khi xác định giá trị rủi ro VaR của các nhóm chỉ số:
-Nhóm ngành Ngân hàng:
Kết quả chạy hồi quy quá trình ARMA của chuỗi lợi suất nhóm ngành ngân hàng:
Dependent Variable: R_NH Method: Least Squares Date: 04/03/14 Time: 22:53
Sample (adjusted): 1/03/2007 9/03/2013 Included observations: 1659 after adjustments Convergence achieved after 5 iterations Backcast: 1/02/2007
Variable Coefficient Std. Error t-Statistic Prob.
MA(1) 0.238124 0.023863 9.978594 0.0000
R-squared 0.051011 Mean dependent var -0.001089 Adjusted R-squared 0.051011 S.D. dependent var 0.024188 S.E. of regression 0.023563 Akaike info criterion -4.657713 Sum squared resid 0.920512 Schwarz criterion -4.654449 Log likelihood 3864.573 Durbin-Watson stat 2.002501
Inverted MA Roots -.24
Kết quả chạy hồi quy quá trình EGARCH (1,1) của chuỗi lợi suất nhóm ngành ngân hàng:
Included observations: 1659 after adjustments Convergence achieved after 56 iterations MA backcast: 1/02/2007, Variance backcast: ON
LOG(GARCH) = C(2) + C(3)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(4)*RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1)) C(4)*RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1))
Coefficient Std. Error z-Statistic Prob.
MA(1) 0.158680 0.021411 7.411201 0.0000 Variance Equation Variance Equation C(2) -0.106023 0.008927 -11.87663 0.0000 C(3) 0.134095 0.008795 15.24737 0.0000 C(4) 0.027846 0.005782 4.815676 0.0000 C(5) 0.998532 0.001088 918.1105 0.0000
R-squared 0.045027 Mean dependent var -0.001089 Adjusted R-squared 0.042718 S.D. dependent var 0.024188 S.E. of regression 0.023665 Akaike info criterion -4.938108 Sum squared resid 0.926316 Schwarz criterion -4.921791 Log likelihood 4101.161 Durbin-Watson stat 1.847379
Inverted MA Roots -.16
-Nhóm ngành Bảo hiểm:
Kết quả chạy hồi quy quá trình ARMA của chuỗi lợi suất nhóm ngành bảo hiểm:
Dependent Variable: R_BH Method: Least Squares Date: 04/03/14 Time: 22:54
Sample (adjusted): 1/04/2007 9/03/2013 Included observations: 1658 after adjustments Convergence achieved after 2 iterations
Variable Coefficient Std. Error t-Statistic Prob.
AR(1) 0.250629 0.023773 10.54264 0.0000
Inverted AR Roots .25
Kết quả chạy hồi quy quá trình EGARCH (1,1): của chuỗi lợi suất nhóm ngành bảo hiểm:
Dependent Variable: R_BH
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/03/14 Time: 23:00
Sample (adjusted): 1/04/2007 9/03/2013 Included observations: 1658 after adjustments Convergence achieved after 76 iterations Variance backcast: ON
LOG(GARCH) = C(2) + C(3)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(4)*RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1)) C(4)*RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1))
Coefficient Std. Error z-Statistic Prob.
AR(1) 0.191472 0.025005 7.657279 0.0000 Variance Equation Variance Equation C(2) -1.310069 0.242564 -5.400926 0.0000 C(3) 0.314437 0.047902 6.564161 0.0000 C(4) -0.033037 0.018265 -1.808779 0.0705 C(5) 0.854191 0.029993 28.47985 0.0000
R-squared 0.058701 Mean dependent var -0.000747 Adjusted R-squared 0.056424 S.D. dependent var 0.028284 S.E. of regression 0.027474 Akaike info criterion -4.426966 Sum squared resid 1.247729 Schwarz criterion -4.410641 Log likelihood 3674.955 Durbin-Watson stat 1.882512
Inverted AR Roots .19
-Nhóm ngành Quỹ đầu tư:
Kết quả chạy hồi quy quá trình ARMA của chuỗi lợi suất nhóm ngành quỹ đầu tư:
Dependent Variable: R_Q Method: Least Squares
Variable Coefficient Std. Error t-Statistic Prob.
