Lụứi Caỷm ễn u tiờn, em xin gi li cm n n Thy Cụ trng i hc Kinh t Hu núi chung v Thy Cụ khoa Ti Chớnh Ngõn Hng núi riờng, ó tn tõm ging dy em sut quỏ trỡnh hc v nghiờn cu ti trng c bit, em xin gi li cỏm n chõn thnh nht n Ths on Nh Qunh, ngi ó trc tip hng dn em thc hin ti tt nghip Nh s hng dn v ch bo tn tỡnh ca cụ, em ó cú c nhng kin thc v kinh nghim quý bỏu v cỏch xỏc nh nghiờn cu, phng phỏp nghiờn cu, xỏc nh kt cu cho ti, trỡnh by kt qu v hon thnh ti tt nghip ca mỡnh Cui cựng, em xin by t lũng cm n sõu sc n gia ỡnh v bn bố ó luụn bờn cnh, h tr v ng viờn em hon thnh tt khoỏ lun ca mỡnh Em xin chõn thnh cm n! Hu, thỏng 05/2015 Sinh viờn thc hin Hunh Th Phng i MC LC PHN I: T VN .1 1.Tớnh cp thit ca ti: 2 Mc tiờu nghiờn cu: 2.1.Mc tiờu nghiờn cu .5 3.i t ng, ph m vi: 3.1.i t ng nghiờn cu: 3.2.Ph m vi nghiờn cu: .6 4.Ph ng ph p nghiờn cu 5.Kt cu ti .7 PHN 2: NI DUNG V KT QU NGHIấN CU CHNG 1: Lí LUN THANH KHON V CC Mễ HèNH O LNG, D BO 1.1.Thanh khon: 1.1.1.nh ngha tớnh khon: 1.1.2.Tớnh khon: 1.1.3.Tớnh khon ca c phiu: 1.2.C c yu t nh h ng n khon c phiu: 1.3.o l ng tớnh khon ca c phiu: 10 1.3.1 Ph ng ph p o l ng liờn h sõu: 11 1.3.2 Ph ng ph p o l ng liờn h cht: 13 1.3.3 Ph ng ph p o l ng liờn h thi gian giao dch: .14 1.3.4 Ph ng ph p o l ng liờn h co gión: 14 1.4 D liu nghiờn cu: .16 1.5.Ph ng ph p nghiờn cu: 16 1.5.1 Vn c bn v chui thi gian: 16 1.5.1.1 Chui thi gian l gỡ: 16 1.5.1.2 C c thnh phn ca chui thi gian .16 1.5.2 C c liờn quan n tớnh dng: 17 1.5.2.2 Kh i nim tớnh dng .17 1.5.2.3 Hu qu ca chui khụng dng: 17 1.5.2.4 C ch kim nh tớnh dng ca chui thi gian: .18 ii 1.5.2.4.1 T t 1.5.2.4.3 T t ng quan ACF (Autocorrelation function) .18 ng quan mu PACF (Partial Autocorrelation function): 19 1.5.2.4.4 Kim nh Dickey-Fuller (kim nh nghim n v- Unit root test): 19 1.5.2.4.5 Nhiu trng(white noise): 19 1.5.2.4.6 B c i ngu nhiờn (Random Walk): 20 1.4.1.5 Bin i chui khụng dng thnh chui dng 20 1.4.2 Mụ hỡnh Arima 20 1.4.2.1 C s lý lun 20 1.4.2.2 Qu trỡnh t hi quy (AR Autoregressive Process) 21 1.4.2.3 Qu trỡnh trung bỡnh tr t (MA Moving Average) 21 1.4.2.4 Qu trỡnh trung bỡnh tr t v t hi quy ARMA 22 1.4.2.5 Qu trỡnh trung bỡnh tr t, ng liờn kt, t hi quy ARIMA 22 1.4.2.6 Ph ng ph p Box-Jenkins .23 1.4.3.6.1 nh d ng: 24 1.4.3.6.2 c l ng mụ hỡnh .29 1.4.3.6.3 Kim nh tớnh thớch hp ca mụ hỡnh .29 1.4.3.6.4 D b o 31 1.2.4 Lý thuyt mụ hỡnh ARCH/GARCH .31 1.2.4.1 Mụ hỡnh ARCH: 31 1.2.4.2 L ý thuyt mụ hỡnh GARCH: 34 Ch ng 2: CH S CHNG KHON VN30-INDEX V DIN BIN THANH KHON CA TH TRNG CHNG KHON VIT NAM GIAI ON 2012 2015 36 2.1 Tng quan v ch s chng kho n VN30-Index 36 2.1.1 Ch s VN30 l gỡ .36 2.1.2 í ngha .36 2.1.3 Tiờu chun la chn c phiu vo r VN30 .37 2.1.4 iu kin tham gia ch s VN30: 37 2.1.5 Ph ng ph p tớnh: .38 2.1.5.1 Tiờu tớnh toỏn: 38 2.1.5.2 Cụng thc tớnh VN30: 39 2.1.5.3 Gi tớnh to n ch s 39 2.2 Thanh khon ca th tr ng chng kho n giai o n t nm 2012 n nay: din bin VN-Index, VN30-Index .39 iii 2.2.1 Nm 2012: 40 2.2.2 Nm 2013: hi phc m nh m 43 2.2.3 Nm 2014 n nay: 45 Ch ng 3: D BO THANH KHON CA NHểM 30 C PHIU Cể GI TR VN HểA V KHI LNG GIAO DCH LN NIấM YT TRấN S GIAO DCH CHNG KHON THNH PH H CH MINH 50 3.1 Lý la chn ch s Amivest: 50 3.2 Mu quan s t: .50 3.3 Kt qu nghiờn cu: .51 3.3.1 Thng kờ mụ t s liu: .51 3.3.2 Kim nh tớnh dng ca chui Amivest: 52 3.3.3 Phõn phi x c sut ca chui Amivest: 52 3.3.4 La chn mụ hỡnh ARIMA(p,d,q): 53 3.3.4.1 Mụ hỡnh ARIMA (p,0,q) tt nht d b o: 53 3.3.4.2 D b o th nghim trờn mụ hỡnh ARIMA(1,0,1) : .55 3.3.5 c l ng mụ hỡnh GARCH: 58 3.3.5.1 c l ng mụ hỡnh GARCH(p,q): 58 3.3.5.2 D b o: 59 3.3.5.3 Nhn xột v tho lun: 60 PHN : KấT LUN .62 1.Kt qu t c : 62 H n ch : 63 