Chng trnh Ging dy Kinh t Fulbright

Hc k thu 2007 04/9/2007 23/12/2007

Cc phng php phn tch

cng n Mn hc Ngy Np: Th t, ngy 07 thng 11, 2007 H B Tnh L Bo Ton

BO CO S B CNG MN HC
ti NG DNG M HNH ARIMA TRONG D BO GI VNG

I. Bi cnh v s cn thit ca ti Mong mun bit trc nhng iu trong tng lai lun l mc tiu v l m c ca con ngi. Ngy nay con ngi tm r rt nhiu cch d bo bit trc nhng iu c th xy ra trong tng lai. M hnh ARIMA l mt trong nhng m hnh v d bo d on gi tr ca bin s (hoc mt dy bin s) ti mt s im trong tng lai cn c vo nhng d liu trong qu kh. Mt trong nhng iu quan tm ca tt c mi ngi l d bo gi vng, nhm phc v cho cng vic kinh doanh c nhn, t chc hay hoch nh chin lc ca mt quc gia. Nh vy tm ra c m hnh d bo nhng bin ng ca gi vng trn th gii v trong nc c mt ngha v cng quan trng. Trong gii hn ca ti ny chng ti xut m hnh ARIMA d bo gi vng. S lc v cc vn ca d bo v phng php Mt cch phn loi vn d bo l quan tm n thang thi gian lin quan n d bo, c ngha l d bo n thi gian no trong tng lai. Ngn, trung v di hn l loi thng thng, nhng d bo ny mang tnh cht xu hng v chin lc. Phng php d bo c th c chia thnh vi cch khc nhau: Phng php nh tnh khi khng c mt cng thc ton hc chnh thc no, thng do d liu sn c khng c xem nh l i din cho tng lai (d bo di hn) Phng php hi quy l s m rng ca hi quy tuyn tnh khi m mt bin c c xem l lin quan tuyn tnh n s lng cc bin c khng ph thuc khc. Cc phng php gii thng qua h phng trnh khi s bin c ph thuc tng tc vi nhau thng qua mt loi phng trnh (nh trong m hnh kinh t) Phng php theo chui thi gian, khi chng ta c mt bin s thay i theo thi gian v gi tr tng lai ca n c lin quan n gi tr trong qu kh. II. S liu Ngun s cp nht giao dch gi vng Ngn hng EXIMBANK S liu gi vng bn ti ti Sn giao dch s I . TP H Ch Minh t ngy 02/01/2007 n ngy 09/01/2007

III. C s l thuyt Phng php phn tch theo chui thi gian m hnh ARIMA Nm 1976 George Box v Gwilym Jenkins nghin cu m hnh ARIMA (Autoregressive Integrated Moving Average - T hi qui tch hp Trung bnh trt), v tn ca h thng c dng gi tn cc qu trnh ARIMA tng qut, p dng vo vic phn tch v d bo cc chui thi gian. Phng php Box-Jenkins vi bn bc lp: - Nhn dng m hnh th nghim - c lng - Kim nh bng chn on - D bo.

