Hiệu quả của mô hình garch trong việc dự báo mức độ biến thiên của thị trường chứng khoán việt nam

BÁCH KHOA 08 CƠNG TRÌNH TR : Cán m TR - - Tp HCM, ngày 19 tháng 08 n m 2013 : Ân Ngày, tháng, n m sinh: 07/01/1982 N i sinh: MSHV: 10170733 Khoá (N 2010 1- TÊN 2- hình GARCH 3- 29/04/2013 4- 16/08/2013 5- : TS ng qua KHOA QL CHUYÊN NGÀNH , 08 Bài nghiên c m u qu c a t p mơ hình GARCH vi c d báo bi n thiên c a th ng ch ng khốn Vi i di n cơng ty c niêm y t sàn ch ng khốn Tp.H Chí Minh (HOSE) D li t p theo mơ hình ba nhân t Fama French Tính bi ng s b ng t ng, ta so sánh gi a mơ hình b ng ch tiêu AIC, SIC, sai s t qu ng d báo t r i ro c a danh m cho th y mơ hình i mơ hình GARCH khơng n tính TGARCH(1,1) EGARCH(1,1) có th d báo m c ki m ch ng xác nh hi u qu c a tính bi GARCH(1,1) cho ch c phân lai ABSTRACT This paper discusses the performance of modeling and forecasting the volatility of monthly stock return of HOCHIMINH stock exchange (HOSE) We apply therefactor Fama French model to create the portfolios, which are constructed by size (ME) and the ratio of book value to market value (BE/ME) The volatility is modeled by GARCH family models which are GARCH(1,1), TGARCH(1,1), EGARCH(1,1) In order to determine the performance of forecasting volatility, we compare the models by AIC, SBC creations and Root Mean Squared Error (RMSE) We find out the GARCH(1,1) model performs better than another models On the basis of an estimated volatility, investors can forecast the uncertainty of their future financial portfolio CK: ch ng khoán EW: equal weight, tr ng s cân b ng SSL: su t sinh l i TTCK: Th ng ch ng khoán VN: Vi t Nam VNI: VN index VW: value weight, tr ng s giá tr theo quy mô công ty Danh Trang B ng 3.1: S mã CK c a t ng t p danh m c theo t 24 B ng 3.2: T p danh m c kh o sát 25 B ng 3.3: Thông s th ng kê c a t p danh m c d li u 27 B ng 3.4: Ki m tra tính d ng c a chu i d li u 28 B ng 4.1: K t qu sau ki m tra i 30 hình GARCH 35-36 B c ch n ng v i t ng danh m c 37-38 Danh Hình 2.1: Ví d i Hình 2.2: Các m u hình gi thi t c a ph ng n c a chu i th i gian 13 Hình 3.1: Quy trình th c hi n d báo chung 18 Hình 3.2: Các phân chia t p danh m c theo mơ hình Fama French nhân t 21 Hình 3.3: S Hình 3.4: S c xem xét t 22 ng mã CK cho t ng t p danh m c 24 M CL C NG QUAN - GI I THI ÁN 1.1 Gi i thi 1.2 M 1.3 Ph m vi nghiên c u 1.4 c hi n 1.5 tài tài c ti n c tài LÝ THUY T 2.1 nh 2.1.1 Gi i thi i i (heteroskedasticity) 2.1.2 H u qu c i 2.1.3 Các bi n pháp phát hi n 2.2 T p mơ hình GARCH 2.2.1 Mơ hình ARCH 2.2.2 Mơ hình GARCH 10 2.2.3 Mô hình TGARCH 11 2.2.4 Mơ hình EGARCH 12 2.3 Các tiêu chí l a ch n mơ hình 12 12 2.3.2 T ng h p nghiên c u v 15 U VÀ D LI U 18 i Khoá lu n t t nghi p TÀI LI U THAM