H ng ph t trin ti : .64 Khuyn ngh: 64 TAI LIU THAM KHO 65 PH LC 67 Ph lc 68 iv DANH MC CC CH CI V Kí HIU VIT TT VN30-INDEX : Ch s chng khoỏn ca 30 doanh nghip cú giỏ tr húa ln nht TTCK : Th tr ng chng khoỏn HOSE NHNN NT DN KLGD DMT : S giao dch chng khoỏn thnh ph H Chớ Minh : Ngõn hng Nh n c : Nh u t : Doanh nghip : Khi l ng giao dch : Danh mc u t CSTT GTVH GTDD CTCP NHTMCP ACF : Chớnh sỏch tin t : Giỏ tr húa : Giỏ tr dao dch : Cụng ty c phn : Ngõn hng th ng m i c phn : Hm t t ng quan PACF AR MA ARIMA : Hm t t ng quan riờng phn : T hi quy (Autoregressive) : Trung bỡnh tr t (Moving Average) : T hi quy tớch hp trung bỡnh tr t (Autogressive Integrated Moving Average) : T hi quy cú iu kin ph ng sai sai s thay i ARCH GARCH PPXS (Autoregressive Conditional Heteroshedasticity) : T hi quy tng qu t cú iu kin ph ng sai sai s thay i (Generalized Autoregressive Conditionnal Heteroshedasticity : Phõn phi xỏc sut v DANH MC BNG BIU Bng 1.1 C c khớa c nh ca khon 10 Bng 1.2 - C c d ng lý thuyt ca ACF v PACF 25 Bng 3.1 Thng kờ mụ t chui Amivest .51 Bng 3.2 La chn mụ hỡnh ARIMA(p,0,q) 54 Bng 3.3 D b o ngoi mu cho giai o n t 06/02/2015 n 27/03/2015 57 Bng 3.4 La chn mụ ARCH/GARCH 58 Bng 3.5: kt qu d b o ch s Amivest theo tun ngy 03/04/2015 n 06/05/2015 .59 vi DANH MC HèNH Hỡnh 1.1 - Quy trỡnh ca ph ng ph p Box-Jenkins 24 Hỡnh 1.2 - Quỏ trỡnh AR(1) .26 Hỡnh 1.3 - Quỏ trỡnh MA(1) 26 Hỡnh 1.4 - Quỏ trỡnh MA(2) 27 Hỡnh 1.5 Quỏ trỡnh ARIMA(1) 28 Hỡnh 2.1 T trng ngnh theo GTVH ca r VN30 .37 (Ngun: HOSE) 37 Hỡnh 2.2 Din bin khon TTCK nm 2012 40 Hỡnh 2.3 Din bin khon TTCK nm 2013 44 Hỡnh 2.4 Tỡnh hỡnh khon TTCK t nm 2014 n 46 Hỡnh 3.1 th PPXS ca chui Amivest .52 Hỡnh 3.2 D b o Amivest giai o n t 10/02/2012 n 30/01/2015 55 Hỡnh 3.3 Phn d , gi tr thc v gi tr c l ng t mụ hỡnh ARIMA(1,0,1) 56 Hỡnh 3.4 Gi tr thc v d b o ch s Amivest 56 Hỡnh 3.5 D b o ph ng sai cho chui Amivest 59 vii viii TểM TT TI Thanh khon c xem l yu t huyt m ch ca th tr ng ti chớnh Vic iu tit phự hp ca nú l rt quan trng cho s hnh tr n tru ca mt nn kinh t Chớnh vỡ vy, vic tin hnh o l ng v d b o gi tr t khon, cng nh ri ro thụng qua bin ng ph ng lai ca ng sai ca ch s khon l iu thc s cn thit vi bt k mt nh u t , mt doanh nghip no nghiờn cu u t vo bt k mt ti sn no, c bit l trờn th tr ng chng khoỏn Tuy nhiờn, tớnh t i thi im hin t i, hu nh ch a cú nghiờn cu n c v o l ng v d b o khon Nm bt c thc t ny, tụi quyt nh la chn ti: : ng dng mụ hỡnh ARIMA ARCH/GARCH d bỏo khon ca 30 c phiu cú giỏ tr húa v khon ln nht niờm yt trờn s giao dch chng khoỏn thnh ph H Chớ Minh ngn hn Mc tiờu quan trng nht m ti h ng n l d b o khon t ng lai gn cho nhúm c phiu r VN30 T ú, giỳp cho nh u t v cỏc nh ho ch nh chớnh s ch nm bt xu th khon v c i nhỡn chun x c h n v tỡnh hỡnh hin t i v t ng lai v tỡnh hỡnh khon ca nhng c phiu Bluechip trờn th tr ng chng kho n Vit Nam thc hin cụng t c d b o, ti ó s dng ch s khon Amivest v tin hnh c l ng v kim nh c c mụ hỡnh ARIMA, ARCH/GARCH Bng ph ng ph p th v sai, thụng qua c c ch tiờu: AIC, SIC, R2, MAE, MAPE, Thiel, Bias,cui cựng mụ hỡnh GARCH(1,2) l mụ hỡnh thớch hp nht c la chn d b o Kt qu d bỏo ca mụ hỡnh c nh gi t ng i sỏt vi giỏ tr thc t, giỏ tr trung bỡnh d bỏo ca ch s AMIVEST tng dn t ng lai T nhng kt qu ny, tụi cng ó a mt s khuyn ngh cho nh u t gúp phn giỳp h cú th a nhng quyt nh ỳng n nht PHN I: T VN 1.Tớnh cp thit ca ti: TTCK úng vai trũ quan trng i vi s ph t trin ca nn kinh t ca mt quc gia Th tr ng ny giỳp NT n gn h n vi DN, qua ú DN cú c hi tip cn vi ngun ln, m rng sn xut kinh doanh, ph t trin bn vng TTCK t i n c bit n l mt kờnh u t v thu hỳt hp dn nhiu quc gia Chớnh kh nng sinh li khng l m th tr ng mang l i ó