AR(1) 0.113437 0.024448 4.640003 0.0000 MA(4) 0.346774 0.023081 15.02401 0.0000 MA(4) 0.346774 0.023081 15.02401 0.0000
R-squared 0.127294 Mean dependent var -0.000608 Adjusted R-squared 0.126767 S.D. dependent var 0.016843 S.E. of regression 0.015739 Akaike info criterion -5.464110 Sum squared resid 0.410232 Schwarz criterion -5.457580 Log likelihood 4531.748 Durbin-Watson stat 1.993521
Inverted AR Roots .11
Inverted MA Roots .54-.54i .54-.54i -.54+.54i -.54+.54i
Kết quả chạy hồi quy quá trình GARCH (1,1) – nomal của chuỗi lợi suất nhóm ngành quỹ đầu tư:
Dependent Variable: R_Q
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/03/14 Time: 23:01
Sample (adjusted): 1/04/2007 9/03/2013 Included observations: 1658 after adjustments Convergence achieved after 12 iterations
MA backcast: 12/29/2006 1/03/2007, Variance backcast: ON GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Coefficient Std. Error z-Statistic Prob.
AR(1) 0.063053 0.024852 2.537186 0.0112 MA(4) 0.354276 0.023419 15.12758 0.0000 MA(4) 0.354276 0.023419 15.12758 0.0000 Variance Equation C 3.24E-06 1.00E-06 3.231163 0.0012 RESID(-1)^2 0.104959 0.013946 7.526175 0.0000 GARCH(-1) 0.883252 0.014191 62.24028 0.0000
R-squared 0.125050 Mean dependent var -0.000608 Adjusted R-squared 0.122932 S.D. dependent var 0.016843 S.E. of regression 0.015774 Akaike info criterion -5.693123 Sum squared resid 0.411287 Schwarz criterion -5.676798
-Nhóm ngành Chứng khốn:
Kết quả chạy hồi quy q trình ARMA của chuỗi lợi suất nhóm ngành chứng khốn:
Dependent Variable: R_CK Method: Least Squares Date: 04/03/14 Time: 22:55
Sample (adjusted): 1/08/2007 9/03/2013 Included observations: 1656 after adjustments Convergence achieved after 8 iterations Backcast: 1/03/2007 1/05/2007
Variable Coefficient Std. Error t-Statistic Prob.
AR(1) 0.197171 0.021334 9.242284 0.0000 AR(3) 0.610123 0.050785 12.01389 0.0000 AR(3) 0.610123 0.050785 12.01389 0.0000 MA(3) -0.572863 0.055983 -10.23276 0.0000
R-squared 0.082663 Mean dependent var -0.001574 Adjusted R-squared 0.081553 S.D. dependent var 0.025191 S.E. of regression 0.024142 Akaike info criterion -4.607923 Sum squared resid 0.963423 Schwarz criterion -4.598118 Log likelihood 3818.360 Durbin-Watson stat 1.990530
Inverted AR Roots .92 -.36-.73i -.36+.73i Inverted MA Roots .83 -.42+.72i -.42-.72i
Kết quả chạy hồi quy quá trình GARCH (1,1) – nomal của chuỗi lợi suất nhóm ngành chứng khoán:
Dependent Variable: R_CK
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/03/14 Time: 23:02
Sample (adjusted): 1/08/2007 9/03/2013 Included observations: 1656 after adjustments Convergence achieved after 72 iterations
MA backcast: 1/03/2007 1/05/2007, Variance backcast: ON GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)
Variance Equation
C 0.000154 2.65E-05 5.820679 0.0000 RESID(-1)^2 0.096172 0.025377 3.789687 0.0002 RESID(-1)^2 0.096172 0.025377 3.789687 0.0002 GARCH(-1) 0.642874 0.063207 10.17094 0.0000
R-squared 0.082333 Mean dependent var -0.001574 Adjusted R-squared 0.079552 S.D. dependent var 0.025191 S.E. of regression 0.024168 Akaike info criterion -4.652779 Sum squared resid 0.963769 Schwarz criterion -4.633170 Log likelihood 3858.501 Durbin-Watson stat 2.010031
Inverted AR Roots .90 -.35-.71i -.35+.71i Inverted MA Roots .80 -.40+.70i -.40-.70i
-Nhóm ngành Biến kiểm sốt 1:
Kết quả chạy hồi quy quá trình ARMA của chuỗi lợi suất nhóm ngành biến kiểm soát 1:
Dependent Variable: R_BKS1 Method: Least Squares Date: 04/03/14 Time: 22:56
Sample (adjusted): 1/03/2007 9/03/2013 Included observations: 1659 after adjustments Convergence achieved after 6 iterations Backcast: 1/02/2007
Variable Coefficient Std. Error t-Statistic Prob.
