Null Hypothesis: IHSG has a unit root

Exogenous: Constant
Lag Length: 3 (Automatic - based on SIC, maxlag=27)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.523631 0.8842

Test critical values: 1% level -3.432616
5% level -2.862427
10% level -2.567287

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IHSG)
Method: Least Squares
Date: 06/15/19 Time: 08:39
Sample (adjusted): 5 2664
Included observations: 2660 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

IHSG(-1) -0.000349 0.000666 -0.523631 0.6006

D(IHSG(-1)) 0.054901 0.019342 2.838495 0.0046
D(IHSG(-2)) -0.020088 0.019373 -1.036872 0.2999
D(IHSG(-3)) -0.084393 0.019347 -4.362110 0.0000
C 2.812598 2.938020 0.957311 0.3385

R-squared 0.010933 Mean dependent var 1.281531

Adjusted R-squared 0.009443 S.D. dependent var 46.15957
S.E. of regression 45.94112 Akaike info criterion 10.49448
Sum squared resid 5603606. Schwarz criterion 10.50554
Log likelihood -13952.65 Hannan-Quinn criter. 10.49848
F-statistic 7.337032 Durbin-Watson stat 2.003954
Prob(F-statistic) 0.000007

Null Hypothesis: D(IHSG) has a unit root

Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=27)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -32.31531 0.0000

Test critical values: 1% level -3.432616
5% level -2.862427
10% level -2.567287

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IHSG,2)
Method: Least Squares
Date: 06/15/19 Time: 08:39
Sample (adjusted): 5 2664
Included observations: 2660 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(IHSG(-1)) -1.050255 0.032500 -32.31531 0.0000

D(IHSG(-1),2) 0.104929 0.026574 3.948563 0.0001
D(IHSG(-2),2) 0.084623 0.019339 4.375717 0.0000
C 1.346733 0.891612 1.510447 0.1310

S.E. of regression 45.93484 Akaike info criterion 10.49383

Sum squared resid 5604185. Schwarz criterion 10.50268
Log likelihood -13952.79 Hannan-Quinn criter. 10.49703
Durbin-Watson stat 2.004003

Null Hypothesis: GOLD has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=27)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.735832 0.4130

Test critical values: 1% level -3.432613
5% level -2.862426
10% level -2.567286

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GOLD)
Method: Least Squares
Date: 06/15/19 Time: 08:39
Sample (adjusted): 2 2664
Included observations: 2663 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

GOLD(-1) -0.001828 0.001053 -1.735832 0.0827

C 29804.87 15233.04 1.956593 0.0505

R-squared 0.001131 Mean dependent var 3928.917

Adjusted R-squared 0.000756 S.D. dependent var 161842.1
S.E. of regression 161781.0 Akaike info criterion 26.82662
Sum squared resid 6.96E+13 Schwarz criterion 26.83105
Log likelihood -35717.65 Hannan-Quinn criter. 26.82823
F-statistic 3.013111 Durbin-Watson stat 2.070544
Prob(F-statistic) 0.082709

Null Hypothesis: D(GOLD) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=27)
 t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -53.46623 0.0001

Test critical values: 1% level -3.432614
5% level -2.862426
10% level -2.567286

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(GOLD,2)
Method: Least Squares
Date: 06/15/19 Time: 08:39
Sample (adjusted): 3 2664
Included observations: 2662 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(GOLD(-1)) -1.035995 0.019377 -53.46623 0.0000

C 4072.785 3136.872 1.298359 0.1943

R-squared 0.517997 Mean dependent var 6.659655

Adjusted R-squared 0.517816 S.D. dependent var 233005.7
S.E. of regression 161798.0 Akaike info criterion 26.82684
Sum squared resid 6.96E+13 Schwarz criterion 26.83126
Log likelihood -35704.52 Hannan-Quinn criter. 26.82844
F-statistic 2858.638 Durbin-Watson stat 2.002926

Null Hypothesis: OIL has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=27)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.902988 0.3312

Test critical values: 1% level -3.432613
5% level -2.862426
10% level -2.567286

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(OIL)
Method: Least Squares
Date: 06/15/19 Time: 08:39
Sample (adjusted): 2 2664
Included observations: 2663 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