thu hỳt rt nhiu NT, DN coi TTCK l n i t o ngun thu nhp v huy ng ch yu ca h Gi c chng kho n l hỡnh nh phn chiu nhng c bn ca nn kinh t v mụ, c bit l sc khe ca DN v l mi quan tõm hng u ca NT cng nh nh nghiờn cu Bờn c nh gi c, th tr ng ti chớnh núi chung v TTCK núi riờng, cú mt yu t quan trng khụng th khụng k n ú chớnh l khon Thanh khon c xem l yu t huyt m ch ca th tr ng ti chớnh Trong t c phm nghiờn cu How best to supply liquidity to a securities market (1996), Handa v Schawarts ó a nhn nh: Nh u t mong mun ba iu t th tr ng, ú l: Thanh khon, khon v khon Vic iu tit phự hp ca nú l rt quan trng cho s hnh tr n tru ca mt nn kinh t Khi th tr ng gim tớnh khon l lỳc nhng nh t chc th tr ng phi lo ng i bi khon th hin nim tin ca nh u t , l c s cho c c doanh nghip s dng kờnh th tr ng chng kho n huy ng Thanh khon tt lm cho gi c phn nh thc cht cung cu m khụng b búp mộo bi c c giao dch thao tỳng, lm gi trờn th tr ng c bit, khon rt c chỳ ý TTCK nh mt nhng tiờu quan trng d b o, quyt nh xu h ng th tr ng, ca nhúm c phiu hoc tng c phiu riờng l Mt phn no ú, nú cng phn nh mc ri ro ca c phiu 5.4 c l ng mụ hỡnh ARIMA(0 1) Dependent Variable: AMIVEST Method: Least Squares Date: 05/10/15 Time: 15:35 Sample: 2/10/2012 1/30/2015 Included observations: 156 Convergence achieved after 13 iterations MA Backcast: 2/03/2012 Variable Coefficient Std Error t-Statistic Prob C MA(1) 6561.604 0.231359 981.1692 0.078499 6.687535 2.947277 0.0000 0.0037 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Inverted MA Roots 0.073194 0.067175 9962.644 1.53E+10 -1656.577 12.16199 0.000636 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 6557.303 10315.13 21.26381 21.30291 21.27969 1.886671 -.23 5.5 c l ng mụ hỡnh ARIMA(0 2): Dependent Variable: AMIVEST Method: Least Squares Date: 05/10/15 Time: 15:36 Sample: 2/10/2012 1/30/2015 Included observations: 156 Convergence achieved after 11 iterations MA Backcast: 1/27/2012 2/03/2012 Variable Coefficient Std Error t-Statistic Prob C MA(2) 6549.669 0.188320 958.7324 0.079203 6.831593 2.377689 0.0000 0.0186 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.048381 0.042201 10095.13 1.57E+10 -1658.638 7.829400 0.005797 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 75 6557.303 10315.13 21.29023 21.32933 21.30611 1.472934 5.6 c l ng mụ hỡnh ARIMA(1 2) Dependent Variable: AMIVEST Method: Least Squares Date: 05/10/15 Time: 15:37 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments Convergence achieved after iterations MA Backcast: 2/03/2012 2/10/2012 Variable Coefficient Std Error t-Statistic Prob C AR(1) MA(2) 6607.210 0.282672 0.121509 1225.554 0.080477 0.083400 5.391203 3.512464 1.456946 0.0000 0.0006 0.1472 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Inverted AR Roots 0.118699 0.107102 9771.734 1.45E+10 -1642.444 10.23610 0.000068 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 6588.460 10341.20 21.23154 21.29045 21.25547 2.024947 28 5.7Mụ hỡnh ARIMA(2,0,0) Dependent Variable: AMIVEST Method: Least Squares Date: 05/18/15 Time: 12:53 Sample (adjusted): 2/24/2012 1/30/2015 Included observations: 154 after adjustments Convergence achieved after iterations Variable Coefficient Std Error t-Statistic Prob C AR(2) 6657.147 0.264419 1098.505 0.078148 6.060186 3.383570 0.0000 0.0009 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Inverted AR Roots 0.070044 0.063926 10026.91 1.53E+10 -1636.316 11.44854 0.000910 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 51 -.51 76 6627.226 10363.63 21.27683 21.31628 21.29286 1.545606 Kim nh t t ng quan phn d cho mụ hỡnh ARIMA(p,0,q): Kim nh gi thuyt: Ho: phn d t t ng quan H1: phn d khụng t t ng