11/2/2015

0.001571033 0.020585513 -0.02398676 -0.00246838 0.014026121 -0.002966028 -0.04125421 0.003549157 0.013393813 0.003593612 0.01349469 0.011525003 -0.019455141 -0.005547207 0.012673413 0.00070135 -0.002670956 -0.012282042 -0.0257201 -0.007687208 -0.027712044 0.022674545 0.002989654 0.012455991 -0.016456198 0.039767818 0.034683133 0.009789685 -0.002326102 0.023476672 0.005913333 -0.043073895 0.010901942 0.004211494 0.016637907 0.001191954 0.006651619 -0.009102241 0.01445317 0.005418665 -0.004290687 -0.016301143 -0.039959657 -0.001483279 0.012681645

15710.33214 205855.1279 -239867.6031 -24683.80462 140261.2076 -29660.28386 -412542.1036 35491.57357 133938.1308 35936.11821 134946.8971 115250.0289 -194551.4072 -55472.07209 126734.1285 7013.50432 -26709.56499 -122820.4218 -257201.0033 -76872.07517 -277120.4376 226745.449 29896.53868 124559.9064 -164561.977 397678.1803 346831.3338 97896.85004 -23261.02214 234766.7176 59133.33398 -430738.9462 109019.4153 42114.93663 166379.0734 11919.54087 66516.1943 -91022.40555 144531.7041 54186.65134 -42906.86793 -163011.4319 -399596.5715 -14832.79257 126816.4467

True True True True True True False True True True True True True True True True True True True True False True True True True True True True True True True False True True True True True True True True True True False True True

True True True True True True False True True True True True True True True True True True True True True True True True True True True True True True True False True True True True True True True True True True False True True



167

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

11/3/2015 11/4/2015 11/5/2015 11/6/2015 11/9/2015 11/10/2015 11/11/2015 11/12/2015 11/13/2015 11/16/2015 11/17/2015 11/18/2015 11/19/2015 11/20/2015 11/23/2015 11/24/2015 11/25/2015 11/26/2015 11/27/2015 11/30/2015 12/1/2015 12/2/2015 12/3/2015 12/4/2015 12/7/2015 12/8/2015 12/10/2015 12/11/2015 12/14/2015 12/15/2015 12/16/2015 12/17/2015 12/18/2015 12/21/2015 12/22/2015 12/23/2015 12/28/2015 12/29/2015 12/30/2015 1/4/2016 1/5/2016 1/6/2016 1/7/2016 1/8/2016 1/11/2016

0.009873856 0.018183222 -0.008620587 -0.002382099 -0.020784548 -0.015610625 0.004575461 -0.004111891 0.008666513 -0.010298717 0.01327276 0.007590313 0.00515687 0.012785247 -0.014898541 -0.001209548 0.00736927 0.004179528 -0.001247059 -0.035978256 0.030957773 -0.001891333 -0.000553038 -0.006170806 0.004744918 -0.022939464 -0.006738501 -0.023107686 0.000955105 0.013259628 0.017278919 0.02931727 -0.020695002 0.005881874 0.006586408 -0.003953365 0.006770168 0.003609826 0.00650153 -0.018805017 0.008660143 0.024739101 -0.021195852 0.001833506 -0.023198604

98738.55935 181832.2165 -86205.8676 -23820.99107 -207845.4834 -156106.2541 45754.61355 -41118.90783 86665.12606 -102987.1715 132727.6027 75903.1297 51568.70447 127852.4697 -148985.4135 -12095.47576 73692.70093 41795.27653 -12470.59226 -359782.5567 309577.7262 -18913.33027 -5530.377803 -61708.0641 47449.18145 -229394.6416 -67385.00765 -231076.8614 9551.047576 132596.2826 172789.1859 293172.6996 -206950.0157 58818.74183 65864.08051 -39533.65198 67701.68404 36098.25673 65015.30349 -188050.1664 86601.43115 247391.0146 -211958.517 18335.06112 -231986.0431

True True True True True True True True True True True True True True True True True True True False True True True True True True True True True True True True True True True True True True True True True True True True True