3.1.1 C s l thuyt Cc phng php ny lin quan ti bin s thay i theo thi gian v c th ni l ch ph thuc vo thi gian hin ti v gi tr trc y n c (c ngha l, n khng ph thuc vo bt k bin s no hoc yu t bn ngoi no). Nu Yt l gi tr ca bin s ti thi im t, sau phng trnh cho Yt l Yt = f(Yt-1, Yt-2, ..., Y0, t) C ngha l, gi tr ca bin s ti thi im t n thun l phng trnh gi tr trc v thi gian, khng c bin s no/yu t no l lin quan n bin s ny. Mc ch ca phng php phn tch theo chui thi gian l tm ra bn cht ca phng trnh f, v v vy cho chng ta d bo gi tr cho Yt Phng php chui thi gian c bit tt cho d bo ngn hn, khi hnh vi trong qu kh ca mt bin s c th l mt ch tiu tt cho hnh vi trong tng lai ca n, t nht trong ngn hn. Mc ch ca phn tch l thy r mt s mi quan h gia gi tr Yt c quan st n nay cho php chng ta d bo gi tr Yt trong tng lai. 2.1.2 Nhn dng m hnh Xt tnh dng ca chui s liu iu trc tin cn phi lu l hu ht cc chui thi gian u khng dng, v cc thnh phn AR v MA ca m hnh ARIMA ch lin quan n cc chui thi gian dng. Qu trnh ngu nhin ca Yt c xem l dng nu trung bnh v phng sai ca qu trnh khng thay i theo thi gian v gi ng phng sai gia hai thi on ch ph thuc vo khong cch tr v thi gian gia cc thi on ny ch khng ph thuc vo thi im thc t m ng phng sai c tnh. - Trung bnh E(Yt) = = const - Phng sai Var(Yt) = 2 = const - ng phng sai: Covar(Yt, Yt-k) = gk Tnh dng ca mt chui thi gian c th c nhn bit da trn th ca chui thi gian, th ca hm t tng quan mu hay kim nh Dickey Fuller - Da trn th Yt = f(t) mt cch trc quan chui Yt c tnh dng nu th hm s cho trung bnh v phng sai ca gi tr Yt khng thay i theo thi gian. - Da vo hm t tng quan mu (SAC) Cov(Yt , Yt k ) (Yt Y )(Yt k Y ) k = = Var(Yt ) (Yt Y )2 Nu SAC=f(t) ca chui thi gian gim mnh v tt dn v 0 th chui c tnh dng. Kim nh Dickey-Fuller (kim nh nghim n v) nhm xc nh xem chui thi gian c phi l Bc Ngu Nhin (Random Walk; ngha l Yt = 1*Yt-1 + et) hay khng. Nu chui l Bc Ngu Nhin th khng c tnh dng. Tuy nhin, Nu chui khng c tnh dng th cha chc l Bc Ngu Nhin. bin i chui khng dng thnh chui dng, thng thng nu ly sai phn mt ln hoc hai ln th s c mt chui kt qu c tnh dng. Chui gc: Yt Chui sai phn bc 1: Wt = Yt Yt-1 Chui sai phn bc 2: Vt = Wt Wt-1

M hnh ARIMA Theo Box- Jenkin mi qu trnh ngu nhin c tnh dng u c th biu din bng m hnh T Hi Qui Kt Hp Trung Bnh Trt ARIMA. - M Hnh T Hi Qui Bc p - AR(p) Trong m hnh t hi qui qu trnh ph thuc vo tng c trng s ca cc gi tr qu kh v s hng nhiu ngu nhin Yt = 1Yt-1 + 2Yt-2 + ...+pYt-p + +t - M Hnh Trung Bnh Trt Bc q MA(q) Trong m hnh trung bnh trt, qu trnh c m t hon ton bng tng c trng s ca cc ngu nhin hin hnh c tr

