1

Mc lc ..................................................................................................................................1
GII THIU CHUNG...........................................................................................................4
1.Mc ch nghin cu ti:................................................................................................4
2. i tng nghin cu: .......................................................................................................4
3. Phng php nghin cu: ..................................................................................................5
4.B cc: ................................................................................................................................5
CHNG 1:C S L THUYT .......................................................................................6
1.Khi qut th trng chng khon ......................................................................................6
1.1.Chng khon ........................................................................................................6
1.2.Th trng chng khon.......................................................................................6
2.M hnh hm hi quy tng th ............................................................................................7
2.1.M hnh................................................................................................................7
2.2.Cc gi nh OLS.................................................................................................7
2.3.Gi nh b sung ca OLS ...................................................................................7
2.4.Hm hi quy mu.................................................................................................7
3.M hnh ARIMA: Phng php Box-Jenkins ....................................................................8
3.1.Tnh dng.............................................................................................................8
3.2.M hnh ARIMA..................................................................................................9
3.2.1.M hnh t hi quy bc p AR(p)........................................................9
3.2.2.M hnh trung bnh trt bc q MA(q)..............................................9
3.2.3.M hnh t hi quy kt hp trung bnh trt ARIMA(p,d,q) ............9
3.2.3.1.Nhn dng m hnh ....................................................................9
3.2.3.2.c lng cc thng s ca m hnh ARIMA(p,d,q)................10
3.2.3.3.Kim tra chn on m hnh ......................................................10
3.2.3.4.D bo: .......................................................................................11
4.M hnh ARCH:..................................................................................................................11
4.1 L thuyt m hnh ARCH....................................................................................11
4.2.Kim nh tnh ARCH .........................................................................................13
CHNG 2:
PHN TCH XU HNG V CC NHN T NH HNG TH TRNG
CHNG KHON VIT NAM .............................................................................................15

1.Lch s hnh thnh v pht trin .........................................................................................15

2.Cc giai on pht trin ca th trng chng khon .........................................................16
3.S lin thng gia VNINDEX v cc ch s chng khon trn th gii ............................17
CHNG 3:P DNG CC M HNH D BO CHO CHUI VNINDEX .................21
1.ng dng m hnh ARIMA v ARCH d bo chui VNindex:....................................21
1.1.Nhn dng m hnh:.............................................................................................21
1.2.Chuyn i chui gc VNINDEX thnh chui dng. .....................................22
1.3.Xc nh m hnh ARIMA ..................................................................................22
1.4.M hnh AR(1).....................................................................................................23
1.4.1.c lng m hnh AR(1)....................................................................23
1.4.2.Kim nh phn d................................................................................24
1.4.3.Cc ch tiu d bo v gi tr d bo: ...................................................25
1.5.M hnh AR(2).....................................................................................................26
1.5.1.c lng m hnh AR(2)....................................................................26
1.5.2.Kim nh phn d................................................................................27
1.5.3.Cc ch tiu d bo v gi tr d bo: ...................................................27
1.6.M hnh ARIMA(1,1,1) .......................................................................................28
1.7.M hnh ARCH....................................................................................................30
1.7.1.Kim nh nh hng ca Arch vi m hnh AR(2) ............................30
1.7.2.c lng ARCH(1) ............................................................................31
2.Kt hp m hnh hi quy,ARIMA,ARCH d bo Vnindex ..........................................31
2.1.Nhn dng: ...........................................................................................................31
2.2.c lng ............................................................................................................32
2.3.Kim nh F_test, t_test v kim nh Wald........................................................32
2.4.Kim nh phn d...............................................................................................33
2.4.1. th phn phi chun ca phn d ....................................................33
2.4.2.Kim nh Kolmogorov-Smirnov:........................................................34
2.5.Kt hp ARIMA, ARCH vo m hnh hi quy ...................................................35

3
CHNG 4:NHN NH TH TRNG, KIN NGH, NHNG MT CN HN
CH V HNG PHT TRIN CHO M HNH .............................................................36
1.Nhn nh th trng: .........................................................................................................36
2.Kin ngh:............................................................................................................................37
3.Nhng mt hn ch: ............................................................................................................38
4.Hng nghin cu pht trin t m hnh:...........................................................................38
PH LC...............................................................................................................................39
PH LC 1:D LIU THEO TUN CA VNINDEX, S&P500, DAX, KOSPI,
STRAINTS TIMES, CAC, FTSE100....................................................................................39
PH LC 2:KT QU NGHIN CU M HNH ARIMA,ARCH I VI CH S
S&P500 ..................................................................................................................................43
PH LC 3:KT QU NGHIN CU M HNH ARIMA,ARCH I VI CH S
KOSPI ....................................................................................................................................48
PH LC4:KT QU NGHIN CU M HNH ARIMA,ARCH I VI CH S
DAX.......................................................................................................................................52
PH LC 5:KT QU NGHIN CU M HNH ARIMA,ARCH I VI CH S
TRAINTS TIMES..................................................................................................................66
PH LC 6:KT QU NGHIN CU M HNH ARIMA,ARCH I VI CH S
CAC .......................................................................................................................................60
PH LC 7:KT QU NGHIN CU M HNH ARIMA,ARCH I VI CH S
FTSE100 ................................................................................................................................64
TI LIU THAM KHO .....................................................................................................68

GII THIU CHUNG

1.Mc ch nghin cu ti:
- H thng ti chnh lun c xem l trung tm ca nn kinh t. N bao gm th
trng tin t v th trng vn. Trong qu trnh hi nhp, vic pht trin th trng vn
l vn c ng v Chnh Ph t mc tiu pht trin lu di v bn vng. Do th
trng vn rt quan trng v c th hin r nt qua th trng chng khon. Tuy nhin
th trng chng khon rt phc tp v vic pht trin n v cng kh khn
- Nn vn t ra lm sao nhn nh chnh xc c chiu hng ca th
trng. Chiu hng ny c th hin r qua ch s chng khon ca Vit Nam: ch s
VNINDEX. V vy chng ta phi c tm nhn r nt hn v c c cc nhn nh chnh
xc hn thng qua vic s dng cc m hnh d bo c th xc nh c hng pht
trin tt nht cho th trng chng khon.

2. i tng nghin cu:

ti nghin cu s dng 147 quan st ca ch s VNINDEX, S&P500, DAX,

KOSPI, STRAINTS TIMES, CAC, FTSE100 theo tun t ngy 31/7/2006 n

18/5/2009.

Mc tiu:
-Xy dng m hnh d bo di hn v ch s VNINDEX ti thnh ph H Ch
Minh thng qua vic s dng s liu theo tun ca VNINDEX.
-Xc nh c ch s chng khon ca nc no tc ng mnh n VNINDEX
-Xc nh c phn no cc nhn t nh hng n VNINDEX
V vy, ti nghin cu phi tr li c 2 cu hi sau:

5
-M hnh no ph hp d bo VNINDEX
-Nhn t no thc s tc ng n VNINDEX trong khong thi gian t t ngy
31/7/2006 n 18/5/2009.

3. Phng php nghin cu:

tin cho vic phn tch d liu v d bo VNINDEX ti dng 3 phng php
m ti cho l hiu qu:
-M hnh ARIMA (autoregressive Intergrated Moving Average)
-M hnh ARCH (autoregressive Conditional Heteroskedasticiy)
-M hnh nhn qu kt hp ARIMA v ARCH
V ti liu ti s dng c ly t ngun http://www.fpts.com.vn ca cng ty
chng khon fpt v http://finance.yahoo.com

4.B cc:
GII THIU CHUNG
CHNG 1:C S L THUYT
CHNG 2:
PHN TCH XU HNG V CC NHN T NH HNG TH TRNG
CHNG KHON VIT NAM
CHNG 3:P DNG CC M HNH D BO CHO CHUI VNINDEX
CHNG 4:NHN NH TH TRNG, KIN NGH, NHNG MT CN HN
CH V HNG PHT TRIN CHO M HNH

CHNG 1:C S L THUYT

1.Khi qut th trng chng khon:

1.1.Chng khon:
-Chng khon l mt gi tr ti chnh i din bng li sut c th tha thun v
c th thay th. Ni chung, chng khon gm hai loi l chng khon c phn (equity
securities) v chng khon n (debt securities). Ngoi ra cn c loi chng khon lai gia
hai loi trn. cc nn kinh t pht trin, loi chng khon n l th c t trng giao
dch p o trn cc th trng chng khon. Cn nhng nn kinh t km pht trin, ni
m th trng chng khon mi c thnh lp, th loi chng khon c phn li chim
t trng giao dch ln hn. iu ny gii thch ti sao Vit Nam cui thp nin 1990 v
u thp nin 2000, th trng chng khon c nhiu ngi hiu l ni trao i cc c
phiu.
-Cng ty hay t chc pht hnh chng khon c gi l i tng pht hnh.
-Chng khon c th c chng nhn bng mt t chng ch (certificate), bng
mt bt ton ghi s (book-entry) hoc d liu in t.
1.2.Th trng chng khon:
-Th trng chng khon: l mt th trng m ni ngi ta mua bn,
chuyn nhng, trao i chng khon nhm mc ch kim li. Tuy nhin, c th l
TTCK tp trung hoc phi tp trung.
-Tnh tp trung y l mun ni n vic cc giao dch c t chc tp trung
theo mt a im vt cht.Hnh thi in hnh ca TTCK tp trung l S giao dch chng
khon ( Stock exchange). Ti S giao dch chng khon (SGDCK), cc giao dch c
tp trung ti mt a im; cc lnh c chuyn ti sn giao dch v tham gia vo qu
trnh ghp lnh hnh thnh nn gi giao dch.