168

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

1/12/2016 1/13/2016 1/14/2016 1/15/2016 1/18/2016 1/19/2016 1/20/2016 1/21/2016 1/22/2016 1/25/2016 1/26/2016 1/27/2016 1/28/2016 1/29/2016 2/1/2016 2/2/2016 2/3/2016 2/4/2016 2/5/2016 2/9/2016 2/10/2016 2/11/2016 2/12/2016 2/15/2016 2/16/2016 2/17/2016 2/18/2016 2/19/2016 2/22/2016 2/23/2016 2/24/2016 2/25/2016 2/26/2016 2/29/2016 3/1/2016 3/2/2016 3/3/2016 3/4/2016 3/7/2016 3/8/2016 3/10/2016 3/11/2016 3/14/2016 3/15/2016 3/16/2016

0.015777044 0.009717093 -0.012943524 0.000874895 -0.01207996 0.008305877 -0.016338069 -0.001751634 0.015165038 0.007992741 -0.00077281 0.017131129 0.004155095 0.008193409 -0.00269645 -0.012150106 0.010725436 0.019072003 0.03253671 -0.010041663 -0.003085922 0.015350608 -0.02117036 0.00550431 0.002079964 0.004711138 0.004891751 -0.0162835 0.001108649 -0.013112665 -0.00435573 0.004996975 0.020134752 0.008197265 0.010939228 0.016930419 -0.003992817 -0.004344845 -0.006068646 -0.003387453 0.001263943 0.005882441 0.018901056 -0.011242947 0.005516349

157770.4423 97170.93204 -129435.2446 8748.948969 -120799.5962 83058.76888 -163380.6918 -17516.34488 151650.378 79927.41484 -7728.099544 171311.2946 41550.95166 81934.09212 -26964.49781 -121501.0637 107254.3625 190720.0322 325367.1035 -100416.6325 -30859.2234 153506.0818 -211703.5967 55043.09972 20799.63962 47111.38134 48917.51001 -162835.0004 11086.49003 -131126.6507 -43557.29829 49969.7525 201347.5203 81972.64601 109392.2834 169304.1868 -39928.16755 -43448.45148 -60686.45752 -33874.52857 12639.42727 58824.41173 189010.5594 -112429.4729 55163.49469





169

Date

Return

Return* 10000000

T-1 Hari

T-2 Hari

T-3 Hari

T-4 Hari

3/17/2016 3/18/2016 3/21/2016 3/22/2016 3/23/2016 3/24/2016 3/28/2016 3/29/2016 3/30/2016 3/31/2016

0.009730838 0.001734617 -0.001555038 -0.006109078 -0.010899474 -0.005816051 -0.010944864 -0.001657551 0.008752258 0.003099712

97308.38335 17346.17311 -15550.37847 -61090.78196 -108994.7369 -58160.51031 -109448.6354 -16575.51084 87522.5832 30997.12498

True True True True True True True True True True




170

LAMPIRAN 11: Tabel Chi-Kuadrat db

0.005

0.010

0.025

0.050

0.100

0.250

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44

7.879 10.597 12.838 14.860 16.750 18.548 20.278 21.955 23.589 25.188 26.757 28.300 29.819 31.319 32.801 34.267 35.718 37.156 38.582 39.997 41.401 42.796 44.181 45.559 46.928 48.290 49.645 50.993 52.336 53.672 55.003 56.328 57.648 58.964 60.275 61.581 62.883 64.181 65.476 66.766 68.053 69.336 70.616 71.893

6.635 9.210 11.345 13.277 15.086 16.812 18.475 20.090 21.666 23.209 24.725 26.217 27.688 29.141 30.578 32.000 33.409 34.805 36.191 37.566 38.932 40.289 41.638 42.980 44.314 45.642 46.963 48.278 49.588 50.892 52.191 53.486 54.776 56.061 57.342 58.619 59.893 61.162 62.428 63.691 64.950 66.206 67.459 68.710

5.024 7.378 9.348 11.143 12.833 14.449 16.013 17.535 19.023 20.483 21.920 23.337 24.736 26.119 27.488 28.845 30.191 31.526 32.852 34.170 35.479 36.781 38.076 39.364 40.646 41.923 43.195 44.461 45.722 46.979 48.232 49.480 50.725 51.966 53.203 54.437 55.668 56.896 58.120 59.342 60.561 61.777 62.990 64.201