Yt = +t 1t-1 2t-2 ...qt-q

- M Hnh Hi Quy Kt Hp Trung Bnh Trt - ARIMA(p,d,q) Phng trnh tng qut ca m hnh ARIMA l: Yt = 1Yt-1 + 2Yt-2 + ...+pYt-p + +t 1t-1 2t-2 ...qt-q Nhn dng m hnh Nhn dng m hnh ARIMA(p,d,q) l tm cc gi tr thch hp ca p, d, q. Vi d l bc sai phn ca chui thi gian c kho st, p l bc t hi qui v q l bc trung bnh trt. Vic xc nh p v q s ph thuc vo cc th SPAC = f(t) v SAC = f(t). Vi SAC c gii thiu trn v SPAC l T Tng Quan Ring Phn Mu (Sample Partial AutoCorrelation); ngha l tng quan gia Yt v Yt-p sau khi loi b tc ng ca cc Y trung gian. - Chn m hnh AR(p) nu th SPAC c gi tr cao ti tr 1, 2, ..., p v gim nhiu sau p v dng hm SAC gim dn. - Chn m hnh MA(q) nu th SAC c gi tr cao ti tr 1, 2, ..., q v gim nhiu sau q v dng hm SPAC gim dn c lng cc thng s ca m hnh ARIMA(p, d, q) Cc thng s fi v qj ca m hnh ARIMA s c xc nh theo phng php bnh phng ti thiu (OLS-Ordinary Least Square) sao cho: Kim tra chn on m hnh Sau khi xc nh p, d, q v cc fi , qj; ngha l xc nh c phng trnh cho m hnh ARIMA, iu cn phi lm l tin hnh kim nh xem s hng et ca m hnh c phi l mt nhiu trng (white noise, nhiu ngu nhin thun ty) hay khng. y l yu cu ca mt m hnh tt. V mt l thuyt, et c to ra bi qu trnh nhiu trng nu: - t tun theo phn phi chun - Cov(t , t-k) = 0 Vic kim nh tnh nhiu trng s da trn th SAC ca chui et. D bo Da trn phng trnh ca m hnh ARIMA, tin hnh xc nh gi tr d bo im v khong tin cy ca d bo. D bo im: Y t Khong tin cy: ( ) ( ) Y t k < Y < Y t + k Vi tin cy 95%, k =2.

IV. M hnh v phng php nghin cu th biu din gi vng

1700 1600 1500 1400 1300 1200 1100 50 100 150 PG

Thng k m t d liu S quan st Trung bnh lch chun Gi tr ln nht Gi tr nh nht Khong Trung v Max (Yt Yt-1) 278 1334.486 104.4295 1640 1190 439 1298 60

200

250

Nh vy s bin ng gi vng trong ton b gi tr quan st din ra kh mnh, Khong giao ng gia 2 ngy lin tip ln nht l 60 nghn ng 2. Nhn dng m hnh ARIMA(p, d, q)

S dng kim nh Dickey-Fuller ta thy, chui d liu gi vng dng d = 0, c hy vng rng chui gi vng l mt chui ngu nhin.

H s tng quan SAC chn u tin 0.975 l rt mnh ngay c mc ngha 1%. H s tng quan cho nhng giai on u tin tt dn xung 0, v vy ta c th kt lun dy ny l tnh. V vy ta s dng m hnh AR(1). H s tng quan mu SPAC s u tin l 0.985 gim xung di mc 5% s th 2 v gim dn. V vy ta c thm m hnh MA(1) M hnh ARIMA kin ngh l (1,0,1). ngoi ra ta cng c th tham kho thm cc m hnh (1,1,1) v (1,2,1). 7

2.2. c lng cc tham s C bn c hai cch c lng nhng tham s , , , : 1. S dng Eview chy hi quy cc dng m hnh ARIMA.Xem xt nhiu gi tr khc nhau v chn gi tr (hay tp gi tr, nu c lng nhiu hn mt tham s) sao cho tng ca nhng bnh phng phn d t gi tr nh nht. Bng 2.1. Kt qu cc tham s ca cc m hnh c c lng1 M hnh 1 DS12.inf Coef. inf _cons ARMA Ma L1. ARMA12 Ma L1. M hnh 2 DS12.inf Coef. inf _cons ARMA ar L1. ARMA12 ar L1. M hnh 3 DS12.inf Coef. R2 _cons ARMA ar L1. ma L1. ARMA12 ar L1. ma L1.

