TAP CHI BAI HOC CUU LONG S602 nim 2016 DU BAO GIA VANG VIET NAM SU DUNG MO HiNH GARCH Ngo Van Toan’, Dong Vin Giup” TOM TAT Mue dich cia nghién ctu ndy la dé due bdo gid vang Viét Nam. Hai phueong phdp duge xem xét, dé ld Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) va Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Sie dung tiéu chudn Akaike (Akaike's Information Criterion-AIC) dé tim ra mé hinh phi hop, nghién ciru két lu@n rang GARCH (1,2) la m6t mé hinh thich hop hon dé dye bao. Phan tich duge thee hién bang ctich ste dung cdc phdn mém Stata 12.0 va Eviews 9.0 Tit khoa: Box—Jenkins Autoregressive Integrated Moving Average (ARIMA), Generalized AutoRegressive Conditional Heteroskedasticity (GARCH), volatility, gid vang Vigt Nam. ABSTRACT The purpose of the current study is to forecast the gold prices of Viet Nam. Two methods are considered, which are Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using Akaike’s information criterion (AIC) as the goodness of fit measure, the study concludes that GARCH is a ‘more appropriate model. Analysis are carried out by using the Stata 12.0 and Eviews 9.0 software. Key words: Box-Jenkins Autoregressive Integrated Moving Average (ARIMA), Generalized Autoregressive Conditional Heteroskedasticity (GARCH), volatility, gold prices of Viet Nam. 1. Giéi thigu Autoregressive Integrated Moving Average (ARIMA) dé dy bao gia ving & Malaysia. Tuy nhién, dac trung gid vang Viét Nam bién d6ng rat lon boi nhiing sy kién thay déi tir trong va ngoai nudc. Bién déng la tinh trang ma phuong sai diéu kign thay ddi gitta trang thai gid tri . Ve mat ly thuyét, Nghién ctru clia Miswan, Ping, and khi déi pho voi chudi dit ligu thdi gian, diéu ‘Ahmad (2013) phat trién mé hinh Box-Jenkins quan trong duge cho Ia diing dé dy bao 6 bién dng hoge phuong sai thay déi theo thei gian, M6t mye tigu cua phan tich chudi thai gian la dé dy bao cdc gid trj tuong lai cia dit ligu chudi dit ligu théi gian. Trong truéng hop viée dy bao vé gid ving la hitu ich cho muc dich dau tu tai Vigt Nam. * Truong Dai hoc Tai chinh Marketing M6 hinh ARCH, duge gidi thigu boi ** Nedn hang Dau te va Phét t in Vigt Nam Engle vao nim 1982 va tong quat héa boi 47TAP CHI BAI HOC CUU LONG 6 02 nim 2016 Bollerslev nim 1986 la mé hinh kinh té dé m6 ta chudi véi tinh cht phuong sai diéu kién thay Gi theo théi gian (Engle, 1982). Cac ho m6 hinh Generalized heteroskedasticity (GARCH) duoc phat trién dé nim bat bién déng phan nhém hoc céc giai doan bién dong, va dy doan su bin déng trong tong lai (Bollerslev, 1986). Box-Jenkins ARIMA I mé hinh chudn, nghién etru nay dy bao gia vang Viét Nam sit dyng m6 hinh GARCH. Bang cach sir dung phan mém Stata 12.0, cée mé hinh GARCH duge str dung dé cung cp mét thude do bién dng phan nhém ctia gia vang. D6 phi hgp ciia qué trinh dir béo céc mé hinh duge do bing AIC (Akaike’s Information Criterion). 