3.841 5.991 7.815 9.488 11.070 12.592 14.067 15.507 16.919 18.307 19.675 21.026 22.362 23.685 24.996 26.296 27.587 28.869 30.144 31.410 32.671 33.924 35.172 36.415 37.652 38.885 40.113 41.337 42.557 43.773 44.985 46.194 47.400 48.602 49.802 50.998 52.192 53.384 54.572 55.758 56.942 58.124 59.304 60.481

2.706 4.605 6.251 7.779 9.236 10.645 12.017 13.362 14.684 15.987 17.275 18.549 19.812 21.064 22.307 23.542 24.769 25.989 27.204 28.412 29.615 30.813 32.007 33.196 34.382 35.563 36.741 37.916 39.087 40.256 41.422 42.585 43.745 44.903 46.059 47.212 48.363 49.513 50.660 51.805 52.949 54.090 55.230 56.369

1.323 2.773 4.108 5.385 6.626 7.841 9.037 10.219 11.389 12.549 13.701 14.845 15.984 17.117 18.245 19.369 20.489 21.605 22.718 23.828 24.935 26.039 27.141 28.241 29.339 30.435 31.528 32.620 33.711 34.800 35.887 36.973 38.058 39.141 40.223 41.304 42.383 43.462 44.539 45.616 46.692 47.766 48.840 49.913

171

db

0.005

0.010

0.025

0.050

0.100

0.250

45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90

73.166 74.437 75.704 76.969 78.231 79.490 80.747 82.001 83.253 84.502 85.749 86.994 88.236 89.477 90.715 91.952 93.186 94.419 95.649 96.878 98.105 99.330 100.554 101.776 102.996 104.215 105.432 106.648 107.862 109.074 110.286 111.495 112.704 113.911 115.117 116.321 117.524 118.726 119.927 121.126 122.325 123.522 124.718 125.913 127.106 128.299

69.957 71.201 72.443 73.683 74.919 76.154 77.386 78.616 79.843 81.069 82.292 83.513 84.733 85.950 87.166 88.379 89.591 90.802 92.010 93.217 94.422 95.626 96.828 98.028 99.228 100.425 101.621 102.816 104.010 105.202 106.393 107.583 108.771 109.958 111.144 112.329 113.512 114.695 115.876 117.057 118.236 119.414 120.591 121.767 122.942 124.116

65.410 66.617 67.821 69.023 70.222 71.420 72.616 73.810 75.002 76.192 77.380 78.567 79.752 80.936 82.117 83.298 84.476 85.654 86.830 88.004 89.177 90.349 91.519 92.689 93.856 95.023 96.189 97.353 98.516 99.678 100.839 101.999 103.158 104.316 105.473 106.629 107.783 108.937 110.090 111.242 112.393 113.544 114.693 115.841 116.989 118.136

61.656 62.830 64.001 65.171 66.339 67.505 68.669 69.832 70.993 72.153 73.311 74.468 75.624 76.778 77.931 79.082 80.232 81.381 82.529 83.675 84.821 85.965 87.108 88.250 89.391 90.531 91.670 92.808 93.945 95.081 96.217 97.351 98.484 99.617 100.749 101.879 103.010 104.139 105.267 106.395 107.522 108.648 109.773 110.898 112.022 113.145

57.505 58.641 59.774 60.907 62.038 63.167 64.295 65.422 66.548 67.673 68.796 69.919 71.040 72.160 73.279 74.397 75.514 76.630 77.745 78.860 79.973 81.085 82.197 83.308 84.418 85.527 86.635 87.743 88.850 89.956 91.061 92.166 93.270 94.374 95.476 96.578 97.680 98.780 99.880 100.980 102.079 103.177 104.275 105.372 106.469 107.565

50.985 52.056 53.127 54.196 55.265 56.334 57.401 58.468 59.534 60.600 61.665 62.729 63.793 64.857 65.919 66.981 68.043 69.104 70.165 71.225 72.285 73.344 74.403 75.461 76.519 77.577 78.634 79.690 80.747 81.803 82.858 83.913 84.968 86.022 87.077 88.130 89.184 90.237 91.289 92.342 93.394 94.446 95.497 96.548 97.599 98.650