2.3. Kim nh m hnh Sau khi c lng cc tham s ca mt m hnh ARIMA c nhn dng th, chng ta cn phi kim nh kim nghim rng m hnh l thch hp. C hai cch thc c bn thc hin iu ny: 1. Xem xt nhng phn d - xem n theo dng no cha c bit khng. 2. Xem xt nhng thng k ly mu ca gii php ti u hin ti (sai s chun, ma trn tng quan...)-kim tra xem c th n gin ho m hnh khng. Bng 2.2. Kt qu cc thng s kim nh Model M hnh 1 M hnh 2 M hnh 3 Obs Chi-Square ll(model) df AIC BIC

Da vo Bng 2.1 v Bng 2.2 vi cc tiu chun kim nh c la chn l z, Chi-Square ( 2 ), AIC (Akaike Information Criterion) v BIC (Bayesian Information Criterion), m hnh ph hp nht v c la chn l M hnh . 2.4. D bo bng m hnh ARIMA
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S dng phn mm Stata

M hnh ARIMA (1,0,1) Tuy nhin, s dng mt m hnh c nhn dng cho d bo, cn phi m rng m hnh (2.8) tr thnh: Yt = 1Yt + +t 1t Khi s dng phng trnh ny d bo mt thi on tip theo - ngha l, Yt+1 chng ta tng nhng ch s ln mt, t u n cui, nh trong phng trnh (2.9). Yt+1 = 1Yt-1 + +t+1 1t-1 (2.10) S hng t+1 s khng bit c v gi tr k vng ca nhng sai s ngu nhin tng lai bng 0, nhng t m hnh thch hp, chng ta c th thay th nhng gi tr t i vi nhng gi tr Y ban u ca qu trnh d bo, chng ta s bit nhng gi tr Yt,. Tuy nhin, sau mt lc, nhng gi tr Y trong phng trnh (2.10) s l nhng gi tr c d bo ch khng phi l nhng gi tr qu kh. V vy cc gi tr thc t cn phi c cp nht lin tc ci thin tin cy ca cc gi tr d bo. V. Ti liu tham kho 1. Webside: www.eximbank.com.vn (Ngn hng EXIMBANK) 2. H thng d bo iu khin k hoch ra quyt nh Loan L. Nh xut bn thng k nm 2000. 3. Kinh t lng ng dng tc gi Nguyn Thng. Nh xut bn i Hc Quc Gia. TP-HCM nm 2000. 4. Nhp mn kinh t lng vi cc ng dng Ramu Ramanathan, Ngi dch Thc oan/Cao Ho Thi
Dependent Variable: PG Method: Least Squares Date: 12/07/07 Time: 02:38 Sample(adjusted): 2 278 Included observations: 277 after adjusting endpoints Convergence achieved after 52 iterations Backcast: 1 Variable Coefficient Std. Error t-Statistic C 3591.058 27228.14 0.131888 AR(1) 0.999489 0.006161 162.2197 MA(1) 0.003581 0.061090 0.058627 R-squared 0.989968 Mean dependent var Adjusted R-squared 0.989895 S.D. dependent var S.E. of regression 10.49816 Akaike info criterion Sum squared resid 30197.91 Schwarz criterion Log likelihood -1042.820 F-statistic Durbin-Watson stat 1.993379 Prob(F-statistic) Inverted AR Roots 1.00 Inverted MA Roots -.00

Prob. 0.8952 0.0000 0.9533 1334.856 104.4359 7.551048 7.590297 13519.90 0.000000

1700 1600 1500 1400 1300 1200 1100 50 100 150 PGF 200 250

Forecast: PGF Actual: PG Forecast sample: 1 278 Adjusted sample: 2 278 Included observations: 277 Root Mean Squared Error Mean Absolute Error Mean Abs. Percent Error Theil Inequality Coefficient Bias Proportion Variance Proportion Covariance Proportion 10.44116 7.056627 0.514847 0.003899 0.000001 0.004560 0.995439

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60 50 40 30 20 10 0 -25 0 25 50

Series: Residuals Sample 2 278 Observations 277 Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability 0.008285 -0.163867 58.87175 -34.09930 10.46005 0.271251 7.442693 231.2007 0.000000

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