KH O Acquah, Henry de-Graft (2009) Comparison of Akaike information criterion (AIC) and Bayesian information criterion (BIC) in selection of an asymmetric price relationship Journal of Development and Agricultural Economics Vol 2(1) pp 001-006 Charles, Amélie (2008) Forecasting Volatility with Outliers in GARCH Models Journal of Forecasting 27, 551 565 Park, Beum-Jo (2002) An Outlier Robust GARCH Model and Forecasting Volatility of Exchange rate Returns Journal of Forecasting 21, 381 393 Bahl, Bhavna (September 2006) Testing the Fama and French Three-Factor Model and Its Variants for the Indian Stock Returns Working paper Chong, Cho Wei, Ahmad, Muhammad Idrees and Abdullah , Mat Yusoff (1999) Performance of GARCH Models in Forecasting Stock Market Volatility Journal of Forecasting 18, 333-343 Gujarati, Damodar N (2004) Basic Econometrics, (4th ed) The McGraw-Hill Companies Mcmillian, David G and Speight, Alan E H (2004) Daily Volatility Forecasts: Reassessing the Performance of GARCH Models Journal of Forecasting 23, 449 460 Ruppert, David (2011) Statistics and Data Analysis for Financial Engineering New York: Springer HV: M c Qu c Ân 40 Khoá lu n t t nghi p Ruppert, David (2004) Statistics and Finance: An introduction New York: Springer 10 Asteriou, Dimitrios and Hall, Stephen G (2007) Applied Econometrics A Modern Approach Using Eviews and Microfit Revised Edition.New York: Palgrave Macmillan 11 Fama, Eugene F and French, Kenneth R (1992) The Cross-Section of Expected Stock Returns Journal of Finance 47 (2): 427 465 12 Fama, Eugene F and French, Kenneth R (1993) Common Risk Factors in the Returns on Stocks and Bonds Journal of Financial Economics 33 (1): 56 13 Hoàng Tr ng Chu Nguy n M ng Ng c (2011) Th ng kê ng d ng kinh t -xã h i Nhà xu t b ng-Xã h i 14 Nguy n Tr ng Hồi, Phùng Thanh Bình Nguy n Khánh Duy (2009) D báo phân tích d li u Kinh T Tài Chính Nhà xu t b n Th ng kê 15 Ramanathan, Ramu (2003) Nh p môn kinh t ng v i ng d ng trình Gi ng d y Kinh t Fulbright Niên khóa 2003-2004 (Biên d ch: Th c 16 Pasaribu, Rowland Bismark Fernando (2009) Stock Portfolio with FamaFrench Model In Indonesian Stock Exchange Journal of Accounting & Business, Vol 9, No 1, February 2009 (1-12) 17 Poon, Ser-Huang and Granger, Clive W.J (2003) Forecasting Volatility in Financial Markets: A Review Journal of Economic Literature, Vol XLI (June 2003) pp 478 539 HV: M c Qu c Ân 41 Khoá lu n t t nghi p 18 Gokcan, Suleyman (2000) Forecasting Volatility of Emerging Stock Markets: Linear versus Non-linear GARCH Models Journal of Forecasting 19, 499-504 19 Bollerslev, Tim (2008) Glossary to ARCH (GARCH) Working paper, School of Economics and Management, University of Aarhus 20 Plyakha, Y., Uppal, R