OIL(-1) -0.002765 0.001453 -1.902988 0.0571

C 2361.688 1316.365 1.794098 0.0729
R-squared 0.001359 Mean dependent var -61.87878
Adjusted R-squared 0.000984 S.D. dependent var 17190.96
S.E. of regression 17182.51 Akaike info criterion 22.34192
Sum squared resid 7.86E+11 Schwarz criterion 22.34634
Log likelihood -29746.27 Hannan-Quinn criter. 22.34352
F-statistic 3.621364 Durbin-Watson stat 2.073209
Prob(F-statistic) 0.057150

Null Hypothesis: OIL has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=27)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.902988 0.3312

Test critical values: 1% level -3.432613
5% level -2.862426
10% level -2.567286

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(OIL)
Method: Least Squares
Date: 06/15/19 Time: 08:39
Sample (adjusted): 2 2664
Included observations: 2663 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

OIL(-1) -0.002765 0.001453 -1.902988 0.0571

C 2361.688 1316.365 1.794098 0.0729

R-squared 0.001359 Mean dependent var -61.87878

Adjusted R-squared 0.000984 S.D. dependent var 17190.96
S.E. of regression 17182.51 Akaike info criterion 22.34192
Sum squared resid 7.86E+11 Schwarz criterion 22.34634
Log likelihood -29746.27 Hannan-Quinn criter. 22.34352
F-statistic 3.621364 Durbin-Watson stat 2.073209
Prob(F-statistic) 0.057150

Null Hypothesis: USDIDR has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=27)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.285490 0.9246

Test critical values: 1% level -3.432613
5% level -2.862426
10% level -2.567286
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(USDIDR)
Method: Least Squares
Date: 06/15/19 Time: 08:39
Sample (adjusted): 2 2664
Included observations: 2663 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

USDIDR(-1) -0.000181 0.000632 -0.285490 0.7753

C 3.971713 7.231960 0.549189 0.5829

R-squared 0.000031 Mean dependent var 1.938791

Adjusted R-squared -0.000345 S.D. dependent var 65.16380
S.E. of regression 65.17504 Akaike info criterion 11.19278
Sum squared resid 11303359 Schwarz criterion 11.19720
Log likelihood -14901.19 Hannan-Quinn criter. 11.19438
F-statistic 0.081504 Durbin-Watson stat 2.072943
Prob(F-statistic) 0.775291

Null Hypothesis: D(USDIDR) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=27)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -53.50119 0.0001

Test critical values: 1% level -3.432614
5% level -2.862426
10% level -2.567286

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(USDIDR,2)
Method: Least Squares
Date: 06/15/19 Time: 08:40
Sample (adjusted): 3 2664
Included observations: 2662 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(USDIDR(-1)) -1.036638 0.019376 -53.50119 0.0000

C 2.004097 1.263168 1.586563 0.1127

S.E. of regression 65.14387 Akaike info criterion 11.19182

Sum squared resid 11288305 Schwarz criterion 11.19625
Log likelihood -14894.32 Hannan-Quinn criter. 11.19343
Durbin-Watson stat 1.996637
stasioner

VAR Lag Order Selection Criteria

Endogenous variables: GOLD IHSG OIL USDIDR
Exogenous variables: C
Date: 06/15/19 Time: 08:41
Sample: 1 2669
Included observations: 2656

Lag LogL LR FPE AIC SC HQ

0 -123170.7 NA 2.25e+35 92.75203 92.76090 92.75524

1 -93843.15 58544.68 5.84e+25 70.68008 70.72439* 70.69612
2 -93797.41 91.17057 5.71e+25 70.65769 70.73745 70.68655*
3 -93788.63 17.47663 5.74e+25 70.66312 70.77833 70.70482
4 -93759.94 56.99646 5.68e+25 70.65357 70.80423 70.70810
5 -93745.78 28.10779 5.69e+25 70.65495 70.84106 70.72231
6 -93729.97 31.31079 5.69e+25 70.65510 70.87666 70.73529
7 -93709.90 39.71351 5.67e+25 70.65203 70.90904 70.74505
8 -93691.97 35.41672* 5.67e+25* 70.65058* 70.94303 70.75643

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

lag

Pairwise Granger Causality Tests

Date: 06/15/19 Time: 08:43
Sample: 1 2669
Lags: 8

Null Hypothesis: Obs F-Statistic Prob.