quan 6.1 Mụ hỡnh ARIMA(2,0,2) Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 2.077136 8.238512 Prob F(4,147) Prob Chi-Square(4) 0.0867 0.0832 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/14/15 Time: 00:20 Sample: 2/24/2012 1/30/2015 Included observations: 154 Presample missing value lagged residuals set to zero Variable Coefficient Std Error t-Statistic Prob C AR(2) MA(2) RESID(-1) RESID(-2) RESID(-3) RESID(-4) 2013345 0.025065 -0.044430 0.189585 0.010511 -0.029428 0.085215 1877889 0.023342 0.042092 0.082286 0.089917 0.084508 0.088738 1.072132 1.073824 -1.055530 2.303969 0.116901 -0.348228 0.960298 0.2854 0.2847 0.2929 0.0226 0.9071 0.7282 0.3385 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.053497 0.014864 9245.185 1.26E+10 -1621.241 1.384752 0.224430 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 4.191337 9314.671 21.14598 21.28403 21.20206 2.021017 Gi tr P-Value = 0.0867, ch a cú c s b c b gi thit H o Vy phn d mụ hỡnh ARIMA(2,0,2) khụng t t ng quan 77 6.2.Mụ hỡnh ARIMA(1,0,1): Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 0.957673 3.910273 Prob F(4,148) Prob Chi-Square(4) 0.4327 0.4183 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/10/15 Time: 15:33 Sample: 2/17/2012 1/30/2015 Included observations: 155 Presample missing value lagged residuals set to zero Variable Coefficient Std Error t-Statistic Prob C AR(1) MA(1) RESID(-1) RESID(-2) RESID(-3) RESID(-4) -626.1150 -0.010694 0.061473 0.002230 -0.050190 -0.167172 0.039309 4217.317 0.048324 0.176637 0.165542 0.134034 0.117223 0.107744 -0.148463 -0.221302 0.348019 0.013471 -0.374459 -1.426103 0.364839 0.8822 0.8252 0.7283 0.9893 0.7086 0.1559 0.7158 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.025228 -0.014290 9365.556 1.30E+10 -1633.797 0.638385 0.699352 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -14.70736 9299.347 21.17157 21.30902 21.22740 2.000707 Gi tr P-Value = 0.4327, ch a cú c s b c b gi thit H o Vy phn d mụ hỡnh ARIMA(1,0,1) khụng t t ng quan 6.3.Mụ hỡnh ARIMA(2,0,0): Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 5.043811 18.47470 Prob F(4,148) Prob Chi-Square(4) Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/10/15 Time: 15:33 Sample: 2/24/2012 1/30/2015 Included observations: 154 Presample missing value lagged residuals set to zero 78 0.0008 0.0010 Variable Coefficient Std Error t-Statistic Prob C AR(2) RESID(-1) RESID(-2) RESID(-3) RESID(-4) 248.0458 1.687575 0.222788 -1.827487 0.020422 -0.283158 1050.209 0.821170 0.081323 0.835246 0.082827 0.230827 0.236187 2.055085 2.739537 -2.187963 0.246557 -1.226710 0.8136 0.0416 0.0069 0.0302 0.8056 0.2219 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.119966 0.090235 9532.524 1.34E+10 -1626.476 4.035049 0.001839 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.69E-06 9994.089 21.20099 21.31931 21.24905 2.042527 Gi tr P-Value = 0.008, ú b c b gi thit Ho Vy phn d mụ hỡnh ARIMA(2,0,0) cú t t ng quan 6.4.Mụ hỡnh ARIMA(1,0,0) Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 2.660621 10.33299 Prob F(4,149) Prob Chi-Square(4) 0.0350 0.0352 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/10/15 Time: 15:34 Sample: 2/17/2012 1/30/2015 Included observations: 155 Presample missing value lagged residuals set to zero Variable Coefficient Std Error t-Statistic Prob C AR(1) RESID(-1) RESID(-2) RESID(-3) RESID(-4) 163.7982 2.184295 -2.250378 -0.582766 -0.192203 0.111132 1144.149 1.821870 1.829549 0.591903 0.206123 0.100034 0.143162 1.198930 -1.230018 -0.984563 -0.932468 1.110940 0.8864 0.2325 0.2206 0.3264 0.3526 0.2684 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.066664 0.035344 