2. Phuong phép nghién cru Cac phuong phap duge sit dung trong nghién ciru nay la Box-Jenkins ARIMA va GARCH, tiéu chuan AIC va Box-Cox cing duge dua vao str dung dé thu hién bai nghién ctru nay. Hinh 1: Quy thye hign Box-Jenkins ARIMA va mé hinh GARCH ARIMA Models ¥ ¥ Deterministic Component ARIMA(p.g) without &, x ARIMA Models ARIMAGrta) 9,(8)\~ 8Y(1,~m)=4,(8), GARCH Models Lae, .4,=0¢,, €,~itd N01) ¥ ‘ARIMA - GARCH Models ARIMA(pda)~ GARCH(r) Nguén: Theo nghién citu ciia Siti Roslindar, Noor Azlinna, Roslinazairimah, and Maizah Hura (2013) Box-Jenkins ARIMA. Dé dp dung cac thi tue Box-Jenkins ARIMA cho chudi thai gian ni chudi tinh dimg 06 duge i mét mite d6 thich hgp. Di mé hinh ARIMA (p, d, q) trong dé p la bac tr 48 hi quy, q [a this ty trung binh trugt va d La ther bac ctia chudi dig (Box, Jenkins, Reinsel, & Ljung, 2015). M6 hinh ARIMA (p, d, q) cé thé viét nhu sau: ¢,(B\(I-B)"y, =5+0,(B)u,TAP CHI BAI HOC CUU LONG S602 nim 2016 Trong dé: 6 B= ndi quy bac p: _0,(B) =1-0.B—...0,B%a qua trinh trung binh trugt bac q; ~ (1 - B)!1a bie sai phan bac thir d. ~ B li todn tir Iai cita bac sai phan 4B -..9,B" 1A qua trinh ty ~ u, 1A nhigu tring. Tinh dirng (stationarity) Kiém dinh nghiém don vi (unit root test) cé thé sit dung dé xac dinh tinh dimg. Mé6t trong nhig phuong phdp sir dung dé xac dinh tinh dimg d6 1a ADF test (Augmented Dickey-Fuller). Tha tye 4p dung la ap dung mé hinh sau: ‘ Ay, = 5 +B, + OY, + aA, +6, a lau thé, A la sai phan 6 cia qua trinh ty héi quy. Gia thiét H, : cho rang chudi duge kiém tra 1a khong dimg Mé hinh GARCH M6 hinh ARCH dac biét duge xdy dyng 3p M6 hinh va dy béo vé phuong sai cd diéu kign. M6 hinh ARCH duge Engle gidi thigu vao nim 1982 va mé hinh GARCH duge gidi thigu béi Bollerslev vao nim 1986. M6 hinh nay duge st dung rong rai trong cde mé hinh toan kinh té, dic bigt 1 trong phan tich chudi théi gian tai chinh giéng nh Bollerslev, Chou, Kroner di thye hign vio nam 1992 va Bolleslev, Engle, Nelson da tién hanh vao nam 1994 (Bollerslev, Engle, & Nelson, 1994; Engle, 1982). M6 hinh ~GARCH — Generalised Autoregressive Conditional Heteroskedasticity) 1a mé hinh tong quat héa cao hon mé hinh ARCH. M6 hinh GARCH (p,q) 06 dang sau day: nh. oor Sat. S pet, Trong dé: nate, p: la bac cia mé hinh GARCH. q; la bac cha m6 hinh ARCH. Phuong trinh néi Jén rang phuong sai bay gid phy thude vio ca gid tri qua khit cia nhing ct séc, dai dién béi cde bién cla hang nhiéu binh phyong, va cdc gia tri qua Khir cia ban thin ©; dai dign boi cae bién o,_,, Dang don gian nhat cia m6 hinh GARCH 1a GARCH (1,1), duge biéu dién nhur sau: OF OF M8 + Pros Trong dé: p 1a hang sé; E(y,) = 0 va Var(n) = 1; 070, o, > 0 va BI la hang sé khéng am voi DY” a, +" a duong cia phuong sai diéu kign Khi ma q=0mé hinh GARCH tré thanh mé hinh ARCH. MOt ich Igi rd rang nhét mé hinh GARCH mang lai so véi mé hinh ARCH la ARCH(q) v6 tin bing GARCH (1,1). Néu ARCH c6 qua nhiéu dé tré (q Ién) thi 6 thé s dén két qua wéc luong do gidm dang ké sé bac tyr do trong mé hinh. Mat chudi dir nhiéu dé tré sé c6 nhieu bién bj mat. Tiéu chudn AIC Akaike (1974) at