IHSG does not Granger Cause GOLD 2656 1.99168 0.0438

GOLD does not Granger Cause IHSG 2.15873 0.0278

OIL does not Granger Cause GOLD 2656 0.77451 0.6253

GOLD does not Granger Cause OIL 0.83155 0.5746

USDIDR does not Granger Cause GOLD 2656 1.57935 0.1256

GOLD does not Granger Cause USDIDR 2.16692 0.0271

OIL does not Granger Cause IHSG 2656 2.78072 0.0046

IHSG does not Granger Cause OIL 1.01796 0.4199

USDIDR does not Granger Cause IHSG 2656 2.95085 0.0027

IHSG does not Granger Cause USDIDR 1.96088 0.0475

USDIDR does not Granger Cause OIL 2656 1.11195 0.3516

OIL does not Granger Cause USDIDR 0.93867 0.4830

granger

Date: 06/15/19 Time: 08:43

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: GOLD IHSG OIL USDIDR
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.007794 40.05966 47.85613 0.2204

At most 1 0.005145 19.28676 29.79707 0.4724
At most 2 0.002086 5.591907 15.49471 0.7431
At most 3 1.79E-05 0.047441 3.841466 0.8276

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.007794 20.77290 27.58434 0.2902

At most 1 0.005145 13.69485 21.13162 0.3906
At most 2 0.002086 5.544466 14.26460 0.6721
At most 3 1.79E-05 0.047441 3.841466 0.8276

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

GOLD IHSG OIL USDIDR

7.79E-07 -0.001855 1.37E-06 0.000209
2.83E-07 0.000183 -4.56E-06 -0.000595
1.14E-07 0.000546 1.69E-06 -0.000372
5.95E-08 -0.000449 1.12E-06 -0.000302

Unrestricted Adjustment Coefficients (alpha):

D(GOLD) -9849.567 522.4495 -3577.056 -357.6852

D(IHSG) 2.829393 0.915802 -0.358782 -0.118492
D(OIL) -420.2285 1172.605 23.81646 2.922296
D(USDIDR) -3.055699 -0.384808 2.246720 -0.091150
1 Cointegrating Equation(s): Log likelihood -93653.77

Normalized cointegrating coefficients (standard error in parentheses)

GOLD IHSG OIL USDIDR
1.000000 -2381.799 1.756404 267.7578
(329.023) (1.46506) (223.144)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.007670
(0.00244)
D(IHSG) 2.20E-06
(6.9E-07)
D(OIL) -0.000327
(0.00026)
D(USDIDR) -2.38E-06
(9.7E-07)

2 Cointegrating Equation(s): Log likelihood -93646.92

Normalized cointegrating coefficients (standard error in parentheses)

GOLD IHSG OIL USDIDR
1.000000 0.000000 -12.32983 -1600.559
(3.44733) (393.000)
0.000000 1.000000 -0.005914 -0.784414
(0.00150) (0.17146)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.007522 18.36331
(0.00259) (5.83548)
D(IHSG) 2.46E-06 -0.005080
(7.3E-07) (0.00164)
D(OIL) 4.09E-06 0.993440
(0.00028) (0.61897)
D(USDIDR) -2.49E-06 0.005597
(1.0E-06) (0.00233)

3 Cointegrating Equation(s): Log likelihood -93644.15

Normalized cointegrating coefficients (standard error in parentheses)

GOLD IHSG OIL USDIDR
1.000000 0.000000 0.000000 -1136.463
(443.615)
0.000000 1.000000 0.000000 -0.561806
(0.20613)
0.000000 0.000000 1.000000 37.64013
(39.9066)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.007930 16.41167 -0.021903
(0.00262) (6.07889) (0.01582)
D(IHSG) 2.42E-06 -0.005276 -9.16E-07
(7.4E-07) (0.00171) (4.4E-06)
D(OIL) 6.80E-06 1.006434 -0.005885
(0.00028) (0.64495) (0.00168)
 D(USDIDR) -2.23E-06 0.006823 1.37E-06
(1.0E-06) (0.00243) (6.3E-06)

kointegrasi 4 variabel

Date: 06/15/19 Time: 08:44

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: GOLD IHSG OIL
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.007457 26.78544 29.79707 0.1070

At most 1 0.002430 6.913832 15.49471 0.5877
At most 2 0.000171 0.455309 3.841466 0.4998

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.007457 19.87161 21.13162 0.0743

At most 1 0.002430 6.458523 14.26460 0.5551
At most 2 0.000171 0.455309 3.841466 0.4998

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

GOLD IHSG OIL

8.34E-07 -0.001710 2.60E-07
-8.60E-09 8.37E-05 -4.45E-06
1.41E-08 0.000731 -4.36E-07

Unrestricted Adjustment Coefficients (alpha):

