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研究生:黎氏金玉
研究生(外文):Le Thi Kim Ngoc
論文名稱:越南股價波動模型建立與預測:GARCH 模型之使用
論文名稱(外文):MODELING AND FORECASTING THE VOLATILITY OF VIETNAM STOCK MARKET PRICE USING GARCH MODELS
指導教授:邱魏頌正邱魏頌正引用關係
指導教授(外文):Song Zan Chiou Wei
口試委員:李仁耀, 蔡建樹
口試委員(外文):Li Renyao, Cai Jianshu
口試日期:2015-06-11
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:製造與管理外國學生碩士專班
學門:工程學門
學類:機械工程學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:英文
論文頁數:75
中文關鍵詞:股價
外文關鍵詞:GARCH
相關次數:
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Volatility in financial markets has gained so much concern by practitioners, and researchers in the past 25 years. Especially, forecasting and modeling is an important issue of research in financial markets.
This thesis is to apply Generalized Autogressive Conditional Heteroscedascity model (GARCH), Exponential GARCH (EGARCH), GJR-GARCH model to analysis Vietnam stock market in the last time and modeling a GARCH the volatility of Vietnam stock market daily closing value. After comparing the Root Mean Square Error (RMSE), will choose the best model to predict the conditional variance. This thesis also find clearly what is the main reasons which strongly affected on the volatility of Vietnam stock market index between 2005 and 2015 and from that will have best predicting Vietnam stock market in the future.

TABLE OF CONTENS
ABSTRACT I
ACKNOWLEDGEMENTS II
TABLE OF CONTENS III
CHAPTER 1: INTRODUCTION 1
1.1. Research Background 1
1.2. Research Motivation 3
1.3. Research Objectives 4
1.4. Research Organization 5
CHAPTER 2: LITERATURE REVIEWS 7
2.1. Introduction 7
2.2. Theoretical Background 7
2.3. Literature Review 8
2.4. Summary 12
CHAPTER 3: METHODOLOGIES 14
3.1. Fundamental structure of volatility model 14
3.2. Conditional mean 15
3.3. Conditional variance 16
3.4. Time series volatility Models 16
3.4.1. Simple Moving Average of the square return series 16
3.4.2. Exponentially Weighted Moving Average Models (EWMA) 17
3.4.3. Stochastic Volatility Models (SV) 17
3.5. Autoregressive conditional heteroskedasticity (ARCH) Volatility Models. 18
3.6. GARCH Volatility Models 19
3.7. EGARCH model 20
3.8. GJR-GARCH model 21
3.9. GARCH Models 22
3.9.1 Statistics and correlation 22
3.9.1.1. Statistics 22
3.9.1.2. Correlation. 23
3.9.1.2.1. Autocorrelation 23
3.9.1.2.2. Partial autocorrelation 24
3.10. Stochastic Processes 24
3.10.1. Autoregressive process 24
3.10.2. Moving average process 24
3.10.3. Stationary process 26
3.11. The GARCH type models 26
3.11.1. The form of GARCH(P,Q) models 26
3.11.2. The form of EGARCH(P,Q) Models 28
3.11.3. The form of GJR-GARCH(P,Q) Models 28
3.12. GARCH models Identification, estimation and diagnostic checking 29
3.12.1. GARCH models Identification 29
3.12.1.1. Autocorrelation and Partial Autocorrelation Functions (ACF and PACF) 29
3.12.1.2. Model selection AIC and BIC criteria 30
3.12.2. GARCH models Estimation 32
3.12. 3. GARCH models Diagnostic Checking 32
3.13. Forecasting Evaluation. 34
CHAPTER 4: EMPIRICAL RESULTS 38
4.1. Introduction of index 38
4.2. Data Analysis 39
4.2.1. Descriptive statistics results 39
4.2.2. Data Analysis. 44
4.3. Model Estimation 46
4.3.1. Autoregressive AR(1) 46
4.3.2. Determining the mean equations 48
4.3.3. GARCH(1,1) model 48
4.3.4. EGARCH model 49
4.3.5. GIJ-GARCH model 49
4.4. Model diagnostic Checking. 50
4.5. Model forecasting 59
CHAPTER 5. CONCLUSIONS 63
5.1. Conclusion 63
5.2. Limitations and Future research 64
REFERENCES 65




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8. Ezzat and Hassan. (August, 2012). The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt. International Research Journal of Finance and Economics, 143-154.
9. George. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel. (1994). Time Series Analysis Forecasting and Control third edition. America: Prentice-Hall.
10. Glosten at al. (1993). A semiparameter extension of the GJR model. Journal of Finance, 1779-1801.
11. Hoang, V. Q. (August 21, 2002). Empirical Evidence of Conditional Heteroskedasticity. Brussels - BELGIUM: ULB .
12. Tran, M. T. (2011). Modeling Volatility Using GARCH models: Evidence from Vietnam. Economics Bulletin, 31, 1935-1942.
13. Vuong, Q. H. (2004). Evidence of GARCH Effect in Stock Returns: Vietnam Stock Market 2000-2003. Vietnam Journal of Mathematical Applications, 15-30.
14. Wilhelmsson, A. (2006). GARCH forecasting performance under different distribution assumptions. Journal of Forecasting .

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