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Pengujian Case Study

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Pengujian Case Study
3. Uji Hipotesis
a) Pengujian Koefisien Regresi Parsial ( t – Test )
Untuk mengetahui signifikansi masing – masing faktor dari variabel bebas, digunakan pengujian dengan t – test.
Pengujian hipotesis dalam penelitian ini mereplikasi model yang digunakan oleh Schwert (1990), Jones, Kaul, dan Lipson (1994) serta Chan dan Fong (2000), volatilitas harian saham diestimasi dari nilai residual absolut model berikut :

Replikasi model di atas terlebih dahulu akan dilakukan beberapa tahap pengujian sehingga model tersebut dapat diterapkan untuk penelitian di Bursa Efek Indonesia.
Sedangkan model replikasinya berdasarkan model tersebut dijelaskan sebagaimana model di bawah ini:
Y = a + b1x1 + b2x2 + u (2)
Keterangan : Y = Harga saham penutupan
…show more content…
Sedangkan apabila Fhit > Ftabel maka Ho ditolak dan Ha diterima, yang berarti bahwa secara bersama-sama variabel bebas berpengaruh terhadap besarnya variabel terikat.

c) Pengujian ketepatan perkiraan (Goodness of Fit Test) dengan Uji R 2
Ketepatan fungsir egresi sampel dalam menaksir nilai aktual dapat diukur dari Goodness of Fit Test. Secara statistik, setidaknya ini dapat diukur dari nilai koefisien determinasi, milai statistik F dan nilai statistik t. Perhitungan statistik disebut signifikan secara statistik apabila nilai uji statistiknya berada dalam daerah kritis (daerah dimana H0 ditolak). Sebaliknya disebut tidak signifikan bila nilai uji statistiknya berada dalam daerah dimana H0 diterima.
Uji ini digunakan untuk mengetahui berapa persentase variabel dependen dapat dijelaskan oleh variabel independen. Nilai R 2 besarnya antara 0 dan 1 (0 R 2 1). R 2 dikatakan baik jika makin mendekati 1, sedangkan jika R- square 1 berarti variabel independen berpengaruh sempurna pada variabel dependen, sedangkan jika R- square 0 maka tidak ada pengaruh variabel independen pada

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