Open AccessModeling Multivariate Time Series by Vector Error Correction Models (VECM) (Study: PT Kalbe Farma Tbk. and PT Kimia Farma (Persero) Tbk)
Author(s) -
Luvita Loves,
Mustofa Usman,
Warsono,
Widiarti,
Edwin Russel
Publication year - 2021
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1751/1/012013
Subject(s) - cointegration , error correction model , econometrics , granger causality , time series , autoregressive model , vector autoregression , mathematics , unit root , series (stratigraphy) , statistics , biology , paleontology
Time series analysis (time series) is one method with the aim to find out events that will occur in the future based on data and past circumstances. Time series are widely used in economics, business, environmental science, and finance. The analytical tool that is widely used to answer quantitative research problems is the Autoregressive Vector (VAR). The VAR model is used if the data is stationary. If the variable has cointegration and stationary at the first difference value, the VAR model is modified to become the Error Correction Model (VECM). Then we can find out the influence of variables with other variables by looking at the Impulse Response Function and Granger Causality. In this research, PT Kalbe Farma Tbk’s stock data will be analyzed. (KLBF) and PT Kimia Farma (Persero) Tbk (KAEF). The data used are weekly data from January 2010 to June 2020. Based on data analysis, it is known that the data is not stationary and there are unit roots. Furthermore, first differencing is done to make the data stationary. Because there was cointegration, a VECM analysis was performed and a VECM (p) was obtained with a lag of p = 4. So the best model for this research is VECM (4) with rank = 2. Causal relationships between variables using Granger Causality showed that KLBF influenced KAEF in the past. Based on IRF analysis, each variable gives a fluctuating response with itself and with other variables.