7
-TTCK phi tp trung cn gi l th trng OTC (over the counter). Trn th
trng OTC, cc giao dch c tin hnh qua mng li cc cng ty chng khon phn
tn trn khp quc gia v c ni vi nhau bng mng in t. Gi trn th trng ny
c hnh thnh theo phng thc tho thun.

2.M hnh hm hi quy tng th:

2.1.M hnh:
Yi 0 1 X 1 2 X 2 ... k X k i

Cc h s gi l h s hi quy ring
X 1 , X 2 , X 3 ,... X k :cc bin gii thch ca m hnh
Yt =Bin c lp

: bin ngu nhin v tun theo quy lut phn phi chun
2.2.Cc gi nh OLS cho m hnh hi qui tuyn tnh n c gii thch trong m hnh
hi qui bi: cc gi nh ny lin quan n thnh phn nhiu ngu nhin ( i )
-Gi tr k vng ca i bng khng
-Khng c tng quan chui (khng c t tng quan)
-Phng sai ng nht => var ( i ) = 2
-Nhiu ngu nhin khng c tng quan vi cc X
-Khng nhn dng sai m hnh

2.3.Gi nh b sung ca OLS cho m hnh hi qui bi

Cc bin hi qui ny khng c hin tng a cng tuyn hon ho.Tc l, khng
tn ti tp hp cc h s tha mn biu thc sau vi mi i:
1 1 X 1i 2 X 2i ... k X ki 0

2.4.Hm hi quy mu
Yi 0 1 X 1 2 X 2 ... k X k e

3.M hnh ARIMA: Phng php Box-Jenkins

3.1.Tnh dng:
-Yu t xu th c tch ra khi d liu bng cch ly sai phn bc 1 hay bc 2
ty vo d liu v sau nhn dng mt s m hnh d nh. M hnh c th trnh by
theo dng AR, MA hay ARIMA. Phng php nhn dng thng thc hin qua nghin
cu chiu hng bin i hm tng quan t ng ACF hay hm tng quan t ng
tng phn PACF
-u tin chuyn d liu thnh chui dng
-Mt qu trnh ngu nhin Yt nu nh trung bnh v phng sai ca mt qu trnh
khng thay i theo thi gian v gi tr ng phng sai gia hai thi on ch ph thuc
vo khong cch hay tr v thi gian gi hai thi on ny ch khng ph thuc vo
thi im thc t m ng phng sai c tnh
-C th:
Trung bnh: E( Yt ) = = const
Phng sai: Var( Yt )= 2 = const
ng phng sai: Covar( Yt , Yt k )= k
-Tnh dng ca chui thi gian c th nhn bit da trn th ca chui thi
gian, th ca hm t tng quan mu hay kim nh Dickey-Fuller
-Da trn th Y= f(t), mt cch trc quan chui Yt c tnh dng nu nh th
cho thy trung bnh v phng sai ca qu trnh Yt khng i theo thi gian.
-Da vo hm t tng quan mu ACF. Nu ACF = f(t) gim nhanh v tt dn v
0 th chui c tnh dng
-Kim nh Dick-Fuller (kim nh n v) nhm xc nh xem chui thi gian c
phi ngu nhin (Random Walk, ngha l Yt = 1* Yt 1 + t ) hay khng. Nu chui l bc

9
ngu nhin th khng c tnh dng. Tuy nhin nu chui khng c tnh dng 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 chui c tnh dng
Chui gc: Yt
Chui sai phn bc mt: Wt Yt Yt 1
Chui sai phn bc hai: Vt Wt Wt 1

3.2.M hnh ARIMA

Theo Box-Jenkins mt qu trnh ngu nhin c tnh dng c th biu din bng
m hnh T hi quy kt hp Trung bnh trt ARIMA

3.2.1.M hnh t hi quy bc p AR(p)

Trong m hnh t hi quy qu trnh ph thuc vo tng c trng s ca cc gi tr
qu kh v s hng ngu nhin hin hnh theo tr.
Yt 1Yt 1 2Yt 2 ... pYt p

3.2.2.M hnh trung bnh trt bc q MA(q)

Trong m hnh trung bnh trt, qu trnh c m t hon ton bng tng cc gi
tr qu kh v s hng ngu nhin hin hnh theo tr
Yt 1 t 1 2 t 2 ... q t q

3.2.3.M hnh t hi quy kt hp trung bnh trt ARIMA(p,d,q)

3.2.3.1.Nhn dng m hnh

10
-Nhn dng m hnh ARIMA(p,d,q) l tm cc gi tr thch hp ca p, d, q. Vi d
l sai phn ca chui thi gian kho st, p l bc t hi quy v q l bc trung bnh trt.
Vic xc nh p.q s ph thuc vo th PACF = f(t)
-Vi ACF l h s t tng quan v PACF l h s t hi quy tng phn mu;
ngha l t tng quan gia Yt v Yt-p sau khi loi b cc tc ng ca Y trung gian.
Chn m hnh AR(p) nu th PACF c gi tr cao ti tr 1,2,,p v gim nhiu sau
p v dng hm ACF gim dn.
-Chn m hnh MA(q) nu th ACF c gi tr cao ti cc tr 1,2,,q v
gim nhiu sau q v dng hm PACF gim dn
Tm li:
Loi m hnh

Dng th ACF=f(t)

Dng th PACF=f(t)

AR(p)

Gim dn

C nh p

MA(q)

C nh q

Gim dn

ARIMA(p,d,q)

Gim dn

Gim dn

3.2.3.2.c lng cc thng s ca m hnh ARIMA(p,d,q)

-Cc thng s v ca m hnh ARIMA s c xc nh theo phng php
bnh qun ti thiu (OLS Ordinary Least Square) sao cho:
^

(Yt Yt ) 2 Min
^

(Yt Yt )
3.2.3.3.Kim tra chn on m hnh
-Sau khi xc nh p,q,d v cc j , j . ; ngha l xc nh phng trnh cho m
hnh ARIMA, iu cn phi lm l tin hnh kim nh xem s hng t ca m hnh c
phi l mt nhiu trng (nhiu ngu nhin thun ty) hay khng. y l yu cu ca m
hnh tt.
-V mt l thuyt, t c to ra bi qu trnh nhiu trng nu:

11

t ~ N (0, 2 ) sao cho E ( t ) 0

t Cov( t , t k ) 0
-Vic kim nh nhiu trng da vo th ACF ca chui t
3.2.3.4.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: Yt
^

-Khong tin cy: Yt k ( t ) Y Yt k ( t )

4.M hnh ARCH:

4.1 L thuyt m hnh ARCH
-M hnh ARCH do Engle pht trin nm 1982 m hnh ny cho rng phng sai
ca hng nhiu ti thi im t ph thuc vo cc hng nhiu bnh phng cc giai on
trc. Engle cho rng tt nht chng ta nn m hnh ho ng thi gi tr trung bnh v
phng sai chui s liu khi nghi ng rng gi tr phng sai thay i theo thi gian. M
hnh n gin nh sau:
Yt = B1 + B2Xt + ut

(1.1)

-Trong Xt l mt vecto k x 1 cc bin gii thch v B2 l mt vecto k x 1 cc h

s. Thng thng ut c gi nh c phn phi chun vi trung bnh bng 0 v phng
sai khng i l

. Gi nh ny c vit nh sau:

ut ~ N (0,

(1.2)

- tng ca Engle bt u t s tht ng cho php phng sai ca cc hng

nhiu ph thuc vo cc gi tr qu kh, hay phng sai thay i theo thi gian. Mt cch
m hnh ho tng ny l cho phng sai ph thuc vo cc bin tr ca cc hng
nhiu bnh phng. iu ny c th c minh ho nh sau:

12
=

(1.3)

-Phng trnh (1.3) c gi l qui trnh ARCH (1) v tng ny cng tng t
nh tng m hnh ARIMA.
- M hnh ARCH (1)
- M hnh ARCH (1) s m hnh ho ng thi gi tr trung bnh v phng ca
mt chui thi gian nh cch c xc nh sau y:
Yt = B1 + B2Xt + ut

(1.4)

ut ~ N (0, ht)
ht =

(1.5)

- y phng trnh (1.4) c gi l phng trnh c lng gi tr trung bnh

v phng trnh (1.5) c gi l phng trnh c lng phng sai. n gin cho
vic th hin cng thc ca phng trnh phng sai ta th hin k hiu ht thay cho

M hnh ARCH (1) cho rng khi c mt c sc ln giai on t-1 th gi tr ut cng s

ln hn. Ngha l khi
lng

ln/ nh th phng sai ca ut cng s ln/ nh. H s c

phi c du dng v phng sai lun dng.

- M hnh ARCH (q)
-Thc t phng sai c iu kin c th ph thuc khng ch mt tr m cn

nhiu tr trc n na, v mi trng hp c th to ra mt quy trnh ARCH khc

nhau. V d ARCH (2) s c th hin nh sau:
Yt = B1 + B2Xt + ut
ut ~ N (0, ht)
ht =

v m hnh ARCH (3) s l:

Yt = B1 + B2Xt + ut
ut ~ N (0, ht)
ht = +

13
v trng hp tng qut s l ARCH (q) c th hin nh sau:
Yt = B1 + B2Xt + ut
ut ~ N (0, ht)
ht =

M hnh ARCH (q) s m hnh ho ng thi gi tr trung bnh v phng sai ca

mt chui cc h s c lng

phi c du dng v phng sai lun dng.