9621.317 1.38E+10 -1638.495 2.128496 0.065105 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 7.90E-06 9795.991 21.21929 21.33710 21.26714 2.057429 Gi tr P-Value = 0.0350, b c b gi thit Ho Vy phn d mụ hỡnh ARIMA(1,0,0) khụng t t ng quan 79 6.5.Mụ hỡnh ARIMA(2,0,1): Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 1.956926 7.785833 Prob F(4,147) Prob Chi-Square(4) 0.1041 0.0997 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/10/15 Time: 15:32 Sample: 2/24/2012 1/30/2015 Included observations: 154 Presample missing value lagged residuals set to zero Variable Coefficient Std Error t-Statistic Prob C AR(2) MA(1) RESID(-1) RESID(-2) RESID(-3) RESID(-4) 309.4455 1.803137 3.146983 -3.183177 -1.010275 -0.235218 -0.250228 1326.043 0.963897 6.084093 6.085466 2.082388 0.456773 0.304633 0.233360 1.870674 0.517248 -0.523079 -0.485152 -0.514957 -0.821409 0.8158 0.0634 0.6058 0.6017 0.6283 0.6074 0.4127 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.050557 0.011805 9615.210 1.36E+10 -1627.284 1.304613 0.258619 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 3.792380 9672.469 21.22447 21.36251 21.28054 2.038375 Gi tr P-Value = 0.1041, chp nhn gi thit Ho Vy phn d mụ hỡnh ARIMA(2,0,1) cú t t ng quan 6.6.Mụ hỡnh ARIMA(0,0,1): Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 4.207037 15.73588 Prob F(4,150) Prob Chi-Square(4) 0.0029 0.0034 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/10/15 Time: 15:35 Sample: 2/10/2012 1/30/2015 Included observations: 156 Presample missing value lagged residuals set to zero Variable Coefficient Std Error 80 t-Statistic Prob C MA(1) RESID(-1) RESID(-2) RESID(-3) RESID(-4) 66.76969 4.367019 -4.346984 1.203607 -0.196353 0.247648 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.100871 0.070900 9571.947 1.37E+10 -1648.284 3.365624 0.006546 945.5022 6.206742 6.209644 1.438033 0.345280 0.111331 0.070618 0.703593 -0.700038 0.836981 -0.568677 2.224426 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.9438 0.4828 0.4850 0.4039 0.5704 0.0276 4.181838 9930.453 21.20876 21.32607 21.25641 2.064048 Gi tr P-Value = 0.0029, ú b c b gi thit Ho Vy phn d mụ hỡnh ARIMA(0,0,1) khụng t t ng quan 6.7 Mụ hỡnh ARIMA(0,0,2): Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 6.186172 22.09024 Prob F(4,150) Prob Chi-Square(4) 0.0001 0.0002 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/10/15 Time: 15:36 Sample: 2/10/2012 1/30/2015 Included observations: 156 Presample missing value lagged residuals set to zero Variable Coefficient Std Error t-Statistic Prob C MA(2) RESID(-1) RESID(-2) RESID(-3) RESID(-4) 103.3800 3.352731 0.230811 -3.413305 0.020758 0.863035 901.3954 1.936550 0.079969 1.949548 0.081521 0.374400 0.114689 1.731290 2.886242 -1.750819 0.254639 2.305118 0.9088 0.0855 0.0045 0.0820 0.7994 0.0225 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.141604 0.112991 9476.983 1.35E+10 -1646.728 4.948910 0.000319 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 8.928144 10062.50 21.18882 21.30612 21.23647 2.061815 Gi tr P-Value = 0.00001, ú chp nhn gi thit Ho Vy phn d mụ hỡnh ARIMA(0,0,2) cú t t ng quan 81 6.8 Mụ hỡnh ARIMA(1,0,2) Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 2.131053 8.441169 Prob F(4,148) Prob Chi-Square(4) 0.0798 0.0767 Test Equation: Dependent Variable: RESID Method: Least Squares Date: 05/10/15 Time: 15:37 Sample: 2/17/2012 1/30/2015 Included observations: 155 Presample missing value lagged residuals set to zero Variable Coefficient Std Error t-Statistic Prob C AR(1) MA(2) RESID(-1) RESID(-2) RESID(-3) RESID(-4) 144.0131 0.043209 7.621494 -0.078025 -7.636260 0.011887 1.115977 