and Vilkov, G (2012) Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? Working paper HV: M c Qu c Ân 42 Khoá lu n t t nghi p PH L C Ph l c 1: Danh sách công ty sàn ch c ch n AAM C47 DMC HBC KDH NHS PVD SRC TNT VOS ABT CCI DPM HCM KHA NHW PVF SRF TPC VPH ACC CCL DPR HDC KHP NKG PVT SSC TRA VPK ACL CDC DQC HDG KMR NNC PXI SSI TRC VRC AGD CIG DRC HLA KSA NSC PXL ST8 TS4 VSC AGF CII DRH HLG KSB NTB PXM STB TSC VSH AGR CLC DSN HMC KSH NTL PXS STG TTF VSI ALP CLG DTA HOT KSS NVN PXT STT TTP VST ANV CLW DTL HPG KTB NVT QCG SVC TV1 VTB APC CMT DTT HQC L10 OGC RAL SVT TYA VTF ASM CMV DVP HRC LAF OPC RDP SZL UDC VTO ASP CMX DXG HSI LBM PAC REE TAC UIC ATA CNG DXV HT1 LCG PAN RIC TBC VCB AVF CNT EIB HTI LCM PDN SAM TCL VCF BBC COM ELC HTL LGC PDR SAV TCM VHC BCE CSM EVE HTV LGL PET SBA TCR VHG BCI CTD FDC HU1 LHG PGC SBC TDC VIC BGM CTG FDG HU3 LIX PGD SBT TDH VID BHS CTI FMC HVG LM8 PGI SC5 TDW VIP BIC CYC FPT HVX LSS PHR SCD THG VIS BMC D2D GDT ICF MBB PIT SEC TIC VLF BMI DAG GIL IDI MCG PJT SFC TIE VMD HV: M c Qu c Ân 43 Khoá lu n t t nghi p BMP DCL GMC IJC MCP PNC SFI TIX VNA BRC DCT GMD IMP MDG PNJ SGT TLG VNE BSI DHA GTA ITA MHC POM SHI TLH VNG BT6 DHC GTT ITC MPC PPC SJD TMP VNH BTP DHG HAG JVC MSN PPI SJS TMS VNI BTT DIC HAP KAC MTG PTB SMA TMT VNL BVH DIG HAS KBC NAV PTC SMC TNA VNM C21 DLG HAX KDC NBB PTL SPM TNC VNS HV: M c Qu c Ân 44 Ph l c 2: Phân chia t p danh m c theo mô hình nhân t Khố lu n t t nghi p Ph l c 3: su t sinh l i theo t ng tháng c a t p danh m c Month B/H_EW B/M_EW B/L_EW S/H_EW S/M_EW S/L_EW B/H_VW B/M_VW B/L_VW S/H_VW S/M_VW S/L_VW 200607 0.21610 0.23140 0.12461 0.21614 0.27157 0.25786 0.21517 0.24606 0.13384 0.24191 0.28286 0.23408 200608 -0.29427 -0.26572 -0.13754 -0.20633 -0.24735 -0.20122 -0.30150 -0.22707 -0.20100 -0.21197 -0.25687 -0.21063 200609 -0.11341 -0.07390 -0.08408 -0.11238 -0.13772 -0.12086 -0.10697 -0.05265 -0.14657 -0.11901 -0.14251 -0.12359 200610 0.01187 0.02789 0.04953 0.05161 0.11070 0.00579 0.00871 -0.02328 0.00879 0.05175 0.08911 -0.01889 200611 -0.32251 -0.04820 -0.17368 -0.02505 0.01410 -0.03577 -0.34583 -0.13469 -0.34975 -0.03803 -0.00784 -0.03621 200612 -0.14957 -0.15887 -0.05001 0.05449 0.05048 -0.02395 -0.14490 -0.29133 -0.07507 0.06233 0.05385 -0.01454 200701 -0.46871 -0.24268 -0.25239 -0.26237 -0.21578 -0.15580 -0.46407 -0.37605 -0.31426 -0.25790 -0.22648 -0.14635 200702 -0.15817 -0.18481 -0.09934 -0.30957 -0.28848 -0.19510 -0.13462 -0.00092 -0.00558 -0.29660 -0.24145 -0.22416 200703 0.12229 -0.02435 0.05873 0.00082 0.04958 -0.00370 0.13240 0.04184 0.06153 0.01835 0.05030 0.02331 200704 0.06474 0.17731 0.13394 0.22316 0.20027 0.09158 0.05481 0.11017 0.10728 0.23608 0.18982 0.07998 200705 -0.05906 -0.25407 -0.16087 -0.16674 -0.12017 -0.14142 -0.05842 -0.37307 -0.05573 -0.11213 -0.14351 -0.14333 200706 0.12493 0.08076 0.08582 0.02358 0.00005 0.01944 0.12125 0.04395 0.12664 0.03970 0.02036 0.06216 200707 0.06413 0.03122 0.02127 0.00227 -0.04415 0.01843 0.13312 0.02022 0.08699 -0.01040 -0.05942 0.07019 200708 -0.07459 -0.00897 -0.01376 -0.03184 -0.05250 -0.02017 -0.05617 0.02664 0.00841 -0.02523 -0.04979 -0.08106 200709 -0.12131 -0.13737 -0.11655 -0.18970 -0.12278 -0.10287 -0.12970 -0.13981 -0.15213 -0.16926 -0.10306 -0.11088 200710 -0.10717 -0.03883 -0.05519 -0.14892 -0.10297 -0.04339 0.00141 0.02530 0.02500 -0.10286 -0.04646 -0.01020 200711 0.09746 0.06018 0.08373 0.05108 0.07087 0.10108 0.08163 0.05784 0.09225 0.05620 0.05961 0.08725 200712 0.06580 0.07377 0.07255 0.05103 0.06214 0.06677 0.02366 0.05782 0.07172 0.05296 0.05445 0.06880 200801 0.06760 0.09520 0.10294 0.07922 0.06505 0.01848 0.04302 0.09758 0.08709 0.05313 0.00714 0.05935 200802 0.30562 0.34067 0.31969 0.27973 0.28092 0.29339 0.39166 0.32074 0.33466 0.28911 0.28101 0.37203 200803 0.30311 0.21936 0.20657 0.15812 0.20657 0.24973 0.34948 0.15025 0.19641 0.15586 0.19468 0.29444 200804 0.09075 0.02580 0.00234 0.08639 0.02278 0.04933 0.14357 -0.05241 0.01448 0.11462 0.02390 0.07896 HV: M c Qu c Ân 46 Khoá lu n t t nghi p 200805 0.28873 0.25475 0.26093 0.27441 0.24758 0.23895 0.28489 0.26625 0.27632 0.28217 0.17999 0.27342 200806 -0.03369 -0.00471 0.05147 0.03933 0.05502 0.03820 0.13148 0.01729 0.05693 0.05593 -0.00445 0.07396 200807 0.01218 -0.04430 -0.02486 -0.05198 -0.01582 0.02478 -0.08220 -0.11596 -0.05252 -0.03647 -0.03462 0.13121 200808 -0.21436 -0.22602 -0.29951 -0.30427 -0.29430 -0.32217 -0.07736 -0.21761 -0.25984 -0.32647 -0.31008 -0.33136 200809 0.24376 0.18838 0.20778 0.20047 0.22706 0.24319 0.23201 0.20047 0.19031 0.18877 0.25553 0.24552 200810 0.27809 0.21532 0.33420 0.17814 0.24094 0.22673 0.36553 0.21948 0.34868 0.21523 0.23423 0.28388 200811 0.04838 0.07492 0.12586 0.08503 0.10163 0.12263 0.00868 0.11794 0.13935 0.08356 0.08774 0.13911 200812 0.04479 0.04244 0.03743 0.01858 0.00831 0.04428 0.05156 0.02050 -0.01874 0.02491 -0.02574 -0.02183 200901 0.01905 0.04213 0.05352 0.00657 0.01958 0.04630 0.03055 0.04766 0.06555 0.01723 0.00724 0.06315 200902 0.27417 0.15950 0.18349 0.09432 0.17515 0.13070 0.40010 0.15121 0.17137 0.11155 0.16855 0.14916 200903 -0.20840 -0.12195 -0.19730 -0.16801 -0.16001 -0.20097 -0.26551 -0.13490 -0.23285 -0.18505 -0.15421 -0.25558 200904 -0.21737 -0.15422 -0.13143 -0.16432 -0.15055 -0.13553 -0.19685 -0.17882 -0.12026 -0.16161 -0.16262 -0.08026 200905 -0.31405 -0.27096 -0.25591 -0.31736 -0.26193 -0.28655 -0.37702 -0.20077 -0.17162 -0.27780 -0.18077 -0.23141 200906 