4.2.Kim nh tnh ARCH

-Trc khi c lng cc m hnh ARCH (q), iu quan trng l chng ta cn
kim tra xem c tn ti cc nh hng ARCH hay khng bit cc m hnh no cn c
lng theo phng php ARCH thay v theo phng php c lng OLS. Kim nh
nh hng ARCH s c thc hin theo qui trnh nh sau:
Bc 1: c lng phng trnh trung bnh theo phng php OLS
Yt = B1 + B2Xt + et
Lu , cc bin gii thch c th bao gm cc bin tr ca bin ph thuc v cc bin gii
thch khc c nh hng n Yt. Ngoi ra, khi thc hin vi d liu mu, th hng nhiu
ut trong m hnh (15.11), c i thnh phn d et.
Bc 2: c lng phng trnh hi qui ph sau y:
=

+ +

+ wt

Xc nh h s xc nh ca m hnh hi qui ph, t tn l R2.

Bc 3: Xc nh gi thit H0 nh sau:
H0 =

==

T kt qu hi qui ph ta tnh R2*T, vi T l s quan st ca chui d liu ang c

xem xt. Thng k ny s theo phn phi chi 2 vi s bc t do l s tr q (do
trong phng trnh hi quy l mt tng ca q thnh phn ly bnh phng). Nu gi tr
thng k 2 tnh ton (R2 *T) ln hn gi tr 2 ph phn ( theo hm CHIINV ( ,d.f.)), th

14
chng ta bc b gi thit H0, v ngc li. Nu bc b gi thit H0, th ta c th kt lun
rng chui d liu ang xt c nh hng ARCH.

15

CHNG 2:

PHN TCH XU HNG V CC NHN T NH

HNG TH TRNG CHNG KHON VIT
NAM

1.Lch s hnh thnh v pht trin:

-Nhm mc ch xy dng mt knh huy ng vn mi, trong nhng nm u
thp k 90 (th k 20),ng v Chnh ph Vit Nam nghin cu, xy dng n thnh
lp TTCK.
-Ngy 6/11/1993 Thng c Ngn hng Nh nc Vit Nam ra quyt nh s
207/QD-TCCB v vic thnh lp Ban Nghin cu xy dng v pht trin th trng vn
thuc Ngn hng Nh nc.
-Thng 9/1994, Chnh ph quyt nh thnh lp Ban soan tho Php lut v
chng khon v TTCK.
-28/11/1996 theo ngh nh s 75/CP ca Chnh Ph thnh lp y ban Chng
Khon Nh nc (UBCKNN)
-28/7/2000 th trng chng khon Vit Nam chnh thc i vo hot ng vi
phin giao dch u tin. Mi u ch c 3 m chng khon c nim yt trn trung tm
giao dch chng khon Tp. H Ch Minh (tin thn ca s giao dch chng khon Tp.H
Ch Minh). n nay sau hn 8 nm hot ng trn 2 sn HOSE v HASTC c gn 300
m c phiu c nim yt.
-Theo quy nh th ch s chng khon ca sn giao dch HOSE c ly lm chi
s ca th trng chng khon Vit Nam (VNINDEX)
-Ch s VN-Index chng minh s tng trng nhanh chng ca th trng.

16
2.Cc giai on pht trin ca th trng chng khon
Nu trong phin giao dch u tin ngy 28/7/2000, VN-Index mc 100 im
th vo ngy 28/2/2007, l 1136 im, tng 11 ln so vi ngy gc. TTCKVN cho ti u
nm 2009 tri qua nhiu giai on thng trm
-Giai on u t khi ra i cho n ht nm 2000, ch s chng khon VN-Index
tng phi m t 100 im ln 571 im - gp trn 5,7 ln trong vng 6 thng.
-Giai on th hai bt u t nm 2001 n gia nm 2004, ch s VN-Index gn
nh ri t do t 571 im xung cn trn 130 im.
-Giai on th ba, t na cui nm 2004, ch s VN-Index b dn ln trn 200
im v n ht nm 2005, vt qua mc 300 im.
-Giai on th t, t nm 2006 l giai on st nng, khi phin giao dch u nm
mi c 304 im, th n ngy 25/4 vt ln nh im 632,69 im, trong gi c
phiu ca bn cng ty nim yt hng u vt mc 100 nghn ng/c phiu, tc gp
trn 10 ln mnh gi.
-Giai on th nm bt u t cui thng 5/2006, ch s VN-Index li lao
xung cn khong 500 im. Gi tr giao dch chng khon trung bnh mt phin ti
Trung tm Giao dch Chng khon TP HCM (nay l S Giao dch Chng khon TP.
HCM), nu thng 3 mi t 92,4 t ng, th thng 4 t 156 t ng, nhng thng 5, li
gim xung cn 104 t ng, thng 6 ch cn 60 t - trong tun cui thng 6 cn 53,7
t ng, thm ch mt s phin ch cn 30 - 40 t ng.
-Giai on th su, TTCK 6 thng u nm 2007 pht trin i ln, VN-Index bt
ph ngon mc, vi th i ln gn nh thng ng, t u thng 1 n gia thng 3
nm 2007, VN-Index tng n trn 55% v t mc k lc 1.174,22 im. Sau l
giai on iu chnh mnh t gia thng 3 n cui thng 4/2007, VN-Index tt dc n
trn 20%; v phc hi t cui thng 4 n cui thng 6/2007 vi mc tng trng khong
15%. n cui thng 7/2007, VN-Index dao ng xung quanh ngng 1.000 im (n
gia thng 5/2007 ln 1.060 im), tng hn 10 ln so vi nm 2000.
-Giai on t cui nm 2007 n nay, VN-Index st gim lin tip v gim cn
399.66 im vo ngy 4/6/2008. Cha dng ngy 5/12/2008 VN-Index ch cn

17
299.68,chnh thc rt di mc 300 im. n ngy 10/12/2008 VN-Index li tip tc
rt xung cn 286.85. y l mc thp im nht k t ngy 14/10/2005. n u thng
1/2009 VN-Index leo ln c mc 300 im v c dao ng xung quanh mc
ny.Nhng n thng 5/2009 VN-Index vt mc 500 im v c xu hng tng dn

3.S lin thng gia VNINDEX v cc ch s chng khon trn th gii:

Theo nghin cu ca stox.vn th thc s c mi lin h gia VNindex v cc ch
s chng khon trn th gii.Ti xin trch dn bi nghin cu ca stock.vn nh sau:
-Trong bi cnh nn kinh t th gii c ton cu ho cp cao nh hin
nay th cc din bin trn th trng chng khon M u c nh hng n hng lot
cc th trng khc trn th gii.
-V d ch s Nikkei 225 ca Nht bn v Hangseng ca Hng Kng lun bm st
ch s S&P 500 i din cho th trng M. Vy VN-Index phn ng ra sao mi khi
chng khon th gii tng, gim?
-Stox.vn nhn li din bin th trng t thng 1/2007 cho n thng 8/2008
cho thy trong nm 2007, chng khon Vit Nam hu nh lnh cm vi th gii, ch s
tng quan correlation ca nm mc rt thp l 10,9%. iu ny c ngha l nu S&P
500 tng im, th ch c 11% kh nng l VN-Index tng im theo. T nm 2008 n
nay, th trng chng khon Vit Nam c mc c phn ng cao hn, ch s tng
quan correlation tng ln mc 25% trong nm 2008 v ang mc 40% trong nm
2009.
Mi tng quan gia cc ch s vi S&P 500

18

Ngun: Stox.vn
-So vi cc th trng khc trong khu vc, ch s tng quan ca Nikkei 225 ca
Nht bn vi S&P 500 l rt mnh mc 80%, Kuala Lumpua vi S&P 500 l 52%, v
Jakarta vi S&P 500 l 59%. Chng ta c th ni mi lin h ca VN-Index vi chng
khon th gii l cn yu, nhng ang c xu hng gia tng.
-Do vy nh u t cng cn phi theo di v nm bt c cc s kin nh
hng ti cc th trng chng khon chnh trn th gii c bit l M, Nht bn v Ty
u v t c nhng quyt nh mua bn chng khon kp thi cng nh xc nh nh
hng u t khi c nhng du hiu thay i t cc th trng ln ny.
(Ngun:Stox.vn)
-Qua bi nghin cu ca stox.vn ta cng thy c mi lin quan gia Vnindex
v S&P500, t ti c tng pht trin bi nghin cu ny bng cch tm mi quan
h gia Vnindex v cc ch s chng khon ln trn th gii nh S&P500 (Hoa K), Dax
(c), KOSPI (Hn Quc), Straints times (Singapore), CAC(Php), ftse100 (Anh).
-Ch s S&P500 i din cho 500 cng ty ln ti Hoa K. Nn kinh t M lun c
s nh hng ln n nn kinh t trn ton th gii, S&P500 l mt trong nhng ch s
quan trng ti Hoa K, do khi ch s ny thay i th s c tc ng n hu ht cc
quc gia trn th gii.

19
-Ch s Dax l ch s chng khon quan trng nht ca S giao dch chng khon
Frankfurt. Ch s ny c tnh da trn 30 loi c phiu Blue-Chip c giao dch S
giao dch chng khon Frankfurt ti c.
-Ch s ftse100 l ch s gm 100 cng ty ln nht nc anh v c nc Anh
c lit k trn London Stock Exchange, n c tm quan trng ln ti Anh.
-Ch s CAC l ch s chng khon ca Php, o lng 40 trong 100 cng ty ln
nht ti Php, cc cng ty ny c nim yt trn s giao dch chng khon Paris, khi ch
s ny thay i th c nh hng kh ln n th trng th gii.
-Ch s KOSPI gm 200 c phiu hng u trong s giao dich chng khon Korea
ti Hn Quc
.