MA(1) 0.291531 0.023491 12.41015 0.0000
R-squared 0.082019 Mean dependent var -0.000262 Adjusted R-squared 0.082019 S.D. dependent var 0.017101 S.E. of regression 0.016384 Akaike info criterion -5.384368 Sum squared resid 0.445089 Schwarz criterion -5.381105 Log likelihood 4467.334 Durbin-Watson stat 1.983562
Inverted MA Roots -.29
Kết quả chạy hồi quy quá trình GARCH (1,1) – nomal của chuỗi lợi suất nhóm ngành biến kiểm sốt 1:
Included observations: 1659 after adjustments Convergence achieved after 13 iterations MA backcast: 1/02/2007, Variance backcast: ON GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)
Coefficient Std. Error z-Statistic Prob.
MA(1) 0.252033 0.026609 9.471728 0.0000
Variance Equation
C 1.32E-05 2.66E-06 4.956016 0.0000 RESID(-1)^2 0.162780 0.026391 6.167946 0.0000 RESID(-1)^2 0.162780 0.026391 6.167946 0.0000 GARCH(-1) 0.786858 0.031456 25.01461 0.0000
R-squared 0.080385 Mean dependent var -0.000262 Adjusted R-squared 0.078718 S.D. dependent var 0.017101 S.E. of regression 0.016414 Akaike info criterion -5.567954 Sum squared resid 0.445881 Schwarz criterion -5.554900 Log likelihood 4622.618 Durbin-Watson stat 1.903529
Inverted MA Roots -.25
-Nhóm ngành Biến kiểm soát 2:
Kết quả chạy hồi quy quá trình ARMA của chuỗi lợi suất nhóm ngành biến kiểm sốt 2:
Dependent Variable: R_BKS2 Method: Least Squares Date: 04/03/14 Time: 22:57
Sample (adjusted): 1/03/2007 9/03/2013 Included observations: 1659 after adjustments Convergence achieved after 4 iterations Backcast: 1/02/2007
Variable Coefficient Std. Error t-Statistic Prob.
MA(1) 0.181813 0.024152 7.527761 0.0000
R-squared 0.031041 Mean dependent var -0.000834 Adjusted R-squared 0.031041 S.D. dependent var 0.022520
Kết quả chạy hồi quy quá trình GARCH (1,1) – nomal của chuỗi lợi suất nhóm ngành biến kiểm sốt 2:
Dependent Variable: R_BKS2
Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/03/14 Time: 23:03
Sample (adjusted): 1/03/2007 9/03/2013 Included observations: 1659 after adjustments Convergence achieved after 13 iterations MA backcast: 1/02/2007, Variance backcast: ON GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)
Coefficient Std. Error z-Statistic Prob.
MA(1) 0.133645 0.028157 4.746368 0.0000
Variance Equation
C 2.12E-05 2.87E-06 7.377850 0.0000 RESID(-1)^2 0.219591 0.022748 9.653067 0.0000 RESID(-1)^2 0.219591 0.022748 9.653067 0.0000 GARCH(-1) 0.750257 0.021665 34.62925 0.0000
R-squared 0.028721 Mean dependent var -0.000834 Adjusted R-squared 0.026961 S.D. dependent var 0.022520 S.E. of regression 0.022215 Akaike info criterion -5.037699 Sum squared resid 0.816721 Schwarz criterion -5.024645 Log likelihood 4182.771 Durbin-Watson stat 1.901330
Tiến hành chạy các mơ hình họ GARCH, với các cặp giá trị (p,q) ứng với