0.07317 0.03597 0.07438 0.01856 0.05248 0.01374 0.05029 0.01275 0.07029 0.03073 0.04437 0.03630 200907 -0.07091 -0.10240 -0.07786 -0.04020 -0.08346 -0.03865 -0.10399 -0.12794 -0.08446 -0.05572 -0.12168 -0.04301 200908 -0.20351 -0.25114 -0.20395 -0.22793 -0.19917 -0.19772 -0.19941 -0.16503 -0.14218 -0.20615 -0.23431 -0.17546 200909 -0.09812 -0.04897 -0.01526 -0.03534 -0.06533 -0.08614 -0.10518 -0.03710 0.03059 -0.02116 -0.10387 -0.08475 200910 -0.05425 -0.00180 0.02237 -0.03069 -0.08742 -0.13407 -0.02406 0.00976 0.07376 -0.00488 -0.04619 -0.06355 200911 0.09363 0.07564 0.06937 0.11145 0.11144 0.13076 0.10033 0.09033 0.09443 0.10649 0.10599 0.07703 200912 -0.02534 0.00283 0.01061 0.01067 0.01071 -0.00425 -0.04097 0.01029 0.01002 -0.02085 -0.00954 0.01343 201001 0.08516 0.07984 0.07797 0.06969 0.08088 0.12812 0.07833 0.06828 0.08541 0.08586 0.07294 0.12999 201002 -0.00362 -0.02439 -0.01862 -0.01091 -0.02301 -0.01740 0.00573 -0.03036 -0.01025 -0.03025 -0.00965 -0.00980 201003 -0.06685 -0.01638 -0.01522 -0.09027 -0.04777 -0.06473 -0.06906 0.00609 -0.01151 -0.06632 -0.04445 -0.03684 201004 -0.08621 -0.16234 -0.07879 -0.16293 -0.12474 -0.08847 -0.04591 -0.09067 -0.04401 -0.10582 -0.08763 -0.03997 201005 0.10361 0.09923 0.08224 0.11426 0.06197 0.09958 0.06897 0.11111 0.09960 0.08984 0.07658 0.08277 HV: M c Qu c Ân 47 Khoá lu n t t nghi p 201006 0.02729 0.02822 0.00656 -0.02811 -0.01642 0.01493 0.04766 0.02359 -0.00309 0.03811 0.01353 0.02550 201007 0.05949 0.02618 0.04284 0.01727 0.01712 0.01825 0.04762 0.03902 0.03697 0.06190 0.03224 -0.02081 201008 0.11810 0.14019 0.08580 0.15119 0.11288 0.08428 0.09517 0.10332 0.02225 0.13053 0.08794 0.06043 201009 0.01498 0.01147 0.03407 0.03795 0.01359 0.04005 0.02447 -0.01120 0.01795 0.03447 0.01222 0.05513 201010 0.08561 0.05755 0.04087 0.09210 0.10328 0.06519 0.09406 0.00701 -0.02451 0.08528 0.09167 -0.05724 201011 0.02472 0.02372 0.02583 0.01403 0.03223 0.04727 0.05127 -0.02625 0.02686 -0.00032 0.03911 -0.04731 201012 -0.06007 -0.06392 -0.06237 -0.02095 -0.04305 -0.04990 -0.08772 -0.10975 -0.09450 -0.03974 -0.04514 -0.07400 201101 0.02857 0.02013 -0.02127 0.01196 0.03166 -0.00181 0.01194 -0.01719 -0.13990 0.01416 0.02388 -0.00619 201102 0.12393 0.13167 0.11925 0.11965 0.10765 0.11595 0.12419 0.10851 0.14803 0.15328 0.12066 0.01601 201103 0.05423 0.05008 0.04402 0.03100 0.04009 0.02832 0.05445 0.03947 0.03419 0.03845 0.03986 -0.03121 201104 0.08805 0.06181 0.05085 0.05716 0.09404 0.07526 0.08513 -0.08248 -0.00544 0.06512 0.11036 -0.00232 201105 0.16733 0.14214 0.12103 0.11061 0.11563 0.08810 0.15518 0.14311 0.07705 0.10150 0.12781 0.11108 201106 -0.05328 0.00702 0.02738 -0.00640 0.00145 -0.00833 -0.04699 0.03450 0.06048 -0.01610 