D(GOLD) -9713.962 3685.675 -1149.762

D(IHSG) 2.990608 0.841265 -0.311909
D(OIL) -86.62059 744.0697 103.5866

1 Cointegrating Equation(s): Log likelihood -79061.18

Normalized cointegrating coefficients (standard error in parentheses)
GOLD IHSG OIL
1.000000 -2050.598 0.312167
(205.849) (1.20650)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.008099
(0.00261)
D(IHSG) 2.49E-06
(7.4E-07)
D(OIL) -7.22E-05
(0.00028)

2 Cointegrating Equation(s): Log likelihood -79057.95

Normalized cointegrating coefficients (standard error in parentheses)

GOLD IHSG OIL
1.000000 0.000000 -137.8646
(53.9507)
0.000000 1.000000 -0.067384
(0.02630)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.008131 16.91574
(0.00261) (5.36702)
D(IHSG) 2.49E-06 -0.005042
(7.4E-07) (0.00151)
D(OIL) -7.86E-05 0.210341
(0.00028) (0.56937)

Date: 06/15/19 Time: 08:45

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: GOLD IHSG USDIDR
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.007569 24.93650 29.79707 0.1637

At most 1 0.001793 4.765499 15.49471 0.8332
At most 2 3.81E-07 0.001011 3.841466 0.9747

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
 None 0.007569 20.17100 21.13162 0.0677
At most 1 0.001793 4.764488 14.26460 0.7712
At most 2 3.81E-07 0.001011 3.841466 0.9747

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

GOLD IHSG USDIDR

8.16E-07 -0.001759 7.26E-05
-1.65E-07 -0.000676 0.000515
-9.54E-08 0.000312 0.000446

Unrestricted Adjustment Coefficients (alpha):

D(GOLD) -9132.785 2873.671 -62.35952

D(IHSG) 2.999340 0.094959 -0.018147
D(USDIDR) -3.188229 -2.153397 -0.008592

1 Cointegrating Equation(s): Log likelihood -64101.74

Normalized cointegrating coefficients (standard error in parentheses)

GOLD IHSG USDIDR
1.000000 -2154.410 88.91669
(278.541) (186.151)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.007455
(0.00255)
D(IHSG) 2.45E-06
(7.2E-07)
D(USDIDR) -2.60E-06
(1.0E-06)

2 Cointegrating Equation(s): Log likelihood -64099.36

Normalized cointegrating coefficients (standard error in parentheses)

GOLD IHSG USDIDR
1.000000 0.000000 -1018.502
(491.606)
0.000000 1.000000 -0.514024
(0.22539)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.007927 14.11868
(0.00261) (5.89577)
D(IHSG) 2.43E-06 -0.005339
(7.4E-07) (0.00166)
D(USDIDR) -2.25E-06 0.007061
(1.0E-06) (0.00235)
Date: 06/15/19 Time: 08:46
Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: IHSG OIL USDIDR
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.005290 18.29053 29.79707 0.5447

At most 1 0.001539 4.208476 15.49471 0.8860
At most 2 4.52E-05 0.120036 3.841466 0.7290

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.005290 14.08206 21.13162 0.3583

At most 1 0.001539 4.088439 14.26460 0.8499
At most 2 4.52E-05 0.120036 3.841466 0.7290

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

IHSG OIL USDIDR

-0.000887 4.51E-06 0.000671
0.000646 2.31E-06 -0.000309
-0.000380 9.98E-07 -0.000275

Unrestricted Adjustment Coefficients (alpha):

D(IHSG) 0.198210 -0.776264 -0.272563

D(OIL) -1228.925 -92.83410 -5.141095
D(USDIDR) -0.987570 2.448042 -0.052266

1 Cointegrating Equation(s): Log likelihood -58175.68

Normalized cointegrating coefficients (standard error in parentheses)

IHSG OIL USDIDR
1.000000 -0.005087 -0.756251
(0.00137) (0.15607)
Adjustment coefficients (standard error in parentheses)
D(IHSG) -0.000176
(0.00078)
D(OIL) 1.090617
(0.29484)
D(USDIDR) 0.000876
(0.00111)

2 Cointegrating Equation(s): Log likelihood -58173.63

Normalized cointegrating coefficients (standard error in parentheses)

IHSG OIL USDIDR
1.000000 0.000000 -0.592889
(0.23529)
0.000000 1.000000 32.11436
(47.8923)

Adjustment coefficients (standard error in parentheses)