1214.780 2.280057 5.499310 2.278657 5.190812 0.199914 0.702619 0.118551 0.018951 1.385900 -0.034241 -1.471111 0.059459 1.588309 0.9058 0.9849 0.1679 0.9727 0.1434 0.9527 0.1144 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.054459 0.016126 9629.476 1.37E+10 -1638.105 1.420696 0.210323 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 4.840499 9708.072 21.22715 21.36460 21.28298 2.069535 Gi tr P-Value = 0.0798, ch a cú c s b c b gi thit H o Vy phn d mụ hỡnh ARIMA(1,0,2) khụng t t ng quan Kim tra hin t ng ph ng sai sai s thay i ca mụ hỡnh ARIMA(1 1) Kim nh gi thit: Ho: mụ hỡnh khụng cú tớnh ARCH ( ph H1: mụ hỡnh cú tớnh ARCH (ph ng sai sai s khụng i) ng sai sai s thay i) Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 38.83881 111.8122 Prob F(12,130) Prob Chi-Square(12) Test Equation: Dependent Variable: RESID^2 Method: Least Squares 82 0.0000 0.0000 Date: 05/18/15 Time: 13:12 Sample (adjusted): 5/11/2012 1/30/2015 Included observations: 143 after adjustments Variable Coefficient Std Error t-Statistic Prob C RESID^2(-1) RESID^2(-2) RESID^2(-3) RESID^2(-4) RESID^2(-5) RESID^2(-6) RESID^2(-7) RESID^2(-8) RESID^2(-9) RESID^2(-10) RESID^2(-11) RESID^2(-12) -6676427 -0.079549 -0.407529 0.014217 0.069560 -0.000762 0.015023 -0.074780 -0.018690 -0.087413 -0.064392 -0.048897 4.013721 25120729 0.041814 0.046751 0.041262 0.041312 0.041286 0.041289 0.041394 0.041259 0.041412 0.042034 0.041547 0.188552 -0.265774 -1.902445 -8.717016 0.344544 1.683767 -0.018446 0.363841 -1.806528 -0.452988 -2.110815 -1.531910 -1.176885 21.28706 0.7908 0.0593 0.0000 0.7310 0.0946 0.9853 0.7166 0.0731 0.6513 0.0367 0.1280 0.2414 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.781903 0.761771 2.68E+08 9.34E+18 -2971.235 38.83881 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 92605309 5.49E+08 41.73756 42.00691 41.84701 2.067765 Gi tr P-Value = 0.0000, ú b c b gi thit Ho Vy ARIMA(1,0,1) khụng t t ng quan 8.c l ng cỏc mụ hỡnh GARCH(p,q): 8.1 Mụ hỡnh GARCH(1,1) Dependent Variable: AMIVEST Method: ML - ARCH (Marquardt) - Student's t distribution Date: 05/15/15 Time: 20:43 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments Convergence achieved after 80 iterations MA Backcast: 2/10/2012 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) Variable Coefficient Std Error z-Statistic Prob C AR(1) MA(1) 1145.737 0.880100 -0.766845 335.5553 0.037734 0.049803 3.414450 23.32396 -15.39749 0.0006 0.0000 0.0000 0.013465 -0.013481 140.1681 0.9893 0.9892 0.0000 Variance Equation C RESID(-1)^2 GARCH(-1) 1.06E+08 -13.59319 1.047389 7.89E+09 1008.333 0.007472 83 T-DIST DOF 2.000544 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.087267 0.050264 10077.95 1.50E+10 -1498.249 2.358394 0.033240 Inverted AR Roots Inverted MA Roots 88 77 0.040351 49.57811 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.0000 6588.460 10341.20 19.42257 19.56001 19.47839 1.664752 8.2 Mụ hỡnh GARCH(0,1) Dependent Variable: AMIVEST Method: ML - ARCH (Marquardt) - Student's t distribution Date: 05/15/15 Time: 20:48 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments Convergence achieved after 160 iterations MA Backcast: 2/10/2012 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*GARCH(-1) Variable Coefficient Std Error z-Statistic Prob C AR(1) MA(1) 2917.688 0.970383 -0.941531 723.4531 0.020742 0.030054 4.033002 46.78299 -31.32784 0.0001 0.0000 0.0000 Variance Equation C GARCH(-1) 1.06E+08 -0.970730 1.10E+08 0.020829 0.965502 -46.60374 0.3343 0.0000 T-DIST DOF 2.227189 0.298277 7.466849 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.073441 0.042348 10119.86 1.53E+10 -1528.101 2.362009 