0.00514 -0.05614 201107 0.06022 0.08287 0.05179 0.04203 0.08453 0.08515 0.00943 0.06213 0.03954 0.06055 0.11941 0.14683 201108 -0.06797 -0.08095 -0.06205 -0.02786 -0.07033 -0.02428 -0.10443 -0.09935 -0.05696 -0.05597 -0.11464 -0.07502 201109 0.02713 0.01448 0.03512 0.02849 0.01702 0.01490 0.02666 0.01281 0.01624 0.05921 0.02675 0.19015 201110 0.02678 0.06239 0.04105 0.02422 0.02372 0.03525 0.04744 0.05497 0.00124 0.02696 0.04266 0.05737 201111 0.12038 0.14582 0.14833 0.12571 0.12046 0.04479 0.08426 0.10337 0.13255 0.15442 0.12344 0.07305 201112 0.08102 0.05337 0.09908 0.05279 0.07200 0.07988 0.03807 0.02270 0.16545 0.05650 0.07344 -0.10964 201201 -0.08213 -0.05534 -0.04760 -0.06728 -0.04860 -0.01071 -0.11489 -0.05925 -0.15122 -0.04969 -0.05254 -0.11345 201202 -0.11374 -0.09508 -0.08290 -0.07979 -0.09445 -0.01553 -0.14446 -0.14166 -0.12919 -0.12021 -0.09518 0.09590 201203 -0.05702 -0.05324 -0.03335 -0.08813 -0.04055 -0.02794 -0.06511 -0.05077 -0.06062 -0.08155 -0.05120 0.02825 201204 -0.19443 -0.11811 -0.12457 -0.15548 -0.13792 -0.08669 -0.14192 -0.09970 -0.03462 -0.19164 -0.14228 -0.06150 201205 0.07952 0.06230 0.09599 0.06703 0.07702 0.07765 0.07241 0.06271 0.12718 0.08962 0.10072 0.00941 201206 0.07503 0.05320 0.03904 0.04919 0.07293 0.10352 0.10127 0.02879 0.03127 0.06359 0.07286 0.11039 HV: M c Qu c Ân 48 Khoá lu n t t nghi p 201207 0.00500 0.01334 0.01156 0.03010 0.02524 -0.00974 0.00356 0.02408 0.02194 0.02890 0.02136 -0.01557 201208 0.04164 0.05959 0.03318 0.09493 0.06075 0.06621 0.06793 0.06627 0.04659 0.09911 0.05521 0.07099 201209 0.14554 0.07827 0.04982 0.13977 0.06075 0.09347 0.18878 0.13880 0.03820 0.14272 0.06229 0.07697 201210 -0.00344 0.00612 0.01352 0.03120 -0.00954 0.00495 0.01331 -0.01596 0.00847 0.01292 -0.00511 0.04175 201211 0.02938 0.02139 0.00806 0.03175 0.01882 0.07708 0.03125 0.00705 0.02035 0.03198 0.02213 0.06358 201212 -0.14699 -0.10937 -0.08295 -0.15136 -0.08787 -0.10007 -0.16457 -0.13260 -0.12384 -0.15802 -0.09225 -0.08996 201301 -0.09726 -0.08693 -0.04651 -0.03355 -0.02277 0.00257 -0.19112 -0.14424 -0.14471 -0.03515 -0.03884 -0.01708 201302 -0.01918 -0.00180 -0.00611 -0.00962 -0.03850 -0.01917 -0.00350 0.00433 0.04268 -0.03668 -0.07205 -0.01973 201303 0.00427 -0.03223 -0.01033 0.03004 -0.01364 0.02272 0.02261 -0.01492 -0.01432 0.04045 -0.00751 0.03854 201304 0.06939 0.05258 0.04239 0.09372 0.02444 0.05059 0.07887 0.07429 0.07982 0.10234 0.05327 0.05612 201305 -0.18228 -0.10940 -0.06091 -0.08526 -0.03400 -0.04693 -0.16761 -0.14337 -0.06597 -0.12068 -0.06203 -0.03847 201306 0.08446 0.05580 0.04003 0.03982 0.01640 0.06273 0.10572 0.10951 0.08830 0.07094 0.02290 0.05748 HV: M c Qu c Ân 49 Khoá lu n t t nghi p Ph l c 4: thông s th ng kê