D(IHSG) -0.000678 -9.02E-07
(0.00097) (4.5E-06)
D(OIL) 1.030609 -0.005763
(0.36475) (0.00169)
D(USDIDR) 0.002459 1.21E-06
(0.00138) (6.4E-06)

kointegrasi 3 variabel

Date: 06/15/19 Time: 08:46

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: IHSG GOLD
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.007391 20.16791 15.49471 0.0092

At most 1 0.000178 0.472595 3.841466 0.4918

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.007391 19.69531 14.26460 0.0063

At most 1 0.000178 0.472595 3.841466 0.4918
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

IHSG GOLD
-0.001703 8.32E-07
0.000707 2.09E-08

Unrestricted Adjustment Coefficients (alpha):

D(IHSG) 3.046520 -0.382609

D(GOLD) -9472.324 -1571.220

1 Cointegrating Equation(s): Log likelihood -49494.84

Normalized cointegrating coefficients (standard error in parentheses)

IHSG GOLD
1.000000 -0.000488
(4.5E-05)

Adjustment coefficients (standard error in parentheses)

D(IHSG) -0.005188
(0.00151)
D(GOLD) 16.13149
(5.33933)

Date: 06/15/19 Time: 08:47

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: IHSG OIL
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.002083 5.801071 15.49471 0.7189

At most 1 9.94E-05 0.263860 3.841466 0.6075

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.002083 5.537211 14.26460 0.6730

 At most 1 9.94E-05 0.263860 3.841466 0.6075

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

IHSG OIL
-0.000131 4.47E-06
0.000751 -6.47E-08

Unrestricted Adjustment Coefficients (alpha):

D(IHSG) -0.808199 -0.417056

D(OIL) -731.4715 59.58274

1 Cointegrating Equation(s): Log likelihood -43539.59

Normalized cointegrating coefficients (standard error in parentheses)

IHSG OIL
1.000000 -0.034162
(0.01431)

Adjustment coefficients (standard error in parentheses)

D(IHSG) 0.000106
(0.00012)
D(OIL) 0.095625
(0.04350)

Date: 06/15/19 Time: 08:47

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: IHSG USDIDR
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.001753 4.727946 15.49471 0.8370

At most 1 2.58E-05 0.068490 3.841466 0.7935

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
 None 0.001753 4.659457 14.26460 0.7840
At most 1 2.58E-05 0.068490 3.841466 0.7935

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

IHSG USDIDR
-0.000982 0.000573
0.000264 0.000366

Unrestricted Adjustment Coefficients (alpha):

D(IHSG) 0.733627 0.212836

D(USDIDR) -2.692375 0.019989

1 Cointegrating Equation(s): Log likelihood -28570.96

Normalized cointegrating coefficients (standard error in parentheses)

IHSG USDIDR
1.000000 -0.583890
(0.23753)

Adjustment coefficients (standard error in parentheses)

D(IHSG) -0.000720
(0.00087)
D(USDIDR) 0.002644
(0.00123)

Date: 06/15/19 Time: 08:48

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: GOLD OIL
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.001924 7.445647 15.49471 0.5264

At most 1 0.000878 2.332969 3.841466 0.1267

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

 Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.001924 5.112678 14.26460 0.7275

At most 1 0.000878 2.332969 3.841466 0.1267

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

GOLD OIL
8.44E-08 4.10E-06
3.31E-07 -1.68E-06

Unrestricted Adjustment Coefficients (alpha):

D(GOLD) -4662.227 -3598.480

D(OIL) -651.9658 250.9443

1 Cointegrating Equation(s): Log likelihood -65194.14

Normalized cointegrating coefficients (standard error in parentheses)

GOLD OIL
1.000000 48.56458
(23.0573)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.000393
(0.00027)
D(OIL) -5.50E-05
(2.8E-05)

Date: 06/15/19 Time: 08:48

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: GOLD USDIDR
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.001730 4.938792 15.49471 0.8153

At most 1 0.000129 0.342121 3.841466 0.5586

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.001730 4.596671 14.26460 0.7916

At most 1 0.000129 0.342121 3.841466 0.5586

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

GOLD USDIDR
-4.45E-07 0.000415
1.36E-08 -0.000515

Unrestricted Adjustment Coefficients (alpha):

D(GOLD) 5979.767 825.0936

D(USDIDR) -0.772214 0.700735

1 Cointegrating Equation(s): Log likelihood -50384.90

Normalized cointegrating coefficients (standard error in parentheses)

GOLD USDIDR
1.000000 -932.9241
(527.487)

Adjustment coefficients (standard error in parentheses)

