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PENDEKATAN VECTOR AUTOREGRESSIVE (VAR) DALAM MENGANALISIS PENGARUH INFLASI, SERTIFIKAT BANK INDONESIA SYARIAH (SBIS) DAN PRODUK DOMESTIK BRUTO (PDB) TERHADAP JAKARTA ISLAMIC INDEX (JII) (STUDI KASUS: JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2011–DES
The Vector Autoregressive (VAR) method is one of the analyzes used to analyze the time series. Time series data can be expressed in years, months, weeks, or days. This study aims to analyze the effect of Inflation, Bank Indonesia Syariah Certificates (SBIS) and Gross Domestic Product (GDP) on the Jakarta Islamic Index (JII) for the period January 2011-December 2021. The sample used in this study is secondary data. The data used is monthly data from the period 2011-2021. The analysis tool used is EViews 10.0 software. The analytical methods used in this study include stationarity test, optimal lag test, stability test, multivariate cointegration test: Johansen Cointegration Test, Granger Causality test, Vector Autoregressive (VAR) model regression, Impulse Response Function (IRF) analysis and Forecast Error Variance Decomposition (FEVD) analysis. The parameter estimation method used in estimating the Vector Autoregressive (VAR) model is the Ordinary Least Square (OLS) method. The Ordinary Least Square (OLS) method is one of the methods used to estimate parameters by minimizing the function of the sum of the squares of error in a model. The results of this study show that the Jakarta Islamic Index (JII) responded positively due to the shock that occurred in the variables of inflation, Bank Indonesia Syariah Certificates (SBIS) and Gross Domestic Product (GDP). Each independent variable shows a different contribution to the Jakarta Islamic Index (JII) from the percentage of Inflation of 1.38% to 2.61%, Bank Indonesia Syariah Certificates (SBIS) of 0.02% to 0.49% and Gross Domestic Product (GDP) of 1.46% to 5.51%.
FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
PENDEKATAN VECTOR AUTOREGRESSIVE (VAR) DALAM MENGANALISIS PENGARUH INFLASI, SERTIFIKAT BANK INDONESIA SYARIAH (SBIS) DAN PRODUK DOMESTIK BRUTO (PDB) TERHADAP JAKARTA ISLAMIC INDEX (JII) (STUDI KASUS: JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2011–DES (Text)
PENDEKATAN VECTOR AUTOREGRESSIVE (VAR) DALAM MENGANALISIS PENGARUH INFLASI, SERTIFIKAT BANK INDONESIA SYARIAH (SBIS) DAN PRODUK DOMESTIK BRUTO (PDB) TERHADAP JAKARTA ISLAMIC INDEX (JII) (STUDI KASUS: JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2011–DES (Other)
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