(Luận văn) volatility in stock return series of vietnam stock market

p ie gh tn to MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY w n - oOo - d a lo u yj th p yi a lu la n NGUYỄN THỊ KIM NGÂN n va m ll fu oi VOLATILITY IN STOCK RETURN SERIES at nh OF z z VIETNAM STOCK MARKET k jm ht vb om l.c gm MASTER THESIS an Lu n va y te re th Ho Chi Minh City – 2011 gh tn to p ie MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY w o0o - n d a lo u yj th p yi a lu la n NGUYỄN THỊ KIM NGÂN n va m ll fu oi VOLATILITY IN STOCK RETURN SERIES at nh OF z VIETNAM STOCK MARKET z jm ht vb k MAJOR: BANKING AND FINANCE MASTER THESIS an Lu INSTRUCTOR: Dr VÕ XUÂN VINH om l.c gm MAJOR CODE: 60.31.12 n va y te re th Ho Chi Minh City – 2011 tn to p ie gh ACKNOWLEDGEMENT At first, I would like to show my sincerest gratitude to my supervisor, Dr Vo Xuan w Vinh, for his valuable time and enthusiasm His whole-hearted guidance, n encouragement and strong support during the time from the initial to the final phase a lo d are the large motivation for me to complete my thesis u yj th I also would like to thank all of my lecturers at Faculty of Banking and Finance, p yi University of Economics Hochiminh City for their English program, knowledge and a lu la teaching during my master course at school n In addition, my thanks also go to my beloved family for creating good and n va convenient conditions for me throughout all my studies at University as well as oi m ll fu helping me overcome all the obstacles to finish this thesis respects during the completion of the study at nh Lastly, I offer my regards and blessings to all of those who supported me in any z z k jm ht vb om l.c gm an Lu n va y te re th i tn to gh ABSTRACT p ie This thesis studies the features of the stock return volatility and the presence of structural breaks in return variance of VNIndex in the Vietnam stock market by w using the iterated cumulative sums of squares (ICSS) algorithm The relationship n a lo between Vietnam stock market’s volatility shifts and impacts of global crisis is also d detected Using a long-span data, the results show that daily stock returns can be u yj th characterized by GARCH and GARCH in mean (GARCH-M) models while p yi threshold GARCH (T-GARCH) is not suitable About structural breaks, when la applying ICSS to the standardized residuals filtered from GARCH (1, 1) model, the a lu number of sudden jumps significantly decreases in comparison with the raw return n series Events corresponding to those breaks and altering the volatility pattern of n va stock return are found to be country-specific Not any shifts are found during global fu m ll crisis period In addition, because the research is not able to point out exactly what oi events caused sudden changes, the analysis on relationship between these at nh information and shifts is just in relative meaning Further evidence also reveals that z when sudden shifts are taken into account in the GARCH models, reduction in the z volatility persistence is found It suggests that many previous studies may have vb ht overestimated the degree of volatility persistence existing in financial time series k jm The small value of coefficients of the dummies representing breakpoints in l.c much affected by past trend of observed shocks and variance gm modified GARCH model implies that the conditional variance of stock return is om Our results have important implications regarding advising investors on decisions Lu concerning pricing equity, portfolio investment and management, hedging and an forecasting Moreover, it is also helpful for policy-makers in making and n va promulgating the financial policies y te re th ii tn to gh TABLE OF CONTENTS p ie ACKNOWLEDGEMENT i ABSTRACT ii w TABLE OF CONTENTS iii n LIST OF FIGURES v a lo d LIST OF TABLES vi u yj th ABBREVIATIONS vii 1: INTRODUCTION p yi 2: LITERATURE REVIEW a lu la 2.1 Common characteristics of return series in the stock market 2.2 Volatility models suitable to the stock return characteristics n n va 2.3 Identification of breakpoints in volatilities and influence of the regime changes 2.4 Events related to regime changes fu m ll 2.5 Sudden changes in economic recession? 