0.042675 Inverted AR Roots Inverted MA Roots 97 94 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 8.3 Mụ hỡnh GARCH(2,1) Dependent Variable: AMIVEST Method: ML - ARCH (Marquardt) - Student's t distribution Date: 05/15/15 Time: 20:53 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments 84 6588.460 10341.20 19.79485 19.91266 19.84270 1.509458 Failure to improve Likelihood after 90 iterations MA Backcast: 2/10/2012 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*RESID(-2)^2 + C(7)*GARCH(-1) Variable Coefficient Std Error z-Statistic Prob C AR(1) MA(1) 2092.834 0.850414 -0.696259 565.0502 0.033060 0.075638 3.703801 25.72316 -9.205185 0.0002 0.0000 0.0000 Variance Equation C RESID(-1)^2 RESID(-2)^2 GARCH(-1) 1.06E+08 2.923129 3.514965 -0.038493 7.99E+08 21.74794 26.52550 0.079763 0.132926 0.134409 0.132513 -0.482587 0.8943 0.8931 0.8946 0.6294 T-DIST DOF 2.049580 0.391326 5.237530 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.118759 0.076795 9936.189 1.45E+10 -1515.275 2.830033 0.008521 Inverted AR Roots Inverted MA Roots 85 70 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 6588.460 10341.20 19.65516 19.81224 19.71896 1.794928 8.4 Mụ hỡnh GARCH(1,2) Dependent Variable: AMIVEST Method: ML - ARCH (Marquardt) - Student's t distribution Date: 05/15/15 Time: 20:57 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments Convergence achieved after 52 iterations MA Backcast: 2/10/2012 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) + C(7)*GARCH(-2) Variable Coefficient Std Error z-Statistic Prob C AR(1) MA(1) 1396.955 0.863657 0.741855 311.0177 0.047553 0.066800 4.491559 18.16202 -11.10564 0.0000 0.0000 0.0000 Variance Equation C RESID(-1)^2 GARCH(-1) GARCH(-2) 1.06E+08 -12.25567 0.573219 0.491480 8.90E+09 1024.088 0.479915 0.490260 0.011938 -0.011967 1.194417 1.002488 0.9905 0.9905 0.2323 0.3161 T-DIST DOF 2.000738 0.061641 32.45798 0.0000 85 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.088777 0.045385 10103.80 1.50E+10 -1495.238 2.045943 0.053069 Inverted AR Roots Inverted MA Roots 86 74 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 6588.460 10341.20 19.39661 19.55369 19.46042 1.681431 8.5 Mụ hỡnh GARCH(2,0) Dependent Variable: AMIVEST Method: ML - ARCH (Marquardt) - Normal distribution Date: 05/10/15 Time: 15:47 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments Convergence not achieved after 500 iterations MA Backcast: 2/10/2012 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 Variable Coefficient Std Error z-Statistic Prob C AR(1) MA(1) 4863.967 0.770201 -0.359119 4202.998 0.151948 0.172262 1.157261 5.068845 -2.084722 0.2472 0.0000 0.0371 5.242564 3.771017 0.0000 0.0002 Variance Equation C RESID(-1)^2 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Inverted AR Roots Inverted MA Roots 68914987 0.934024 0.114969 0.091368 9857.457 1.46E+10 -1604.183 4.871379 0.001012 13145282 0.247685 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 77 36 86 6588.460 10341.20 20.76365 20.86183 20.80353 2.320240 8.6 Mụ hỡnh GARCH(2,2) Dependent Variable: AMIVEST Method: ML - ARCH (Marquardt) - Student's t distribution Date: 05/15/15 Time: 23:24 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments Failure to improve Likelihood after 90 iterations MA Backcast: 2/10/2012 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*RESID(-2)^2 + C(7)*GARCH(-1) Variable Coefficient Std Error z-Statistic Prob C AR(1) MA(1) 2092.834 0.850414 -0.696259 565.0502 0.033060 0.075638 3.703801 25.72316 -9.205185 0.0002 0.0000 0.0000 Variance Equation C RESID(-1)^2 RESID(-2)^2 GARCH(-1) 1.06E+08 2.923129 3.514965 -0.038493 