Impact of Fuel Oil Pricing Policy on Inflation
Table 2: Results of ARCH-GARCH Model
| Variable |
Coefficient |
Std. Error |
z-statistics |
Prob |
|
| C |
-0.0161 |
0.0366 |
0.441 |
0.6592 |
|
| SOEHARTO |
1.1717 |
0.4094 |
2.8619 |
0.0042 |
|
| GUSDUR |
0.5461 |
0.5258 |
1.0387 |
0.2989 |
|
| MEGAWATI |
0. 1394 |
0.1103 |
1.2632 |
0.2065 |
|
| SBY |
1.1282 |
1.1398 |
8.0653 |
0.0000 |
|
| JKW |
0.0865 |
0.1270 |
0.6811 |
0.4958 |
|
| D(LNJUB) |
0.8576 |
1.4052 |
0.6103 |
0.5416 |
|
| D(LNSB)*D1 |
0.9287 |
0.1317 |
7.0502 |
0.0000 |
|
| D(LNSB)*D2 |
31.871 |
1.5255 |
20.892 |
0.0000 |
|
| D(LNSB)*D3 |
1.1337 |
1.4855 |
0.7631 |
0.4454 |
|
| Variance Equation |
|
| C |
0.0699 |
0.0102 |
6.8842 |
0.0000 |
|
| RESID(-1)^2 |
0.9625 |
0.1175 |
8.1885 |
0.0000 |
|
| GARCH(-1) |
0.3657 |
0.0320 |
11.4425 |
0.0000 |
|
| R-Squared |
0.0284 |
|
| Adjusted R-Squared |
0.0046 |
|
| S.E. Regression |
1688.273 |
|
| AIC |
2.7404 |
|
| SIC |
2.8757 |
|
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