10 oi 2.6 Overstatement of ICSS algorithm in raw returns series 10 nh 3: HYPOTHESES 12 at 4: RESEARCH METHODS 13 z z 4.1 Stationarity 13 ht vb 4.2 Testing for stationarity 14 jm 4.2.1 Autocorrelation diagram 14 k 4.2.2 Unit root test 15 gm 4.3 GARCH model 16 l.c 4.3.1 ARMA 16 om 4.3.1.1 Moving average processes - MA(q) 17 Lu 4.3.1.2 Autoregressive processes - AR(p) 17 an 4.3.1.3 ARMA processes 18 4.5 GARCH-M model 23 iii th 4.4 TGARCH Model 22 y 4.3.2.2 GARCH Model 21 te 4.3.2.1 ARCH Model 20 re 4.3.2 ARCH & GARCH Model 20 n va 4.3.1.4 Information criteria for ARMA model selection 19 tn to gh 4.6 ICSS algorithm 24 p ie 4.7 Combination of GARCH model and sudden changes 26 5: DATA AND EMPIRICAL RESULTS 27 w 5.1 Data 27 n a lo 5.2 Empirical results 29 d 5.2.1 Suitable models for stock return series of Vietnam 29 u yj th 5.2.1.1 Choosing suitable ARMA model 29 5.2.1.2 Test for ARCH effect 30 p yi 5.2.1.3 GARCH models 31 a lu la 5.2.2 Identification of break points and detection of related events 33 5.2.2.1 Breakpoints in raw returns 33 n n va 5.2.2.2 Breakpoints in filtered returns 38 5.2.2.3 Analysis of each volatility period 44 fu m ll 5.2.2.4 General comments on events and volatility corresponding to sudden oi changes detected by ICSS algorithm 57 nh 5.2.3 Combined model after including dummies 57 at 6: CONCLUSION 60 z Implications of the research 60 z ht vb Limitations of the study 61 jm REFERENCE 62 k APPENDIX 66 gm Table A1 Descriptive statistics of Vietnam stock market’s daily stock return 66 l.c Table A2 Correlogram and Q-statistic of VNIndex daily rate of return 67 om Table A3 Unit Root Test on VNIndex’s daily return 68 Lu Table A4 Summary for estimation results of all ARMA models 69 an Table A5 Statistically significant ARMA models with C constants 70 Table A11 ICSS code on WINRAT 81 iv th Table A10 Estimation result of GARCH model modified with sudden changes 80 y Table A9 Estimation result of TGARCH model 79 te Table A8 Estimation results of GARCH-M models 77 re Table A7 Estimation results of GARCH models 74 n va Table A6 Statistically significant ARMA models without C constants 72 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market gh tn to p ie LIST OF FIGURES w Figure 5.1 Daily return series on HOSE 29 n a lo Figure 5.2 Structural breakpoints in volatility in raw returns 38 d Figure 5.3 Structural breakpoints in volatility in filtered returns 39 u yj th p yi n a lu la n va oi m ll fu at nh z z k jm ht vb om l.c gm an Lu n va y te re th v (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market gh tn to p ie LIST OF TABLES w Table 5.1 Descriptive statistics of Vietnam stock market’s daily return series 27 n a lo Table 5.2 Unit Root Test on VNIndex’s daily return 28 d Table 5.3 Empirical results of different ARMA models 30 u yj th Table 5.4 ARCH effect at 7th lag 31 Table 5.5 Empirical results of different GARCH-family models 32 p yi Table 5.6 Breakpoints detected by ICSS algorithm in the raw returns 33 la n a lu Table 5.7 Breakpoints detected by ICSS algorithm in the filtered returns 40 n va oi m ll fu at nh z z k jm ht vb om l.c gm an Lu n va y te re th vi (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market tn to p ie gh ABBREVIATIONS w CPI Consumer Price Index GARCH Generalized Autoregressive Conditional Heteroscedasticity n GARCH in Mean GDP Gross Domestic Product d a lo GARCH-M u yj th Ho Chi Minh City Stock Exchange HOSTC Ho Chi Minh City Securities Trading Center p yi HOSE State Securities Committee of Vietnam a lu SSC la ICSS