-Ch s Straints Times da trn cc c phiu ca 30 cng ty i din c nim

yt trn s giao dch chng khon Singapore, cc cng ty ny u l cng ty ln, li

nhun hng nm ca cc cng ty ny kh cao, ch s ny c tm nh hng ln ti
Singapore.

20

CHNG 3:

P DNG CC M HNH D BO CHO CHUI

VNINDEX

1.ng dng m hnh ARIMA v ARCH d bo chui VNindex:

1.1.Nhn dng m hnh:

Hnh 1:M hnh hm xu th ca chui Vnindex

- th c xu hng gim xung trong thi gian ang xt nn chui VNINDEX
khng dng
- Phn tch th hm t tng quan-ACF v hm t tng quan-PACF ca d
liu gc VNINDEX ta c

21

Hnh 2: th ACF v PACF ca chui VNindex

-Bng ACF v PACF cho thy chui d liu gc khng phi l chui dng.
+ACF gim dn
+PACF gim ng k sau tr k=1,k=2
y l m hnh ar(1) hoc ar(2)

xc nh c chnh xc chui dng hay cha ta i kim nh Augmented DickeyFuller (nghim nh nghim n v i vi tnh dng) cho ta kt qu sau:

t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-1.830848

0.6847

Test critical values:

1% level

-4.022135

5% level

-3.440894

10% level

-3.144955

Theo kt qu trn ta thy t= -1.830848 c p_value=0.6847 kh ln (>0.05) nn ta chp

nhn gi thuyt H0, tc l chui VNindex khng dng.

22
1.2.Chuyn i chui gc VNINDEX thnh chui dng. Bng cch ly sai phn bc
mt

Hnh 3: th chui VNindex sau khi ly sai phn bc 1

1.3.Xc nh m hnh ARIMA
Ly sai phn bc 1 th hm t tng quan ACF v PACF c dng sau:

Hnh 4: th ACF v PACF ca chui VNindex sau khi ly sai phn bc 1

Ta thy ACF v PACF tt dn sau 1 tr nn c th xem l chui dng.

23
M hnh thch hp ca chui ny l ARIMA(1,1,1)
Nhng xc nh c chnh xc chui dng hay cha ta i kim nh Augmented
Dickey-Fuller (nghim nh nghim n v i vi tnh dng) cho ta kt qu sau:

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-7.430673
-4.022586
-3.441111
-3.145082

0.0000

Theo kt qu trn ta thy t= -7.430673 c p_value=0.0000 rt nh (<0.05) nn ta bc b gi

thuyt H0, tc l chui VNindex sau khi ly sai phn bc 1 dng.

1.4.M hnh AR(1)

1.4.1.c lng m hnh AR(1)
Dependent Variable: VNINDEX
Method: Least Squares
Date: 06/26/09 Time: 13:08
Sample(adjusted): 2 147
Included observations: 146 after adjusting endpoints
Convergence achieved after 5 iterations
Variable

Coefficient Std. Error

t-Statistic

Prob.

519.5170

616.5174

0.842664

0.4008

AR(1)

0.995013

0.009642

103.1975

0.0000

R-squared

0.986659

Mean dependent var

658.0197

Adjusted R-squared

0.986566

S.D. dependent var

288.3421

S.E. of regression

33.41998

Akaike info criterion

9.869789

Sum squared resid

160832.9

Schwarz criterion

9.910660

Log likelihood

-718.4946

F-statistic

10649.73

Durbin-Watson stat

1.085675

Prob(F-statistic)

0.000000

Inverted AR Roots

1.00

Hnh 5:Kt qu c lng m hnh AR(1)

24

Cc ch tiu ca sai s thng k nh AIC=9.869789, SC=9.869789,.. cho thy mc

ph hp ca m hnh l kh cao (cc ch s ny cng nh th d bo cng chnh xc) v
p_value ca m hnh=0.000000 rt nh nn m hnh ph hp.

1.4.2.Kim nh phn d

Hnh 6:Kim nh phn d m hnh AR(1)

Qua kt qu kim nh phn d trong m hnh AR(1) ta thy a s cc gi tr u nm

trong 2 ng gii hn do c th xem sai s l nhiu trng

25
1.4.3.Cc ch tiu d bo, gi tr d bo:

Hnh 7:Cc ch tiu d bo ca m hnh AR(1)

stt

vnindex

vnindexfar1

143

315.724

341.7688

144

317.01

316.7402

145

353.634

318.0198

146

380.016

354.4612

147

403.86

380.7116

148

404.4367

Hnh 8:Kt qu d bo bng m hnh AR(1)

Kt qu cho ta thy gi tr trung bnh ca VNindex t ngy 19/5/09 n 25/5/09 s
l 404.44 im.Vy tun 19/5/09->22/5/09 nhn chung VNindex c xu th tng v y
cng l biu hin tt cho nh u t trn th trng chng khon.

26

1.5.M hnh AR(2)

1.5.1.c lng m hnh AR(2)

Hnh 9: Kt qu c lng m hnh AR(2)

Cc ch tiu ca sai s thng k nh AIC=9.650321, SC=9.711909,.. cho thy mc

ph hp ca m hnh l kh cao (cc ch s ny cng nh th d bo cng chnh xc) v
p_value ca m hnh=0.000000 rt nh nn m hnh ph hp.

27
1.5.2.Kim nh phn d

Hnh 10: Kim nh phn d m hnh AR(2)

Qua kt qu kim nh phn d trong m hnh AR(2) ta thy cc gi tr u nm trong 2
ng gii hn do c th xem sai s l nhiu trng
1.5.3.Cc ch tiu d bo v gi tr d bo:

Hnh 11:Cc ch tiu d bo ca m hnh AR(2)

28
stt

Vnindex Vnindexfar2

143

315.724 354.1707502

144

317.01

145

353.634 320.7006047

146

380.016 373.2301673

147

403.86

148

307.2678005

394.6534729
417.1055342

Hnh 12: Kt qu d bo bng m hnh AR(2)

Kt qu cho ta thy gi tr trung bnh ca VNindex t ngy 19/5/09 n 25/5/09 s
l 417.11 im.Vy tun 19/5/09->22/5/09 nhn chung VNindex c xu th tng v y
cng l biu hin tt cho nh u t trn th trng chng khon.

1.6.M hnh ARIMA(1,1,1)

c lng m hnh ARIMA(1,1,1)

Hnh 13:Kt qu c lng bng m hnh ARIMA(1,1,1)

29
Ta c sig ca m hnh>0.05-> m hnh khng c ngha thng k, do ta loi m
hnh ARIMA(1,1,1)
T y ta s chn 1 trong 2 m hnh AR(1) hoc AR(2)
Ta s dung cc ch s o lng thng k ca sai s trong 2 m hnh nh AIC, SC, RMSE,
MAE, MAPE, TIC nhm nhn dng m hnh no tt hn.

M hnh AR(1)

M hnh AR(2)

AIC

9.869789

9.650321

SC

9.910660

9.711909

RMSE

33.19028

29.53371

MAE

25.13951

22.56210

MAPE

4.222601

3.777679

TIC

0.023125

0.020536

Nh ta bit cc ch s ny cng nh cng tt v n s lm phn d nh li, do d

bo s chnh xc hn.
V cc ch s ca m hnh AR(2) u nh hn m hnh AR(1) do m hnh AR(2) d
bo s chnh xc hn v s c chn kim nh tnh ARCH.

30
1.7.M hnh ARCH

1.7.1.Kim nh nh hng ca Arch vi m hnh AR(2)

Hnh 14: Kt qu Kim nh nh hng ca Arch vi m hnh AR(2)

Gi tr chi bnh phng tnh ton bng 12.47>gi tr chi bnh phng ph phn mc
ngha 1% vi 1 bc t do (=CHIINV(1%,1)=6.64). Nh vy chng ta c th kt lun m
hnh c th c nh hng ca ARCH(1).

Ta i c lng m hnh ARCH(1)

31
1.7.2.c lng ARCH(1)

Hnh 15: Kt qu c lng ARCH(1)

Ta c gi tr c lng ca h s 1 =-0.463650 <0 nn m hnh khng c nh hng ca
ARCH. Do , ti th trng chng khon Vit Nam Vnindex hon ton khng b nh
hng bi s thay i ca cc yu t thng tin.

2.Kt hp m hnh hi quy,ARIMA,ARCH d bo Vnindex

2.1.Nhn dng:
-Chng khon Vit Nam c nh hng bi cc ch s chng khon trn th gii.
xc nh c iu ny ti s dng m hnh hi quy nhn qu.
-Hi quy Vnindex theo cc ch s chng khon ca cc nc ln nh S&P500
(Hoa K), Dax (c), KOSPI (Hn Quc), Straints times (Singapore), CAC(Php),

32
ftse100 (Anh). Sau khi hi quy ti s s dng m hnh ARIMA kt hp vi m hnh
ARCH d bo cc ch s S&P500, Dax, KOSPI, Straints times, CAC, ftse100. T
th vo m hnh hi quy d bo Vnindex.