7.99E+08 21.74794 26.52550 0.079763 0.132926 0.134409 0.132513 -0.482587 0.8943 0.8931 0.8946 0.6294 T-DIST DOF 2.049580 0.391326 5.237530 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.118759 0.076795 9936.189 1.45E+10 -1515.275 2.830033 0.008521 Inverted AR Roots Inverted MA Roots 85 70 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 6588.460 10341.20 19.65516 19.81224 19.71896 1.794928 8.7 Mụ hỡnh GARCH(0,2) Dependent Variable: AMIVEST Method: ML - ARCH (Marquardt) - Student's t distribution Date: 05/18/15 Time: 13:06 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments Convergence achieved after 88 iterations MA Backcast: 2/10/2012 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*GARCH(-1) + C(6)*GARCH(-2) Variable Coefficient Std Error z-Statistic Prob C AR(1) 1062.038 0.894538 396.9537 0.037843 2.675470 23.63799 0.0075 0.0000 87 MA(1) -0.781461 0.052482 -14.89009 0.0000 Variance Equation C GARCH(-1) GARCH(-2) 1.06E+08 0.019296 1.038855 9.83E+09 0.560307 0.578212 0.010808 0.034439 1.796669 0.9914 0.9725 0.0724 T-DIST DOF 2.000650 0.060015 33.33589 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Inverted AR Roots Inverted MA Roots 0.098312 0.061757 10016.79 1.48E+10 -1498.962 2.689428 0.016574 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 6588.460 10341.20 19.43177 19.56922 19.48760 1.685019 89 78 8.8 Mụ hỡnh GARCH(1,0) Dependent Variable: AMIVEST Method: ML - ARCH (Marquardt) - Student's t distribution Date: 05/15/15 Time: 20:51 Sample (adjusted): 2/17/2012 1/30/2015 Included observations: 155 after adjustments Convergence achieved after 73 iterations MA Backcast: 2/10/2012 Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 Variable Coefficient Std Error z-Statistic Prob C AR(1) MA(1) 1365.511 0.936836 -0.793186 1098.759 0.015989 0.031527 1.242776 58.59297 -25.15855 0.2140 0.0000 0.0000 Variance Equation C RESID(-1)^2 1.06E+08 6.236535 6.39E+08 37.31626 0.166341 0.167126 0.8679 0.8673 T-DIST DOF 2.056261 0.355988 5.776216 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.158244 0.129997 9645.642 1.39E+10 -1524.012 5.602184 0.000092 Inverted AR Roots Inverted MA Roots 94 79 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 88 6588.460 10341.20 19.74209 19.85990 19.78994 1.860971 Kim tra tớnh ARCH ca mụ hỡnh GARCH(1 2) Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 0.364901 4.659739 Prob F(12,130) Prob Chi-Square(12) 0.9734 0.9684 Test Equation: Dependent Variable: WGT_RESID^2 Method: Least Squares Date: 05/18/15 Time: 13:17 Sample (adjusted): 5/11/2012 1/30/2015 Included observations: 143 after adjustments Variable Coefficient Std Error t-Statistic Prob C WGT_RESID^2(-1) WGT_RESID^2(-2) WGT_RESID^2(-3) WGT_RESID^2(-4) WGT_RESID^2(-5) WGT_RESID^2(-6) WGT_RESID^2(-7) WGT_RESID^2(-8) WGT_RESID^2(-9) WGT_RESID^2(-10) WGT_RESID^2(-11) WGT_RESID^2(-12) 0.002044 0.035913 0.087883 0.006128 -0.011167 0.004526 -0.021698 -0.030012 -0.027599 -0.030055 0.006357 -0.012370 0.058303 0.000855 0.087407 0.060348 0.060734 0.060330 0.060273 0.060218 0.060246 0.060166 0.060213 0.060391 0.060107 0.069492 2.389590 0.410872 1.456257 0.100899 -0.185106 0.075097 -0.360334 -0.498168 -0.458725 -0.499133 0.105265 -0.205793 0.838981 0.0183 0.6818 0.1477 0.9198 0.8534 0.9403 0.7192 0.6192 0.6472 0.6185 0.9163 0.8373 0.4030 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.032586 -0.056714 0.007360 0.007042 506.2754 0.364901 0.973377 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.002182 0.007160 -6.898957 -6.629608 -6.789507 1.975479 Gi tr P-Value = 0.9734, ú chp nhn gi thit Ho Vy mụ hỡnh GARCH(1,1) cú ph ng sai sai s khụng i 89