algorithm Iterated Cumulative Sums of Squares algorithm Threshold GARCH VND Vietnam Dong n TGARCH n va oi m ll fu at nh z z k jm ht vb om l.c gm an Lu n va y te re th vii (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to gh 1: INTRODUCTION p ie Volatility is a fundamental concept in the discipline of finance It can be described broadly as anything that is changeable or variable It is associated with w unpredictability, uncertainty or risk Volatility is unobservable in financial market n a lo and it is measured by standard deviation or variance of return which can be directly d considered as a measure of risk of assets Considerable volatilities have been found u yj th in the past few years in mature and emerging financial markets worldwide As a p yi proxy of risk, modelling and forecasting stock market volatility has become the la subject of vast empirical and theoretical investigations over the past decades by a lu academics and practitioners Substantial changes in the volatility of financial market n returns are capable of having significant effects on risk averse investors n va Furthermore, such changes can also impact on consumption patterns, corporate fu m ll capital investment decisions, leverage decisions and other business cycle Volatility oi forecasts of stock price are crucial inputs for pricing derivatives as well as trading at nh and hedging strategies Therefore, it is important to understand the behavior of z return volatility z In addition to return volatility, some relevant problems attracting much interest of vb ht researchers have been whether or not major events may lead to sudden changes in k jm return volatility and how unanticipated shocks will affect volatility over time gm Concerning these factors, persistence term should be considered Persistence in l.c variance of a random variable refers to the property of momentum in conditional om variance or past volatility can explain current volatility in some certain levels The Lu larger the persistence is, the higher the past volatility can be explained for the an current volatility The persistence in volatility is a key ingredient for accurately th (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market y te critically on the permanence of shocks to variance Hence, the degree to which re return volatility affects stock prices (through a time-varying risk premium) depends n stock prices Poterba and Summers (1986) showed that the extent to which stock- va predicting how events will affect volatility in stock returns and partially determines (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to p ie gh Table A4 Summary for estimation results of all ARMA models 1 w ARMA(1,0) 2 3 1 2 3 0.2949 AIC SBC -5.48108 -5.47841 -5.48711 -5.48176 -5.49542 -5.48741 -5.49451 -5.483830 -5.48753 -5.48219 -5.48676 -5.47874 -5.49079 -5.48011 -5.49489 -5.48153 -5.48754 -5.48487 -5.48761 -5.48227 -5.4896 -5.48159 -5.48706 -5.47904 n (0.0000) 0.0777 0.2422 d (0.2609) (0.0003) a lo ARMA(1,1) 0.9704 -0.6589 -0.2710 (0.0000) (0.0000) (0.0000) u yj th ARMA(1,2) -0.6606 -0.2737 0.0064 (0.0000) (0.0000) (0.7766) 0.3202 (0.0000) -0.0653 0.0783 (0.3149) (0.3883) (0.7464) -0.2788 -0.2396 0.5989 0.3366 (0.1728) (0.0005) (0.0033) (0.0000) 0.3384 0.6175 -0.0149 -0.6718 -0.2079 (0.2784) (0.0401) (0.9617) (0.0014) (0.0074) oi m ll fu ARMA(2,3) 0.2428 n va ARMA(2,2) (0.0001) n ARMA(2,1) -0.0873 a lu la ARMA(2,0) 0.9696 (0.0000) p yi ARMA(1,3) nh ARMA(0,1) at 0.3098 0.3232 0.0275 (0.2061) om l.c gm -0.0963 (0.0000) -0.0520 (0.0168) k 0.3224 (0.0000) 0.0248 (0.2791) jm ARMA (3,0) 0.3284 (0.0000) ht ARMA(0,3) 0.0318 (0.1444) vb (0.0000) z ARMA(0,2) z (0.0000) an Lu n va y te re th 69 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to p ie gh Table A5 Statistically significant ARMA models with C constants ARMA(1,0) w n Dependent Variable: R Method: Least