M hnh hi quy:
VNINDEXi 0 1SP500 2 Dax 3 KOSPI 4Traints _ times 5CAC 6 ftse100 i

2.2.c lng
Hi quy
Dependent Variable: VNINDEX
Method: Least Squares
Date: 09/20/09 Time: 16:44
Sample: 1 147
Included observations: 147
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
SP500
DAX
KOSPI
STRAINTS_TIMES
CAC
FTSE100

287.7933
-1.746778
0.214057
-0.449544
0.495870
0.438423
-0.277066

117.1519
0.264082
0.045484
0.101817
0.069125
0.063164
0.086200

2.456582
-6.614536
4.706236
-4.415213
7.173574
6.941003
-3.214211

0.0152
0.0000
0.0000
0.0000
0.0000
0.0000
0.0016

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.891433
0.886780
96.78191
1311343.
-877.1495
0.503676

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

656.9801
287.6292
12.02925
12.17165
191.5878
0.000000

Hnh 16:Kt qu hi quy chui VNindex

2.3.Kim nh F_test, t_test v kim nh Wald.
-Ta c p_value ca ca cc h s hi quy <0.05 nn cc h s hi quy c ngha
thng k. Cc bin SP500, KOSPI, Dax, Traints Times, CAC ,ftse100 u c tc ng
n Vnindex.
-Bn cnh ta c F=191.5878 c xc sut p=0.00000 rt b nn m hnh c
ngha thng k m hnh ph hp
-Kim nh Wald:

33
Wald Test:
Equation: Untitled
Test Statistic
F-statistic
Chi-square

Value
44.49464
222.4732

df Probability
(5, 140)
5

0.0000
0.0000

Hnh 17:Kt qu kim nh Wald

Theo kt qu bng trn, v P(F>44.49464)=0.00000 rt nh nn bc b gi thit H0, tc
l cc h s hi quy c ngha thng k,do cc h s SP500, KOSPI, Dax, Traints
Times, cac ,ftse100 khng ng thi bng khng v c th gii thch c cho Vnindex
2.4.Kim nh phn d
2.4.1. th phn phi chun ca phn d

Hnh 18: th phn d ca hm hi quy Vnindex

34
2.4.2.Kim nh Kolmogorov-Smirnov:
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N

147

Normal Parameters

Mean
Std. Deviation

Most Extreme Differences

.0000000
94.77237940

Absolute

.077

Positive

.077

Negative

-.042

Kolmogorov-Smirnov Z

.928

Asymp. Sig. (2-tailed)

.355

a. Test distribution is Normal.

Hnh 19:Kt qu kim nh K-S

Da vo kim nh K-S ta c sig=0.355>0.05 nn ta chp nhn gi thuyt HO:

c phn phi chun

Vy m hnh hi quy s l
Vnindexi 287.793 1.747 SP500 0.214 Dax 0.450 KOSPI 0.496Traints _ Times
0.438CAC 0.277 ftse100
- ngha ca h s hi quy:
o 287.793 cho bit khi SP500, KOSPI, Dax, Traints Times, CAC ,ftse100 bng 0 th
VNINDEX t 287.793 im, iu ny c ngha l ngoi vic b nh hng bi cc ch
s chng khon trn th gii, Vnindex cn b nh hng bi 1 s yu t trong nc.
1 -1.747 cho bit khi ch s S&P500 tng(gim) 1 im th VNINDEX gim(tng)
1.747 im,trong iu kin cc yu t khc khng i
2 0.214 cho bit khi ch s Dax tng(gim) 1 im th VNINDEX tng(gim) 0.214
im,trong iu kin cc yu t khc khng i

35
3 -0.450 cho bit khi ch s KOSPI tng(gim) 1 im th VNINDEX gim(tng)
0.450 im,trong iu kin cc yu t khc khng i
4 0.496 cho bit khi ch s Traints Times tng(gim) 1 im th VNINDEX
tng(gim) 0.496 im,trong iu kin cc yu t khc khng i
5 0.438 cho bit khi ch s CAC tng(gim) 1 im th VNINDEX tng(gim)
0.438 im,trong iu kin cc yu t khc khng i
6 -0.277 cho bit khi ch s ftse100 tng(gim) 1 im th VNINDEX gim(tng)
0.277 im,trong iu kin cc yu t khc khng i
Ta li c: R2=0.8914 cc bin c lp gii thch c 89.14% thay i ca m hnh do
m hnh c ph hp tng i cao.

2.5.Kt hp ARIMA, ARCH vo m hnh hi quy:

-p dng m hnh ARIMA v ARCH d bo cc ch s SP500, KOSPI, Dax,
Traints Times, cac ,ftse100 ( quy trnh thc hin cc m hnh ARIMA,ARCH d bo
c nh km ph lc 2, 3, 4, 5, 6, 7)
-Sau khi s dng m hnh ARIMA kt hp vi ARCH th gi tr d bo trung
bnh

ngy

19/5/09->22/5/09

ca

chui

SP500=912.99,

KOSPI=1390.824,

Dax=4866.303, Traints Times=2181.79, cac=3259.896 ,ftse100=4363.23

-Cc gi tr d bo trn c ph hp v chnh xc kh cao, do th vo m
hnh hi quy s thu c kt qu d bo cho VNindex mt cch tt nht:
Vnindexi
287.793 1.747 SP500 0.214 Dax 0.450 KOSPI 0.496Traints _ Times
0.438CAC 0.277 ftse100
=283.793-1.747*912.99+0.214*4866.303-0.45*1390.824+0.496*2181.79
+0.438*3259.896-0.277*4363.23=405.71
-Vy gi tr trung bnh ca Vnindex t ngy 19/5/09->22/5/09 l 405.71.Qua d
bo ta thy ch s Vnindex c xu hng tng, iu ny c li cho nh u t, ng thi
cho ta thy th trng chng khon Vit Nam ang c chiu hng phc hi. Nu vn
tip tc trong iu kin nh hin ti th n ngy no Vnindex s lp li mc k lc l
1174 im.

36

CHNG 4:

NHN NH TH TRNG, KIN NGH, NHNG

MT CN HN CH V HNG PHT TRIN
CHO M HNH
1.Nhn nh th trng:
-Nhng mt mt ln trong nm 2008 y gi c phiu trn sn xung mc thp
cha tng c trong lch s, lm cho ch s chng khon trn c hai sn gim cc mnh.
So vi im kt thc 2007, nm 2008, ch s VN-Index (sn TPHCM) gim t mc
927,02 im xung cn 286.85 im, tc gim gn 67%; cn ch s HaSTC-Index (sn
H Ni) gim t 323,55 im xung cn 105,12 im, tc gim 67,5%. So vi th
trng chng khon cc nc trn th gii th Vit Nam l mt trong s rt t nc b
gim im mnh nht.
-Theo nhn nh ca cc chuyn gia ti chnh, nm 2008, chng khon b ko
li hai nm, do c th 2009 l im khi u cho thi k tng trng tr li. V gi c
phiu xung rt thp nn n ang to ra c hi vng cho nhng nh u t a mo
him. Qua thm d ca t VnEconomy in t, trong 8 knh u t dnh cho nhng
ngi ang c tin nhn ri trong thi im ny th chng khon c s ngi quyt nh
chn nhiu nht, chim t l 38%; k n l gi tin tit kim ngn hng chim 17%,
mua vng 15%, mua bt ng sn 13%, cn li l cc knh khc.
-Ti hi tho d on tnh hnh th trng chng khon Vit Nam nm 2009 do
S Giao dch chng khon TP.HCM t chc vo ngy 10-1, nhiu chuyn gia cho rng
tnh hnh kinh t Vit Nam c th phc hi t u nm 2010 v th trng chng khon
c th s phc hi sm hn theo quy lut.
-D bo ny da trn c s v tnh hnh kinh t ton cu c th bt u hi phc
t qu III-2009. Bn cnh , vi gi kch cu nn kinh t ca Chnh ph cng vic li
sut gim, gim thu thu nhp cho doanh nghip, gin np cc khon thu khc... s gip

37
cho cc doanh nghip tho g c kh khn v duy tr sn xut, t s tc ng tch
cc n th trng chng khon.
Phn tch d bo bng m hnh ARIMA,ARCH i vi ch s VNINDEX:
Kt qu phn tch m hnh cho thy d bo l kh tt, lun bm st xu hng th
trng. Do ta c th dng ARIMA l cng c d bo VNINDEX trong ngn hn.
Ti Vit Nam, thng tin tt xu khng nh hng n s tng gim ca
VNINDEX, do m hnh ARCH khng c ngha v khng s dng c d bo
ti Vit Namtm l mua bn trn th trng Vit Nam ch l tm l by n, th trng
Vit Nam khng b nh hng bi tin tc tt xu ca c phiu. Do xu hng u t
ch yu l i theo s ng, xu hng n theo.
Phn tch hi quy kt hp ARIMA v ARCH
M hnh hi quy:
Vnindexi 287.793 1.747 SP500 0.214 Dax 0.450 KOSPI 0.496Traints _ Times
0.438CAC 0.277 ftse100
M hnh hi quy cho thy ch s S&P500 nh hng kh nhiu n chng khon
Vit Nam, iu cho ta thy th trng ca Hoa K thc s tc ng n hu ht
cc quc gia trn ton th gii trong c Vit Nam.Do cn theo di ch s ny
bit cch u t cho ng n,bn cnh cng phi quan st bin ng ca cc
ch s khc nh Dax. KOSPI, Traints_Times,CAC, ftse100,

2.Kin ngh:
- Khi phn tch ch s VNINDEX cn phi kt hp nhiu yu t ( lm pht, tnh
thanh khon, xu th gi,) c c cch nhn nhn ng n v chnh xc nht ca
th trng chng khon.
- Th trng chng khon Vit Nam cn rt yu cho nn cn c nhiu bin php
khuyn khch th trng pht trin.
- VNINDEX cng nh gi tr ca c phiu ph thuc nhiu vo quy lut cungcu. Do yu t by n c hnh thnh r rt ti nh u t. Cn c nhng nhn

38
nh chnh xc hn, am hiu chng khon nhiu hn c th trnh tnh trng by n
v gip th trng chng khon Vit Nam pht trin mnh m.
-Thng xuyn quan st bin ng ca cc ch s trn th gii c th u t
chnh xc theo mong mun

3.Nhng mt hn ch:
-V mi quc gia, phin giao dch, s ngy giao dch khc nhau, c nc th giao
dch 5 ngy c nc giao dch 6, 7 ngy nn m hnh ti cung cp ch yu l theo tun.
Do cha thy c v cha d bo c bin ng xy ra trong ngy.
-M hnh hi quy cn b 1 vi hin tng nh t tng quan v a cng tuyn,
tuy khng nh hng bao nhiu n m hnh nhng ti vn cha tm c cch khc
phc a ra 1 m hnh d bo tt hn
-V thi gian c hn nn ti ch mi thu thp v x l c 1 vi ch s chng
khon ca cc quc gia ln, vn cn 1 s ch s na m ti cha tm ra, do n cng l
1 thiu st trong m hnh
-Cc ch s chng khon ti s dng c l do l d liu theo tun nn yu t
ARCH khng c hoc th hin qu yu.