172

db

0.005

0.010

0.025

0.050

0.100

0.250

91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136

129.491 130.681 131.871 133.059 134.247 135.433 136.619 137.803 138.987 140.169 141.351 142.532 143.712 144.891 146.070 147.247 148.424 149.599 150.774 151.948 153.122 154.294 155.466 156.637 157.808 158.977 160.146 161.314 162.481 163.648 164.814 165.980 167.144 168.308 169.471 170.634 171.796 172.957 174.118 175.278 176.438 177.597 178.755 179.913 181.070 182.226

125.289 126.462 127.633 128.803 129.973 131.141 132.309 133.476 134.642 135.807 136.971 138.134 139.297 140.459 141.620 142.780 143.940 145.099 146.257 147.414 148.571 149.727 150.882 152.037 153.191 154.344 155.496 156.648 157.800 158.950 160.100 161.250 162.398 163.546 164.694 165.841 166.987 168.133 169.278 170.423 171.567 172.711 173.854 174.996 176.138 177.280

119.282 120.427 121.571 122.715 123.858 125.000 126.141 127.282 128.422 129.561 130.700 131.838 132.975 134.111 135.247 136.382 137.517 138.651 139.784 140.917 142.049 143.180 144.311 145.441 146.571 147.700 148.829 149.957 151.084 152.211 153.338 154.464 155.589 156.714 157.839 158.962 160.086 161.209 162.331 163.453 164.575 165.696 166.816 167.936 169.056 170.175

114.268 115.390 116.511 117.632 118.752 119.871 120.990 122.108 123.225 124.342 125.458 126.574 127.689 128.804 129.918 131.031 132.144 133.257 134.369 135.480 136.591 137.701 138.811 139.921 141.030 142.138 143.246 144.354 145.461 146.567 147.674 148.779 149.885 150.989 152.094 153.198 154.302 155.405 156.508 157.610 158.712 159.814 160.915 162.016 163.116 164.216

108.661 109.756 110.850 111.944 113.038 114.131 115.223 116.315 117.407 118.498 119.589 120.679 121.769 122.858 123.947 125.035 126.123 127.211 128.298 129.385 130.472 131.558 132.643 133.729 134.813 135.898 136.982 138.066 139.149 140.233 141.315 142.398 143.480 144.562 145.643 146.724 147.805 148.885 149.965 151.045 152.125 153.204 154.283 155.361 156.440 157.518

99.700 100.750 101.800 102.850 103.899 104.948 105.997 107.045 108.093 109.141 110.189 111.236 112.284 113.331 114.378 115.424 116.471 117.517 118.563 119.608 120.654 121.699 122.744 123.789 124.834 125.878 126.923 127.967 129.011 130.055 131.098 132.142 133.185 134.228 135.271 136.313 137.356 138.398 139.440 140.482 141.524 142.566 143.608 144.649 145.690 146.731

173

db

0.005

0.010

0.025

0.050

0.100

0.250

137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182

183.382 184.538 185.693 186.847 188.001 189.154 190.306 191.458 192.610 193.761 194.912 196.062 197.211 198.360 199.509 200.657 201.804 202.951 204.098 205.244 206.390 207.535 208.680 209.824 210.968 212.111 213.254 214.396 215.539 216.680 217.821 218.962 220.102 221.242 222.382 223.521 224.660 225.798 226.936 228.074 229.211 230.347 231.484 232.620 233.755 234.891

178.421 179.561 180.701 181.840 182.979 184.118 185.256 186.393 187.530 188.666 189.802 190.938 192.073 193.208 194.342 195.476 196.609 197.742 198.874 200.006 201.138 202.269 203.400 204.530 205.660 206.790 207.919 209.047 210.176 211.304 212.431 213.558 214.685 215.812 216.938 218.063 219.189 220.314 221.438 222.563 223.687 224.810 225.933 227.056 228.179 229.301

171.294 172.412 173.530 174.648 175.765 176.882 177.998 179.114 180.229 181.344 182.459 183.573 184.687 185.800 186.914 188.026 189.139 190.251 191.362 192.474 193.584 194.695 195.805 196.915 198.025 199.134 200.243 201.351 202.459 203.567 204.675 205.782 206.889 207.995 209.102 210.208 211.313 212.419 213.524 214.628 215.733 216.837 217.941 219.044 220.148 221.251