Squares Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after iterations d a lo u yj th Coefficient Std Error t-Statistic Prob 0.000417 0.294423 0.000481 0.020777 0.867488 14.17039 0.3858 0.0000 p yi C AR(1) 0.086634 0.086202 0.015613 0.516046 5808.585 200.8000 0.000000 n a lu Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000410 0.016333 -5.480495 -5.475154 -5.478540 1.948501 n va oi m ll 29 fu Inverted AR Roots la R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) at nh z ARMA(2,0) k jm ht Coefficient Std Error t-Statistic Prob 0.000420 0.319839 -0.087648 0.000440 0.021662 0.021681 0.953227 14.76532 -4.042532 0.3406 0.0000 0.0001 om an Lu n va y te re 0.000417 0.016333 -5.487013 -5.478999 -5.484079 1.995201 l.c Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.093483 0.092626 0.015558 0.511967 5813.747 109.0531 0.000000 gm R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) vb C AR(1) AR(2) z Dependent Variable: R Method: Least Squares Sample (adjusted): 3/06/2002 8/31/2010 Included observations: 2118 after adjustments Convergence achieved after iterations 16+.25i 16-.25i th Inverted AR Roots 70 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to p ie gh ARMA(0,1) w n Dependent Variable: R Method: Least Squares Sample (adjusted): 3/04/2002 8/31/2010 Included observations: 2120 after adjustments Convergence achieved after iterations MA Backcast: 3/01/2002 d a lo Coefficient Std Error t-Statistic Prob 0.000404 0.309523 0.000443 0.020661 0.912975 14.98082 0.3614 0.0000 u yj th C MA(1) p yi R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat n a lu la n va oi m ll -.31 0.000403 0.016332 -5.486987 -5.481648 -5.485032 1.979967 fu Inverted MA Roots 0.092426 0.091998 0.015562 0.512949 5818.206 215.6949 0.000000 nh at ARMA(1,2) k jm ht 0.000396 0.969542 -0.658035 -0.270679 0.000795 0.018066 0.028564 0.023365 0.498799 53.66691 -23.03747 -11.58476 0.6180 0.0000 0.0000 0.0000 n y te re 0.000410 0.016333 -5.494592 -5.483910 -5.490681 2.002925 va Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat an 0.101118 0.099843 0.015496 0.507862 5825.520 79.30736 0.000000 Lu Prob om t-Statistic l.c Std Error Coefficient gm th Inverted AR Roots Inverted MA Roots vb R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) z C AR(1) MA(1) MA(2) z Dependent Variable: R Method: Least Squares Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after 16 iterations MA Backcast: 3/01/2002 3/04/2002 97 94 71 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to gh Table A6 Statistically significant ARMA models without C constants p ie ARMA(1,0) NOT C w n Dependent Variable: R Method: Least Squares Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after iterations d a lo Std Error t-Statistic Prob 0.294856 0.020770 14.19616 0.0000 u yj th Coefficient AR(1) p yi n a lu la 0.086309 0.086309 0.015612 0.516229 5808.208 1.948599 29 0.000410 0.016333 -5.481084 -5.478413 -5.480106 oi m ll fu Inverted AR Roots Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter n va R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.320221 -0.087305 0.021657 0.021678 14.78578 -4.027363 an Lu 0.000417 0.016333 -5.487528 -5.482185 -5.485572 om n va 16-.25i y te re 16+.25i Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.0000 0.0001 l.c 0.093094 0.092665 0.015558 0.512187 5813.292 1.995126 Prob t-Statistic gm Std Error k Coefficient jm ht vb Inverted AR Roots z R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat z AR(1) AR(2) at Dependent Variable: R Method: Least Squares Sample (adjusted): 3/06/2002 8/31/2010 Included observations: 2118 after adjustments Convergence achieved after iterations nh ARMA (2, 0) _ NOT C th 72 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to p ie gh ARMA(0, 1) NOT C w n Dependent Variable: R Method: Least Squares Date: 11/04/10 Time: 20:39 Sample (adjusted): 3/04/2002 