c a t p danh m c d li u Standard Sample Mean Standard Error Median Deviation Variance Kurtosis Skewness Minimum Maximum B/H_EW 0.002356676 0.015774015 0.025753047 0.144571238 0.020900843 0.893062384 -0.423353733 -0.468714779 0.3056167 B/M_EW 0.005030141 0.013276218 0.020761628 0.121678549 0.014805669 0.3978552 -0.156445008 -0.270961742 0.34067089 B/L_EW 0.012592726 0.012536019 0.02660624 0.114894511 0.013200749 1.107581861 -0.054434249 -0.299512442 0.334203292 S/H_EW 0.002522861 0.013557992 0.021077746 0.124261052 0.015440809 0.489308299 -0.486593483 -0.31735923 0.279732 S/M_EW 0.007601107 0.013107607 0.017071554 0.120133204 0.014431987 0.466558235 -0.211515874 -0.294299063 0.280921993 S/L_EW 0.01234401 0.012453605 0.018340926 0.114139176 0.013027752 0.988962636 -0.237418749 -0.322173682 0.293391443 B/H_VW 0.00748886 0.017108196 0.024065154 0.156799209 0.024585992 1.207429746 -0.147225142 -0.464072988 0.400096558 B/M_VW -0.003582539 0.013901997 0.012780451 0.127413907 0.016234304 0.99792305 -0.430449905 -0.376045526 0.320737425 B/L_VW 0.010167584 0.013654221 0.0211487 0.125143002 0.015660771 1.083212041 -0.218691913 -0.349746368 0.348675633 S/H_VW 0.008090294 0.013707953 0.029814986 0.125635467 0.015784271 0.403301167 -0.410692362 -0.326467899 0.289109264 S/M_VW 0.005418713 0.012957724 0.016945329 0.118759506 0.01410382 0.3807056 -0.149360901 -0.310084854 0.282861132 S/L_VW 0.014108681 0.013469521 0.014717379 0.123450197 0.015239951 0.990450974 0.113259797 -0.331361665 0.372030551 HV: M c Qu c Ân 50 Khoá lu n t t nghi p Ph l c 5: Ki HV: M c Qu c Ân nh ng c i 51 Khoá lu n t t nghi p Ph l c HV: M c Qu c Ân ng c a t i v i t ng t p danh m c 52 Khoá lu n t t nghi p HV: M c Qu c Ân 53 81 Lý l ch trích ngang: H tên: M c Qu c Ân Ngày, tháng, n m sinh: 07/01/1982 a ch liên l c: ng Cao Th ng QUÁ TRÌNH T 2000 2005: Sinh viên khoa T 2010 N i sinh: TP H Chí Minh n- ng 11, qu n 10, Tp.HCM nt Chí Minh 2013: Sinh viên cao h c khoa Qu n Lý Công Nghi p - Q TRÌNH CƠNG TÁC n 2009 : Làm vi c t i công ty Vi n thông liên t nh khu v c 2, VTN2 n nay: Làm vi c t i công ty TNHH Ericsson Vi t Nam ... R_SM_VW Mơ hình AIC SBC GARCH (1,1) TGARCH(1,1) EGARCH(1,1) GARCH (1,1) TGARCH(1,1) EGARCH(1,1) GARCH (1,1) TGARCH(1,1) EGARCH(1,1) GARCH (1,1) TGARCH(1,1) EGARCH(1,1) GARCH (1,1) TGARCH(1,1) EGARCH(1,1)... (1,1) TGARCH(1,1) EGARCH(1,1) GARCH (1,1) TGARCH(1,1) EGARCH(1,1) GARCH (1,1) TGARCH(1,1) EGARCH(1,1) GARCH (1,1) TGARCH(1,1) EGARCH(1,1) GARCH (1,1) TGARCH(1,1) EGARCH(1,1) -1.660 -1.667 -1.674... 1, GARCH( 1,1) GARCH (1,1) GARCH( 1,1) hay Có GARCH (1,1) hay R_BH_VW EGARCH(1,1) EGARCH (1,1) R_BL_EW GARCH (1,1) GARCH (1,1) R_BL_VW Khô R_BM_EW GARCH (1,1) GARCH (1,1) R_BM_VW GARCH (1,1) GARCH