165.316 166.415 167.514 168.613 169.711 170.809 171.907 173.004 174.101 175.198 176.294 177.390 178.485 179.581 180.676 181.770 182.865 183.959 185.052 186.146 187.239 188.332 189.424 190.516 191.608 192.700 193.791 194.883 195.973 197.064 198.154 199.244 200.334 201.423 202.513 203.602 204.690 205.779 206.867 207.955 209.042 210.130 211.217 212.304 213.391 214.477

158.595 159.673 160.750 161.827 162.904 163.980 165.056 166.132 167.207 168.283 169.358 170.432 171.507 172.581 173.655 174.729 175.803 176.876 177.949 179.022 180.094 181.167 182.239 183.311 184.382 185.454 186.525 187.596 188.667 189.737 190.808 191.878 192.948 194.017 195.087 196.156 197.225 198.294 199.363 200.432 201.500 202.568 203.636 204.704 205.771 206.839

147.772 148.813 149.854 150.894 151.934 152.975 154.015 155.055 156.094 157.134 158.174 159.213 160.252 161.291 162.330 163.369 164.408 165.446 166.485 167.523 168.561 169.599 170.637 171.675 172.713 173.751 174.788 175.825 176.863 177.900 178.937 179.974 181.011 182.047 183.084 184.120 185.157 186.193 187.229 188.265 189.301 190.337 191.373 192.409 193.444 194.480

174

db

0.005

0.010

0.025

0.050

0.100

0.250

183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228

236.026 237.160 238.294 239.428 240.561 241.694 242.827 243.959 245.091 246.223 247.354 248.485 249.616 250.746 251.876 253.006 254.135 255.264 256.393 257.521 258.649 259.777 260.904 262.031 263.158 264.285 265.411 266.537 267.662 268.788 269.912 271.037 272.162 273.286 274.409 275.533 276.656 277.779 278.902 280.024 281.146 282.268 283.390 284.511 285.632 286.753

230.423 231.544 232.665 233.786 234.907 236.027 237.147 238.266 239.386 240.505 241.623 242.742 243.860 244.977 246.095 247.212 248.329 249.445 250.561 251.677 252.793 253.908 255.023 256.138 257.253 258.367 259.481 260.595 261.708 262.821 263.934 265.047 266.159 267.271 268.383 269.495 270.606 271.717 272.828 273.939 275.049 276.159 277.269 278.379 279.488 280.597

222.353 223.456 224.558 225.660 226.761 227.863 228.964 230.064 231.165 232.265 233.365 234.465 235.564 236.664 237.763 238.861 239.960 241.058 242.156 243.254 244.351 245.448 246.545 247.642 248.739 249.835 250.931 252.027 253.122 254.218 255.313 256.408 257.503 258.597 259.691 260.785 261.879 262.973 264.066 265.159 266.252 267.345 268.438 269.530 270.622 271.714

215.563 216.649 217.735 218.820 219.906 220.991 222.076 223.160 224.245 225.329 226.413 227.496 228.580 229.663 230.746 231.829 232.912 233.994 235.077 236.159 237.240 238.322 239.403 240.485 241.566 242.647 243.727 244.808 245.888 246.968 248.048 249.128 250.207 251.286 252.365 253.444 254.523 255.602 256.680 257.758 258.837 259.914 260.992 262.070 263.147 264.224

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182

DAFTAR RIWAYAT HIDUP

Nama

: Diani Febriyati Pratiwi

Jenis Kelamin

: Perempuan

Alamat

: Sukamulya II, Purwakarta, Jawa Barat

Tempat/Tanggal Lahir

: Purwakarta/22 Februari 1994

Status

: Belum Menikah

Agama

: Islam

Phone

: 08562595994

Email

: [email protected]

Pendidikan Formal 2012-2016: Fakultas Sains dan Teknologi, Universitas Islam Negeri Sunan Kalijaga Yogyakarta 2009-2012: SMA Negeri 1 Campaka Purwakarta 2006-2009: SMP Negeri 5 Purwakarta 2000-2006: SD Negeri 10 Ciseureuh Purwakarta Pengalaman Organisasi 2013-2015: Anggota divisi Advokasi, Badan Eksekutif Mahasiswa Fakultas Sains dan Teknologi

ANALISIS RESIKO SAHAM SYARI AH MENGGUNAKAN PENDEKATAN BAYESIAN GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH)

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