8/31/2010 Included observations: 2120 after adjustments Convergence achieved after iterations MA Backcast: 3/01/2002 d a lo u yj th Coefficient Std Error t-Statistic Prob 0.309768 0.020655 14.99748 0.0000 MA(1) p yi 0.092069 0.092069 0.015562 0.513151 5817.789 1.979695 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.000403 0.016332 -5.487537 -5.484867 -5.486559 n va -.31 oi m ll fu Inverted MA Roots n a lu la R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat at nh ARMA (1,2) _ NOT C k jm ht Coefficient Std Error t-Statistic Prob 0.970396 -0.658807 -0.271013 0.017434 0.028118 0.023241 55.66101 -23.42982 -11.66117 0.0000 0.0000 0.0000 om an Lu n va 0.000410 0.016333 -5.495420 -5.487409 -5.492487 l.c y te re -.29 th 97 95 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.101014 0.100164 0.015493 0.507921 5825.398 2.002857 gm Inverted AR Roots Inverted MA Roots vb R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat z AR(1) MA(1) MA(2) z Dependent Variable: R Method: Least Squares Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after 18 iterations MA Backcast: 3/01/2002 3/04/2002 73 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to gh Table A7 Estimation results of GARCH models p ie GARCH(1,1) w n Dependent Variable: R Method: ML - ARCH (Marquardt) - Normal distribution Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after 17 iterations MA Backcast: 3/01/2002 3/04/2002 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) d a lo u yj th Std Error z-Statistic Prob 0.727354 -0.413978 -0.212371 0.106924 0.110391 0.043186 6.802508 -3.750103 -4.917578 0.0000 0.0002 0.0000 7.665851 13.90800 49.42481 0.0000 0.0000 0.0000 p yi Coefficient n a lu la AR(1) MA(1) MA(2) n va Variance Equation z z 0.000410 0.016333 -6.052984 -6.036961 -6.047118 jm ht vb 73 71 at Inverted AR Roots Inverted MA Roots Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter nh 0.094104 0.091960 0.015564 0.511825 6419.137 1.991315 oi R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 3.45E-07 0.023468 0.014428 m ll 2.64E-06 0.326387 0.713086 fu C RESID(-1)^2 GARCH(-1) -.30 k om l.c gm an Lu n va y te re th 74 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to p ie gh GARCH(2,1) w n Dependent Variable: R Method: ML - ARCH (Marquardt) - Normal distribution Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after 19 iterations MA Backcast: 3/01/2002 3/04/2002 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) + C(7)*GARCH(-2) d a lo u yj th Std Error z-Statistic Prob 0.991522 -0.694011 -0.279879 0.004206 0.024013 0.024357 235.7377 -28.90159 -11.49063 0.0000 0.0000 0.0000 7.152449 13.35891 4.669811 4.915497 0.0000 0.0000 0.0000 0.0000 p yi Coefficient a lu la AR(1) MA(1) MA(2) n Variance Equation n va z z 0.000410 0.016333 -6.056610 -6.037917 -6.049767 jm ht vb -.29 k 99 98 at Inverted AR Roots Inverted MA Roots Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter nh 0.098464 0.095902 0.015530 0.509362 6423.979 1.969294 oi R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 4.28E-07 0.029750 0.072516 0.062849 m ll 3.06E-06 0.397426 0.338637 0.308932 fu C RESID(-1)^2 GARCH(-1) GARCH(-2) om l.c gm an Lu n va y te re th 75 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to p ie gh GARCH(3,1) w n Dependent Variable: R Method: ML - ARCH (Marquardt) - Normal distribution Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after 17 iterations MA Backcast: 3/01/2002 3/04/2002 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) + C(7)*GARCH(-2) + C(8)*GARCH(-3) d a lo u yj th p yi Std Error z-Statistic Prob 0.614614 -0.319163 -0.180073 0.123426 0.126314 0.042688 4.979612 -2.526737 -4.218340 0.0000 0.0115 0.0000 6.886918 11.47322 4.426750 1.808069 2.598428 0.0000 0.0000 0.0000 0.0706 0.0094 n a lu la AR(1) MA(1) MA(2) Coefficient n va Variance Equation z z 0.000410 0.016333 -6.050793 -6.029429 -6.042971 k jm ht vb gm 61 61 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter at Inverted AR Roots Inverted MA Roots nh 0.092316 0.089306 0.015586 0.512835 6418.815 1.951902 oi R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 4.52E-07 0.037197 0.078955 0.074500 0.053629 m ll 3.11E-06 0.426767 0.349512 0.134701 0.139351 fu C RESID(-1)^2 GARCH(-1) GARCH(-2) GARCH(-3) -.29 om l.c an Lu n va y te re th 76 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to gh Table A8 Estimation results of GARCH-M models p ie GARCH-M (1,1) w n Dependent Variable: R Method: ML - ARCH (Marquardt) - Normal distribution Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after 19 iterations MA Backcast: 3/01/2002 3/04/2002 Presample variance: backcast (parameter = 0.7) GARCH = C(5) + C(6)*RESID(-1)^2 + C(7)*GARCH(-1) d a lo u yj th p yi Std Error z-Statistic Prob 3.651637 0.991707 -0.687835 -0.287740 1.496406 0.004620 0.021365 0.021705 2.440272 214.6381 -32.19432 -13.25682 0.0147 0.0000 0.0000 0.0000 8.121807 13.45810 45.60705 0.0000 0.0000 0.0000 n a lu la n va GARCH AR(1) MA(1) MA(2) Coefficient Variance Equation z z 0.000410 0.016333 -6.060770 -6.042077 -6.053926 k jm ht vb -.29 om l.c gm 99 98 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter at Inverted AR Roots Inverted MA Roots nh 0.095328 0.092758 0.015557 0.511134 6428.386 1.975030 oi R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 3.55E-07 0.023068 0.015781 m ll 2.89E-06 0.310450 0.719716 fu C RESID(-1)^2 GARCH(-1) an Lu n va y te re th 77 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to p ie gh GARCH-M (2,1) w n Dependent Variable: R Method: ML - ARCH (Marquardt) - Normal distribution Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after 22 iterations MA Backcast: 3/01/2002 3/04/2002 Presample variance: backcast (parameter = 0.7) GARCH = C(5) + C(6)*RESID(-1)^2 + C(7)*GARCH(-1) + C(8)*GARCH(-2) d a lo u yj th p yi Std Error z-Statistic Prob 3.911827 0.991917 -0.694040 -0.282054 1.477529 0.004514 0.022435 0.022643 2.647546 219.7207 -30.93542 -12.45661 0.0081 0.0000 0.0000 0.0000 7.254302 10.00047 4.678368 1.737044 0.0000 0.0000 0.0000 0.0824 n a lu la GARCH AR(1) MA(1) MA(2) Coefficient n va Variance Equation z z 0.000410 0.016333 -6.061688 -6.040325 -6.053867 k jm ht vb -.29 om l.c gm 99 98 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter at Inverted AR Roots Inverted MA Roots nh 0.094984 0.091983 0.015563 0.511328 6430.359 1.962215 oi R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 4.26E-07 0.034541 0.112940 0.091513 m ll 3.09E-06 0.345430 0.528377 0.158963 fu C RESID(-1)^2 GARCH(-1) GARCH(-2) an Lu n va y te re th 78 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market Volatility in Stock Return Series of Vietnam Stock Market tn to p ie gh Table A9 Estimation result of TGARCH model w n Dependent Variable: R Method: ML - ARCH (Marquardt) - Normal distribution Sample (adjusted): 3/05/2002 8/31/2010 Included observations: 2119 after adjustments Convergence achieved after 21 iterations MA Backcast: 3/01/2002 3/04/2002 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*RESID(-1)^2*(RESID(-1)0 compute t2=%maxent else break end loop compute kfirst=t2 compute t1=kstar+1,t2=end loop @IncTiaoBreak x t1 t2 if %maxent>0 compute t1=%maxent+1 else break end loop compute klast=t1-1 * if kfirst==klast compute ICSS1and2=||kfirst|| else compute ICSS1and2=||kfirst,klast|| end * ************************************************************************* ******** d a lo u yj th p yi n a lu la n va oi m ll fu at nh z z k jm ht vb om l.c gm an Lu n y te re th (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market va 82 (Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market(Luận.văn).volatility.in.stock.return.series.of.vietnam.stock.market 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