4.Hng nghin cu pht trin t m hnh:

-Thu thp v x l tt d liu v ngy
-Kt hp c cc yu t nh hng n Vnindex trong nc nh ch s ngnh,
ch s Bt ng Sn, gi vng, gi du, t gi hi oi, v cc ch s chng khon ca
nhng quc gia ln. T thy c yu t no tc ng mnh n Vnindex, t c
th da vo nhng yu t tc ng u t vo chng khon Vit Nam
-Kt hp thm gia phn tch k thut, m hnh ARIMA, m hnh ARCH s gip
nhn nh chnh xc phn no ch s VNindex, hay xc nh c gi cc c phiu.

39

PH LC
PH LC 1:D LIU THEO TUN CA VNINDEX, S&P500, DAX,
KOSPI, STRAINTS TIMES, CAC, FTSE100
Date
7/31/2006
8/7/2006
8/14/2006
8/21/2006
8/28/2006
9/5/2006
9/11/2006
9/18/2006
9/25/2006
10/2/2006
10/9/2006
10/16/2006
10/23/2006
10/30/2006
11/6/2006
11/13/2006
11/20/2006
11/27/2006
12/4/2006
12/11/2006
12/18/2006
12/26/2006
1/3/2007
1/8/2007
1/16/2007
1/22/2007
1/29/2007
2/5/2007
2/12/2007
2/20/2007
2/26/2007
3/5/2007
3/12/2007
3/19/2007
3/26/2007
4/2/2007

vnindex
505.20
480.60
443.20
416.15
433.00
472.80
477.20
490.75
514.50
507.60
513.20
522.00
536.60
527.60
523.40
524.40
515.20
525.80
558.00
619.00
631.80
654.50
743.00
775.50
748.80
776.25
867.20
980.40
1009.80
1036.60
1066.00
1071.00
1140.00
1144.40
1123.70
1110.60

s&p500
1279.36
1266.74
1302.30
1295.09
1311.01
1298.92
1319.66
1314.78
1335.85
1349.59
1365.62
1368.60
1377.34
1364.30
1380.90
1401.20
1400.95
1396.71
1409.84
1427.09
1410.76
1418.30
1409.71
1430.73
1430.50
1422.18
1448.39
1438.06
1455.54
1451.19
1387.17
1402.84
1386.95
1436.11
1420.86
1443.76

dax
5723.03
5628.37
5817.02
5811.47
5876.54
5795.26
5937.87
5883.32
6004.33
6085.82
6173.68
6202.82
6262.54
6241.15
6357.77
6412.36
6411.96
6241.13
6427.41
6588.83
6503.13
6596.92
6593.09
6705.17
6747.17
6690.34
6885.76
6911.11
6957.07
6992.58
6603.32
6716.52
6579.87
6899.06
6917.03
7099.91

KOSPI Straints_Times
cac
1304.51
2371.37
5040.95
1292.10
2429.44
4985.52
1331.10
2462.92
5135.69
1329.35
2450.63
5111.13
1356.67
2483.53
5183.45
1354.89
2453.21
5073.57
1361.10
2491.49
5144.88
1348.38
2510.14
5141.95
1371.41
2521.91
5250.01
1352.00
2520.50
5282.06
1348.60
2568.86
5353.23
1364.24
2649.30
5375.35
1369.09
2666.68
5396.03
1383.88
2686.43
5336.30
1395.73
2729.98
5447.50
1412.22
2722.31
5439.71
1421.73
2745.31
5389.46
1434.36
2813.18
5254.05
1390.43
2814.81
5384.16
1421.87
2836.04
5541.62
1437.49
2865.14
5453.94
1434.46
2931.29
5541.76
1385.76
2942.39
5517.35
1388.37
2985.83
5617.62
1360.56
3029.04
5614.70
1371.33
3009.09
5582.30
1413.14
3072.88
5677.30
1427.68
3087.74
5692.45
1448.81
3217.68
5713.59
1469.88
3220.89
5716.38
1414.47
3236.93
5424.70
1423.58
3310.44
5537.84
1427.88
3078.74
5382.16
1447.38
3143.71
5634.75
1452.55
3068.75
5634.16
1484.15
3205.82
5741.38

ftse100
5889.40
5820.10
5903.40
5878.60
5949.10
5879.30
5877.00
5822.30
5960.80
6001.20
6157.30
6155.20
6160.90
6148.10
6208.40
6192.00
6122.10
6021.50
6152.40
6260.00
6190.00
6220.80
6220.10
6239.00
6237.20
6228.00
6310.90
6382.80
6419.50
6401.50
6116.20
6245.20
6130.60
6339.40
6308.00
6397.30

40

PH LC 1:D LIU THEO TUN CA VNINDEX, S&P500, DAX,

KOSPI, STRAINTS TIMES, CAC, FTSE100 (tt)
Date
4/9/2007
4/16/2007
4/23/2007
4/30/2007
5/7/2007
5/14/2007
5/21/2007
5/29/2007
6/4/2007
6/11/2007
6/18/2007
6/25/2007
7/2/2007
7/9/2007
7/16/2007
7/23/2007
7/30/2007
8/6/2007
8/13/2007
8/20/2007
8/27/2007
9/4/2007
9/10/2007
9/17/2007
9/24/2007
10/1/2007
10/8/2007
10/15/2007
10/22/2007
10/29/2007
11/5/2007
11/12/2007
11/19/2007
11/26/2007
12/3/2007
12/10/2007
12/17/2007

vnindex
1056
1043.4
1031.4
983
920.3333
939.6667
1015.8
1058.4
1100.8
1085.8
1052.8
1041.6
1041.4
1036.4
1001.8
1019.4
991.2
966
912
913
908.004
894.182
905.026
929.4825
924.116
947.224
1010.28
1091.328
1097.786
1098.986
1089.95
1068.798
1030.964
996.974
981.65
983.294
980.434

dowjone
12612.13
12961.98
13120.94
13264.62
13326.22
13556.53
13507.28
13668.11
13424.39
13639.48
13360.26
13408.62
13611.68
13907.25
13851.08
13265.47
13181.91
13239.54
13079.08
13378.87
13357.74
13113.38
13442.52
13820.19
13895.63
14066.01
14093.08
13522.02
13806.7
13595.1
13042.74
13176.79
12980.88
13371.72
13625.58
13339.85
13450.65

nasdaq
2491.94
2526.39
2557.21
2572.15
2562.22
2558.45
2557.19
2613.92
2573.54
2626.71
2588.96
2603.23
2666.51
2707
2687.6
2562.24
2511.25
2544.89
2505.03
2576.69
2596.36
2565.7
2602.18
2671.22
2701.5
2780.32
2805.68
2725.16
2804.19
2810.38
2627.94
2637.24
2596.6
2660.96
2706.16
2635.74
2691.99

dax
7212.07
7342.54
7378.12
7516.76
7479.34
7607.54
7739.2
7987.85
7590.5
8030.64
7949.63
8007.32
8048.32
8092.77
7874.85
7451.68
7435.67
7343.26
7378.29
7507.27
7638.17
7436.63
7497.74
7794.43
7861.51
8002.18
8041.26
7884.12
7949.17
7849.49
7812.4
7612.26
7608.96
7870.52
7994.07
7948.36
8002.67

KOSPI Strains_Times
1520.78
3231.24
1533.08
3345.86
1542.52
3373.59
1567.74
3360.67
1603.56
3398.6
1612.25
3485.76
1644.56
3446.92
1716.24
3512.4
1727.28
3486.63
1772.26
3548.32
1770.98
3491.59
1743.6
3581.16
1861.01
3615.38
1962.93
3548.2
1983.54
3561.96
1883.22
3654.61
1876.8
3651.38
1828.49
3492.7
1638.07
3436.04
1791.33
3359.18
1873.24
3130.71
1884.9
3369.45
1870.02
3392.91
1919.26
3488.97
1946.48
3536.4
1996.03
3542.22
2026.44
3706.23
1970.1
3822.62
2028.06
3857.25
2019.34
3747.98
1990.47
3771.55
1926.2
3715.32
1772.88
3599.67
1906
3440.96
1934.32
3325.89
1895.05
3521.27
1878.32
3557.95

41

PH LC 1: D LIU THEO TUN CA VNINDEX, S&P500, DAX,

KOSPI, STRAINTS TIMES, CAC, FTSE100 (tt)

