distributive lag model, rational expectation, random shock, white-noise, coincidence indicator, leading indicator.
Abstract
This study applies distributive-lag model and the rational expectation model to predict the day Jakarta Stock Exchange Index [JSEI]. The distributive-lag model based on the two lag-time of the day JSEI, and the rational expectation model based on random shock and white noise. Random shock is the product of the distributive-lag model and white noise is the product of random shock autoregression model. Using the day JSEI data at time 2000-2005, the predicting value of the distributive-lag model are overvalued from the actual value of the day JSEI, and furtheremore, the predicting value of the day JSEI at time 2006-2009 are very optimistic. In the other hand, the predicting value of rational expectation model are nearly the actual value of the day JSEI at time 2000-2005. Furtheremore, the predicting value of the day JSEI at time 2006-2009 are very moderate. At this time, the predicting value of the day JSEI is monotonic increasing. Using rational expectation, the JSEI is one of the leading indicators move in tandem with coincident indicators and lagging indicators.