tiéu chuan AIC at ding dé Iya chon mé hinh. AIC tang ly thuyét théng tin va Li mét tiéu chi ma tim kiém mét mé hinh trong d6 6 m6t phi hop véi nhung vai théng sé chinh xde. M6 hinh nay duge chon bing céch giam 49TAP CHI BAI HOC CUU LONG 6 02 nim 2016 thiéu khoang cach Kullback-Leibler gitta m6. hinh va d@ chinh xéc. AIC duge xéc dinh bing céng thite sau: AIC(p,q) = -2 In £42k Trong dé: - @ la gia tri t6i da cua ham Likelihood duge wée tir mé hinh; - k la bac tu do ctia mé hinh, Tw mot vai mé hinh uc gid tri ATC Ia gid tri thdp nhat. tinh tir dit ligu, Phuong php chuyén dif ligu: Box-Cox Theo Osborne (2010) chuyén déi dit ligu bang Box-Cox tiém nang tot nhat khi bat ctr nao muén chuan héa dit ligu hodc can bang phuong sai nhu mong muén, ma Box-Cox duge hinh dung nhw la mét loai thuée chira bach bénh ciing déng thi diéu chinh chudn héa, tuyén tinh va giam da c6ng tuyén. Cong thite cua sy chuyén déi Box-Cox la: yal : fora #0 we log,(y,), for2. =0 Trong 46: y, 1d dit ligu thye tai thoi gian 1, y/ la dir ligu chuyén d6i tai thai gian tva Zi gid trj trung binh sai sé binh phuong cua phan du thap nhat. Chuyén dif ligu chi 4p dung cho chudi dit ligu duong, y, > 0. Dé chinh xc ciia dy béo Cé mét sé bign phap dé damh gia dy bao. Déi véi nghién citu nay, phutong phap MAPE (Mean Absolute Percentage Error) sé durge tinh ton. MAPE do dé chinh xéc cia dur bao vé ty 1g phan trim. ef thife nhw sau: MAPE ln |x 100% Ms Trong dé, y, 1d gid tri thye; P18 gid tri dy bao; n 1a sé thai ky. Khi so sanh cdc gitta hai mé hin, gia tr) nhé hon cia MAPE cho biét mé hinh tat hon mé hinh cén lai 3. Dir ligu va két qua nghién ecru Sé ligu thu thép tir thi trréng vang, véi 4135 ky quan sat. Dit ligu si dung cho nghién ctu nay 1a gid ving Vigt Nam duge thu thap tir ngay 03/01/2000 dén ngay 06/11/2015. Theo xu huéng cho thay gia vang Viét Nam c6 xu huéng tang & mét khoang théi gian va dao d6ng manh. vang Hinh 2: Gid vang Vigt Nam tir ky quan sat 1 dén 4135 ~~ a mee a omTAP CHI BAI HOC CUU LONG S602 nim 2016 Tinh xu thé thé hién trén biéu d6, diéu nay can thiét phai khir tinh xu thé dé dit ligu. cé tinh dimg. KY thudt khir tinh xu thé sir dung Ja Box-Cox, sau khi khir tinh xu thé di ligu 6 dang nhu sau: Hinh 3: Tinh dimg cia dir ligu sau khi khur tinh xu thé bain — Nguén: Phan Tinh ding cia dir ligu [Augmented Dicey clientes ae ence Phillips-Perron test | -63.853 0.0000 Nguén: Phan tich sé ligu Hi a irl rE = A sal Nguén: Phan Vi cae gid tri déu nam trong ving khong, c6y nghia, nén trong bai nghién ctu sé khong ding ARIMA trong phuong trinh Mean cho tich sé liéu Xe dinh mé hinh, ham ty héi quy (ACF) va tir héi quy tig phan (PACF) thé hign trén hinh vé tir dit ligu sau khi da khtr tinh xu thé. inh 4: Ham ty hoi quy va ty hdi quy riéng phan 1. lal Meh (yn tich so ligu higu tng ARCH, chi str dung phuong trinh phurong sai. 51TAP CHI BAI HOC CUU LONG 6 02 nim 2016 Kiém tra higu tng ARCH Két qua kiém tra higu img ARCH tir phan, Stata 12.0 tir dit ligu thu thap cho thay di ligu cé higu mg ARCH. Bang chimng thyc nghiém cho thay gid trj P-value déu nho hon 0.05 tai d6 tré 5. aoe 1 4117.058 0.0000 2 4116.063 0.0000 3 4115.098 0.0000 4 4114112 0.0000 5 4113.17 0.0000 ge . 