Date
vnindex
12/24/2007 939.66
12/31/2007 928.61
1/7/2008
924.49
1/14/2008 910.80
1/22/2008 874.01
1/28/2008 835.35
2/4/2008
791.69
2/11/2008 839.93
2/19/2008 819.12
2/25/2008 740.37
3/3/2008
687.17
3/10/2008 615.78
3/17/2008 646.46
3/24/2008 577.58
3/31/2008 508.77
4/7/2008
525.04
4/14/2008 545.54
4/21/2008 535.42
4/28/2008 524.36
5/5/2008
520.89
5/12/2008 512.63
5/19/2008 475.63
5/27/2008 441.89
6/2/2008
417.31
6/9/2008
395.82
6/16/2008 373.16
6/23/2008 376.85
6/30/2008 381.56
7/7/2008
419.61
7/14/2008 443.08
7/21/2008 481.43
7/28/2008 447.91
8/4/2008
445.16
8/11/2008 438.05
8/18/2008 468.83
8/25/2008 516.20

s&p500
1478.49
1411.63
1401.02
1325.19
1330.61
1395.42
1331.29
1349.99
1353.11
1330.63
1293.37
1288.14
1329.51
1315.22
1370.40
1332.83
1390.33
1397.84
1413.90
1388.28
1425.35
1375.93
1400.38
1360.68
1360.03
1317.93
1278.38
1262.90
1239.49
1260.68
1257.76
1260.31
1296.32
1298.20
1292.20
1282.83

dax
8067.32
7808.69
7717.95
7314.17
6816.74
6968.67
6767.28
6832.43
6806.29
6748.13
6513.99
6451.90
6319.99
6559.90
6763.39
6603.57
6843.08
6896.58
7043.23
7003.17
7156.55
6944.05
7096.79
6803.81
6765.32
6578.44
6421.91
6272.21
6153.30
6382.65
6436.71
6396.46
6561.65
6446.02
6342.42
6422.30

KOSPI Straints_Times
cac
1897.13
3466.38
5627.25
1863.90
3398.10
5446.79
1782.27
3445.82
5371.41
1734.72
3437.79
5092.40
1692.41
3159.48
4878.12
1634.53
3007.80
4978.06
1696.57
2931.97
4709.65
1694.77
3088.68
4771.79
1686.45
3048.64
4824.55
1711.62
3026.45
4790.66
1663.97
2866.28
4618.96
1600.26
2839.01
4592.15
1645.69
2824.91
4533.72
1701.83
3031.90
4695.92
1766.49
3155.56
4900.88
1779.71
3126.87
4797.93
1771.90
3124.87
4961.69
1824.68
3189.20
4978.21
1848.27
3236.10
5069.71
1823.70
3162.03
4960.56
1888.88
3241.49
5078.04
1827.94
3122.15
4933.77
1852.02
3192.62
5014.28
1832.31
3146.73
4795.32
1747.35
2979.56
4682.30
1731.00
3001.81
4509.27
1684.45
2955.91
4397.32
1577.94
2880.45
4266.00
1567.51
2926.84
4100.64
1509.99
2847.73
4299.36
1597.93
2922.91
4377.18
1573.77
2906.07
4314.34
1568.72
2807.54
4491.85
1572.19
2797.50
4453.62
1496.91
2723.30
4400.45
1474.24
2739.95
4482.60

ftse100
6476.90
6348.50
6202.00
5901.70
5869.00
6029.20
5784.00
5787.60
5888.50
5884.30
5699.90
5631.70
5495.20
5692.90
5947.10
5895.50
6056.50
6091.40
6215.50
6204.70
6304.30
6087.30
6053.50
5906.80
5802.80
5620.80
5529.90
5412.80
5261.60
5376.40
5352.60
5354.70
5489.20
5454.80
5505.60
5636.60

42

PH LC 1:D LIU THEO TUN CA VNINDEX, S&P500, DAX,

KOSPI, STRAINTS TIMES, CAC, FTSE100 (tt)
Date
vnindex
9/2/2008
551.71
9/8/2008
553.45
9/15/2008 509.13
9/22/2008 445.66
9/29/2008 467.00
10/6/2008 460.50
10/13/2008 405.20
10/20/2008 385.05
10/27/2008 366.24
11/3/2008 333.46
11/10/2008 366.68
11/17/2008 351.67
11/24/2008 333.47
12/1/2008 313.66
12/8/2008 307.33
12/15/2008 291.46
12/22/2008 303.71
12/29/2008 304.94
1/5/2009
313.46
1/12/2009 314.62
1/20/2009 307.48
1/26/2009 302.44
2/2/2009
286.35
2/9/2009
279.28
2/17/2009 259.58
2/23/2009 242.42
3/2/2009
245.17
3/9/2009
251.61
3/16/2009 264.96
3/23/2009 276.41
3/30/2009 292.03
4/6/2009
318.22
4/13/2009 340.88
4/20/2009 315.72
4/27/2009 317.01

s&p500
1242.31
1251.70
1255.08
1213.27
1099.23
899.22
940.55
876.77
968.75
930.99
873.29
800.03
896.24
876.07
879.73
887.88
872.80
931.80
890.35
850.12
831.95
825.88
868.60
826.84
770.05
735.09
683.38
756.55
768.54
815.94
842.50
856.56
869.60
866.23
877.52

dax
6127.44
6234.89
6143.42
6063.50
5797.03
4544.31
4781.33
4295.67
4987.97
4938.46
4710.24
4127.41
4669.44
4381.47
4663.37
4696.70
4629.38
4973.07
4783.89
4366.28
4178.94
4338.35
4644.63
4413.39
4014.66
3843.74
3666.41
3953.60
4068.74
4203.55
4384.99
4491.12
4676.84
4674.32
4769.45

KOSPI Straints_Times
cac
1404.38
2574.21
4196.66
1477.92
2570.67
4332.66
1455.78
2559.07
4324.87
1476.33
2411.46
4163.38
1419.65
2297.12
4080.75
1241.47
1948.33
3176.49
1180.67
1878.51
3329.92
938.75
1600.28
3193.79
1113.06
1794.20
3487.07
1134.49
1863.49
3469.12
1088.26
1759.14
3291.47
1003.73
1662.10
2881.26
1076.07
1732.57
3262.68
1028.13
1659.17
2988.01
1103.82
1740.34
3213.60
1180.97
1795.47
3225.90
1117.86
1725.61
3116.21
1157.40
1829.71
3349.69
1180.96
1806.02
3299.50
1135.20
1730.45
3016.75
1093.40
1685.23
2849.14
1162.11
1746.47
2973.92
1210.26
1715.35
3122.79
1192.44
1705.64
2997.86
1065.95
1594.94
2750.55
1063.03
1594.87
2702.48
1055.03
1513.12
2534.45
1126.03
1577.52
2705.63
1170.94
1596.92
2791.14
1237.51
1745.66
2840.62
1283.75
1820.87
2958.74
1336.04
1828.51
2974.18
1329.00
1896.56
3091.96
1354.10
1852.85
3102.85
1369.36
1920.28
3159.85

ftse100
5240.70
5416.70
5311.30
5088.50
4980.30
3932.10
4063.00
3883.40
4377.30
4365.00
4233.00
3781.00
4288.00
4049.40
4280.40
4286.90
4216.60
4561.80
4448.50
4147.10
4052.50
4149.60
4291.90
4189.60
3889.10
3830.10
3530.70
3753.70
3842.90
3898.90
4029.70
3983.70
4092.80
4156.00
4243.20

43
5/4/2009
5/11/2009
5/18/2009

353.63
380.02
403.86

929.23
882.88
909.71

4913.90
4737.50
4851.96

1412.13
1391.73
1386.68

2238.21
2139.78
2176.98

3312.59
3169.05
3245.39

4462.10
4348.10
4446.50

PH LC 2:KT QU NGHIN CU M HNH ARIMA,ARCH

I VI CH S S&P500
Gii thch cho m hnh ARIMA,ARCH ca chui S&P500 tng t nh
Vnindex, do phn ph lc ny trnh by ch yu l m hnh v cc
kt qu t m hnh

Hnh 1: th ACF v PACF ca chui S&P500

-Bng ACF v PACF cho thy chui d liu gc khng phi l chui dng.
+ACF gim dn
+PACF gim ng k sau tr k=1m hnh AR(1)
Ly sai phn bc 1

44

Hnh 2: th ACF v PACF ca chui SP500 sau khi ly sai phn bc 1.

Chui dng v ACF,PACF u nm trong 2 ng gii hn
y l m hnh AR(1)

Hnh 3:Kt qu c lng ca m hnh AR(1)

45

Hnh 4: Cc ch tiu d bo ca m hnh AR(1)

sp500
866.23
877.52
929.23
882.88
909.71

sp500far1
873.37
870.04
881.19
932.27
886.48
912.99

Hnh 5:Kt qu d bo ca m hnh AR(1)

Kt qu cho ta thy gi tr trung bnh ca S&P500 t ngy 19/5/09 n 25/5/09 s
l 912.99 im.
T m hnh AR(1) ta i kim nh xem m hnh c tnh ARCH hay khng.

46

Hnh 6:Kt qu kim nh ARCH

Gi tr chi bnh phng tnh ton bng 10.94>gi tr chi bnh phng ph phn mc
ngha 1% vi 1 bc t do (=CHIINV(1%,1)=6.64). Nh vy chng ta c th kt lun m
hnh c th c nh hng ca ARCH(1)
Ta i c lng gi tr ARCH(1)

47

Hnh 7: Kt qu c lng m hnh ARCH(1)

Kt qu cho ta thy gi tr c lng ca h s 1 = -4.404547 <0 nn m hnh khng c
nh hng ca ARCH.

48

PH LC 3:KT QU NGHIN CU M HNH ARIMA,ARCH

I VI CH S KOSPI
Gii thch cho m hnh ARIMA,ARCH ca chui KOSPI tng t nh
Vnindex, do phn ph lc ny trnh by ch yu l m hnh v cc
kt qu t m hnh

Hnh 8: th ACF v PACF ca chui KOSPI

-Bng ACF v PACF cho thy chui d liu gc khng phi l chui dng.
+ACF gim dn
+PACF gim ng k sau tr k=1m hnh AR(1)
Ly sai phn bc 1

49

Hnh 9: th ACF v PACF ca chui KOSPI sau khi ly sai phn bc 1.