D(GOLD) -0.002663
(0.00140)
D(USDIDR) 3.44E-07
(5.6E-07)

Date: 06/15/19 Time: 08:48

Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Trend assumption: Linear deterministic trend
Series: OIL USDIDR
Lags interval (in first differences): 1 to 8

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.002958 8.622269 15.49471 0.4015

At most 1 0.000285 0.756764 3.841466 0.3843

Trace test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None 0.002958 7.865505 14.26460 0.3925

At most 1 0.000285 0.756764 3.841466 0.3843

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

OIL USDIDR
4.35E-06 0.000259
-1.26E-06 0.000449

Unrestricted Adjustment Coefficients (alpha):

D(OIL) -848.6523 -118.4913

D(USDIDR) 1.182653 -1.026950

1 Cointegrating Equation(s): Log likelihood -44468.23

Normalized cointegrating coefficients (standard error in parentheses)

OIL USDIDR
1.000000 59.38183
(41.2694)

Adjustment coefficients (standard error in parentheses)

D(OIL) -0.003696
(0.00145)
D(USDIDR) 5.15E-06
(5.5E-06)

kointegrasi 2 variabel

Vector Error Correction Estimates

Date: 06/15/19 Time: 08:49
Sample (adjusted): 10 2664
Included observations: 2655 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

IHSG(-1) 1.000000

GOLD(-1) -0.000488
(4.5E-05)
[-10.8987]
 C 2715.939

Error Correction: D(IHSG) D(GOLD)

CointEq1 -0.005188 16.13149

(0.00151) (5.33933)
[-3.43937] [ 3.02126]

D(IHSG(-1)) 0.054948 -26.69532

(0.01947) (68.9181)
[ 2.82203] [-0.38735]

D(IHSG(-2)) -0.022863 41.72073

(0.01943) (68.7615)
[-1.17688] [ 0.60675]

D(IHSG(-3)) -0.084490 42.78029

(0.01939) (68.6217)
[-4.35801] [ 0.62342]

D(IHSG(-4)) -0.019255 -44.04828

(0.01945) (68.8415)
[-0.99003] [-0.63985]

D(IHSG(-5)) -0.025414 -21.23742

(0.01945) (68.8357)
[-1.30678] [-0.30852]

D(IHSG(-6)) -0.057029 -154.1992

(0.01940) (68.6616)
[-2.93983] [-2.24579]

D(IHSG(-7)) 0.054361 107.5390

(0.01945) (68.8329)
[ 2.79536] [ 1.56232]

D(IHSG(-8)) -0.023259 15.61492

(0.01946) (68.8794)
[-1.19524] [ 0.22670]

D(GOLD(-1)) -5.37E-06 -0.032364

(5.5E-06) (0.01955)
[-0.97163] [-1.65532]

D(GOLD(-2)) -1.96E-06 -0.035749

(5.5E-06) (0.01955)
[-0.35520] [-1.82891]

D(GOLD(-3)) -1.93E-06 -0.011236

(5.5E-06) (0.01954)
[-0.35024] [-0.57504]

D(GOLD(-4)) 3.23E-06 0.022362

(5.5E-06) (0.01953)
[ 0.58504] [ 1.14482]
 D(GOLD(-5)) -4.96E-06 0.004972
(5.5E-06) (0.01954)
[-0.89751] [ 0.25438]

D(GOLD(-6)) 1.60E-06 0.024694

(5.5E-06) (0.01953)
[ 0.28914] [ 1.26414]

D(GOLD(-7)) -1.20E-05 -0.011120

(5.5E-06) (0.01952)
[-2.17419] [-0.56972]

D(GOLD(-8)) -1.70E-06 0.002916

(5.5E-06) (0.01952)
[-0.30831] [ 0.14940]

C 1.573764 4054.663
(0.89153) (3155.58)
[ 1.76525] [ 1.28492]

R-squared 0.025017 0.011378

Adj. R-squared 0.018732 0.005004
Sum sq. resids 5493178. 6.88E+13
S.E. equation 45.64117 161547.9
F-statistic 3.980160 1.785193
Log likelihood -13902.50 -35598.49
Akaike AIC 10.48625 26.82975
Schwarz SC 10.52615 26.86964
Mean dependent 1.335299 3867.092
S.D. dependent 46.07474 161953.7

Determinant resid covariance (dof adj.) 5.41E+13

Determinant resid covariance 5.34E+13
Log likelihood -49494.84
Akaike information criterion 37.31287
Schwarz criterion 37.39709

vecm