1000 2000 3000 4000 date Nguén: Phdn tich sé liéu Tirhinh vé cho thay dit ligu gid vang Viét Clustering). V6i tinh chat bién dong nay, rat Nam cé tinh chat bién d6ng cum (Volatility phi hgp sit dung m6 hinh GARCH dé dy bao. Két qua wée tinh mé hinh GARCH cho két qua nhw sau: Pe oLLte DY GARCH (1,2) GARCH (1,3) Pure) Core eae ae RCSL ai ec a ce tet H -6.13946 | 0.0000 | -6.138281 0.0000) -5.80225 0.0000 0.002153 0.0283 0.002018 | 0.0384 0.001489 | 0.0089 a, 0.921071 | 0.0002 0.908809 | 0.0002 0.870718 0.0001 A, 0.079861 0.6005 0.064543 0.7848 0.242891 | 0.3493TAP CHI BAI HOC CUU LONG S602 nim 2016 B, 0.027673 0.8094 -0.1034 | 0.5973 Bb ~0.00551 0.9502 LL -12289.1 -12289.00 -12297.2 AIC 5.953053 5.953511 5.957956 MAPE 291.6873 291.6421 278.9681 id tri MAPE thoi ky dir bao (5 ngay) MAPE 149.8018 149.7922 147.0664 Nguén: Phan tich so ligu Két luan tir viée chay mé hinh bang phan mém Eviews 9.0, nhom tac gia dé xuat sé chon mé hinh GARCH (1,1) ding dé dy bio gid ving Viét Nam vi mé hinh c6 AIC nhé nhat. Tuy nhién, néu sit dung gid tri MAPE thi GARCH (1,2) ld mé hinh cho gid tri MAPE nhé nhat. Mé hinh GARCH(1,3) bi loai vi da vi pham diéu kign ciia m6 hinh GARCH (vi khéng nhfn Béta gid tri ém, khéng phi hop dung dé tién hanh dy bao. 4. Két luan Tir két qua nghién ctru cho thay déi véi gia vang Viét Nam phi hgp véi mé hinh GARCH(1,1) vi GARCH(1,3). Déi voi m6 hinh ARIMA cho thay khéng phi hgp véi viéc dy bao gid vang Viét Nam. Bang chimg nay di duge chimg minh tir vige Iya chon 46 tré tir ham ty hdi quy va ham ty hdi quy timg phan. 53TAP CHI BAI HOC CUU LONG 6 02 nim 2016 TAI LIEU THAM KHAO 1. Akaike, H. (1974). A new look at the statistical model identification, Automatic Control, IEEE Transactions on, 19(6), 716-723. 2. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. 3. Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992), ARCH modeling in finance: A review of the theory and empirical evidence. Journal of econometrics, 52(1-2), 5-59. 4, Bollerslev, T., Engle, R. F, & Nelson, D B. (1994). ARCH models. Handbook of econometrics, 4, 2959-3038. 5. Engle, R. F. (1982). An Introduction to the Use of ARCH/GARCH models in Applied Econometrics. Journal of Business, New York. 6. Miswan, N. H., Ping, P. Y., & Ahmad, M. H. (2013). On parameter estimation for Malaysian gold prices modelling and forecasting. International Journal of Mathematical Analysis, 7(21-24), 1059- 1068. 7. Osborne, J. W. (2010). Improving your data transformations: Applying the Box- Cox transformation. Practical Assessment, Research & Evaluation, 15(12), 1-9. 8. Siti Roslindar, Y., Noor Azlinna, A., Roslinazairimah, Z., & Maizah Hura, A (2013). The Performance of Hybrid ARIMA- GARCH Modeling in Forecasting Gold Price Ngay nhén bai: 1/3/2016 Negay giti phan bién: 5/5/2016