Chui dng v ACF,PACF u nm trong 2 ng gii hn

Hnh 10:Kt qu c lng ca m hnh AR(1)

50

Hnh 11: Cc ch tiu d bo ca m hnh AR(1)

KOSPI
1354.1
1369.36
1412.13
1391.73
1386.68

KOSPIfar1
1334.567
1359.048
1373.931
1415.646
1395.749
1390.824

Hnh 12:Kt qu d bo
Kt qu cho ta thy gi tr trung bnh ca KOSPI t ngy 19/5/09 n 25/5/09 s
l 1390.824 im.
T m hnh AR(1) ta i kim nh xem m hnh c tnh ARCH hay khng.

51

Hnh 12:Kim nh ARCH

Gi tr chi bnh phng tnh ton bng 1.45<gi tr chi bnh phng ph phn mc
ngha 1% vi 1 bc t do (=CHIINV(1%,1)=6.64). Nh vy chng ta c th kt lun m
hnh khng c nh hng ca ARCH

52

PH LC4:KT QU NGHIN CU M HNH ARIMA,ARCH I

VI CH S DAX
Gii thch cho m hnh ARIMA,ARCH ca chui DAX tng t nh
Vnindex, do phn ph lc ny trnh by ch yu l m hnh v cc
kt qu t m hnh

Hnh 13: th ACF v PACF ca chui Dax

-Bng ACF v PACF cho thy chui d liu gc khng phi l chui dng.
+ACF gim dn
+PACF gim ng k sau tr k=1m hnh AR(1)
Ly sai phn bc 1

53

Hnh 14: th ACF v PACF ca chui Dax sau khi ly sai phn bc 1.
Chui dng v ACF,PACF u nm trong 2 ng gii hn

Hnh 15:Kt qu c lng ca m hnh AR(1)

54

Hnh 16: Cc ch tiu d bo ca m hnh AR(1)

Dax
4674.32
4769.45
4913.9
4737.5
4851.96

Daxfar1
4693.484
4690.997
4784.877
4927.428
4753.347
4866.303

Hnh 17:Kt qu d bo
Kt qu cho ta thy gi tr trung bnh ca DAX t ngy 19/5/09 n 25/5/09 s l
4866.303 im.
T m hnh AR(1) ta i kim nh xem m hnh c tnh ARCH hay khng.

55

Hnh 18:Kim nh ARCH

Gi tr chi bnh phng tnh ton bng 1.15<gi tr chi bnh phng ph phn mc
ngha 1% vi 1 bc t do (=CHIINV(1%,1)=6.64). Nh vy chng ta c th kt lun m
hnh khng c nh hng ca ARCH

56

PH LC 5:KT QU NGHIN CU M HNH ARIMA,ARCH

I VI CH S TRAINTS TIMES
Gii thch cho m hnh ARIMA,ARCH ca chui TRAINTS TIMES
tng t nh Vnindex, do phn ph lc ny trnh by ch yu l
m hnh v cc kt qu t m hnh

Hnh 19: th ACF v PACF ca chui Trains Times

-Bng ACF v PACF cho thy chui d liu gc khng phi l chui dng.
+ACF gim dn
+PACF gim ng k sau tr k=1m hnh AR(1)
Ly sai phn bc 1

57

Hnh 20: th ACF v PACF ca chui Trains Times sau khi ly sai phn bc 1.
Chui dng v ACF,PACF u nm trong 2 ng gii hn

Hnh 21:Kt qu c lng ca m hnh AR(1)

58

Hnh 22: Cc ch tiu d bo ca m hnh AR(1)

trains_times trains_timesfar1
1852.85
1904.092721
1920.28
2238.21
2139.78
2176.98

1860.806714
1927.582633
2242.428666
2144.953451
2181.792606

Hnh 23:Kt qu d bo
Kt qu cho ta thy gi tr trung bnh ca trains_times t ngy 19/5/09 n 25/5/09
s l 2181.79 im.
T m hnh AR(1) ta i kim nh xem m hnh c tnh ARCH hay khng.

59

Hnh 24:Kim nh ARCH

Gi tr chi bnh phng tnh ton bng 0.807<gi tr chi bnh phng ph phn mc
ngha 1% vi 1 bc t do (=CHIINV(1%,1)=6.64). Nh vy chng ta c th kt lun m
hnh khng c nh hng ca ARCH

60

PH LC 6:KT QU NGHIN CU M HNH ARIMA,ARCH

I VI CH S CAC
Gii thch cho m hnh ARIMA,ARCH ca chui CAC tng t nh
Vnindex, do phn ph lc ny trnh by ch yu l m hnh v cc
kt qu t m hnh

Hnh 25: th ACF v PACF ca chui CAC

-Bng ACF v PACF cho thy chui d liu gc khng phi l chui dng.
+ACF gim dn
+PACF gim ng k sau tr k=1m hnh AR(1)
Ly sai phn bc 1

61

Hnh 26: th ACF v PACF ca chui CAC sau khi ly sai phn bc 1.
Chui dng v ACF,PACF u nm trong 2 ng gii hn

Hnh 27:Kt qu c lng ca m hnh AR(1)

62

Hnh 28: Cc ch tiu d bo ca m hnh AR(1)

CAC
CACfar1
3102.85 3108.303
3159.85 3119.062
3312.59 3175.38
3169.05 3326.292
3245.39 3184.47
3259.896

Hnh 29:Kt qu d bo ca m hnh AR(1)

Kt qu cho ta thy gi tr trung bnh ca CAC t ngy 19/5/09 n 25/5/09 s l
3259.896 im.
T m hnh AR(1) ta i kim nh xem m hnh c tnh ARCH hay khng.

63

Hnh 30:Kt qu kim nh ARCH

Gi tr chi bnh phng tnh ton bng 0.055<gi tr chi bnh phng ph phn mc
ngha 1% vi 1 bc t do (=CHIINV(1%,1)=6.64). Nh vy chng ta c th kt lun m
hnh khng c nh hng ca ARCH

64

PH LC 7:KT QU NGHIN CU M HNH ARIMA,ARCH

I VI CH S FTSE100
Gii thch cho m hnh ARIMA,ARCH ca chui FTSE100
tng t nh Vnindex, do phn ph lc ny trnh by ch yu l
m hnh v cc kt qu t m hnh

Hnh 31: th ACF v PACF ca chui FTSE100

-Bng ACF v PACF cho thy chui d liu gc khng phi l chui dng.
+ACF gim dn
+PACF gim ng k sau tr k=1m hnh AR(1)
Ly sai phn bc 1

65

Hnh 32: th ACF v PACF ca chui FTSE sau khi ly sai phn bc 1.
Chui dng v ACF,PACF u nm trong 2 ng gii hn v ta nhn dng y l m
hnh ARIMA(7,1,7)

Hnh 34:Kt qu c lng ca m hnh AR(1)

66

Hnh 33:Kt qu c lng m hnh ARIMA(7,1,7)

P_value khng c ngha thng k nn ta loi m hnh ARIMA(7,1,7)
Vy m hnh AR(1) l m hnh dung d bo cho chui FTSE100

Hnh 35: Cc ch tiu d bo ca m hnh AR(1)

ftse100
4156.00

ftse100far1
4151.29

67
4243.20
4462.10
4348.10
4446.50

4154.83
4257.82
4323.08
4327.09
4363.23

Hnh 36:Kt qu d bo ca m hnh AR(1)

Kt qu cho ta thy gi tr trung bnh ca FTSE100 t ngy 19/5/09 n 25/5/09
s l 4363.23im.
T m hnh AR(1) ta i kim nh xem m hnh c tnh ARCH hay khng.

Hnh 37:Kt qu kim nh ARCH

Gi tr chi bnh phng tnh ton bng 0.002<gi tr chi bnh phng ph phn mc
ngha 1% vi 1 bc t do (=CHIINV(1%,1)=6.64). Nh vy chng ta c th kt lun m
hnh khng c nh hng ca ARCH

68

TI LIU THAM KHO

1. Hong Trng, Chu Nguyn Mng Ngc (2007), Thng k ng dng trong Kinh t - X
hi, NXB Thng k
2.Nguyn Thng (1999), phn tch d liu v p dng vo d bo, NXB Thanh nin
3.Nguyn Khc Minh (2002), Cc phng php phn tch v d bo trong kinh t, NXB
Khoa hc v k thut
4.Nguyn Trng Hoi (2001), M hnh ha & d bo chui thi gian trong kinh doanh
v kinh t, NXB HQG TPHCM
5.Nguyn Quang Dong (2007), Kinh t lng nng cao, NXB Khoa hc v k thut
6.Phng Thanh Bnh (2009), chuyn cc m hnh arch-garch
7.CBV-Index, cng ty chng khon Bin Vit,
http://www.cbv.vn/index.php?option=com_content&task=view&id=42&Itemid=92,
24/5/2007
8.th trng chng khon, cng ty chng khon Vit
Quc,http://www.vqs.vn/Info/Info.aspx?CatID=334&f=100102
9.cch thc tnh ch s Vn-index, friendship network, http://f-news.fnetwork.net/News2857.f-net ,25/1/2007
10.Phng php tnh ch s gi c phiu, din n kinh t ADWIN,
http://www.adwin.com.vn/diendan/index.php?showtopic=56&pid=137&mode=threaded
&start= ,6/6/2008
11. S lin thng gia CK Vit Nam vi CK th gii ang gia tng din n stox.vn,
http://www.stox.vn/stox/print.asp?id=33748