HPG

From the time plot we observe that the series is not stationary. Next, we calculate the ACF
and PACF.

In this figure we can see that the ACF does not die down and there is a clear trend, thus it is
obvious that the series is integrated. The next step is to take logarithms and first differences
of the series.
We introduce the following commands into the command line:
genr lHPG=log(HPG)
genr dHPG=lHPG-lHPG(-1)

From the plot dlHPG, we now see that the series looks more like a stationary series.

The correlogram for the differenced series, suggests stationarity as well. We see that there
is two significant spikes in the PACF, suggesting AR(1), AR(2) terms; and 2 significant spikes
in the ACF, suggesting a MA(1) and MA(2) term. So the models we will estimate ARMA(1,1),
ARMA(1,2), ARMA(2,1) ARMA(2,2).
We estimate the model by introducing each of the following commands at a time:

ls dlhpg c ar(1) ma(1)

ls dlhpg c ar(1) ma(2 )
ls dlhpg c ar(2) ma(1)
ls dlhpg c ar(2) ma(2)
By analyzing the data presented in these tables, especially the significance of estimated
coefficients, the most appropriate model seems to be ARMA(2,2). According to the Akaike
info criterion, the best model is ARMA(2,2), the Schwarz Bayesian criterion suggests that the
most appropriate one is ARMA(2,1). The Adjusted R-squared also supports the model
ARMA(2,2), thus we believe that this one is the most appropriate model of the three.
But in order to check if ARMA(1,3) is indeed the most appropriate model we have to check
the Q-statistics of the residuals. Thus we obtain the residuals for each model; we make the
correlograms and compare the Q-statistics for lags 8, 16 and 24.
ARMA(1,1) ARMA(1,2) ARMA(1,1) ARMA(2,2)
Q-statistic for lag 6.527(0.367) 6.318 (0.389) 6.222 (0.399) 8.046 (0.235)
8 (sig level)
Q-statistic for lag 29.719 (0.008) 29.956 (0.008) 29.970 (0.008) 32.646 (0.003)
16 (sig level)
Q-statistic for lag 40.719 (0.009) 41.029 (0.008) 41.076 (0.008) 45.292 (0.002)
24 (sig level)
According to the data presented in the table above, the ARMA (2,2) is the most appropriate
model.

FPT

From the time plot we observe that the series is not stationary. There is the flutuation in the
price of FPT stock and we can see that the price of stock is not constant, that makes the
series non-stationary.
Next, we calculate the ACF and PACF.
From the correlogram we see that the series is non-stationary again, since the ACF does not
die down quickly. Thus we take the first differences of the series to make it stationary.
We introduce the following commands into the command line:
genr lfpt=log(fpt)
genr dlfpt=lfpt-lfpt(-1)

From the plot dlfpt, we now see that the series looks more like a stationary series.
The correlogram for the differenced series, suggests stationarity as well. We see that there
is one significant spikes in the PACF, suggesting AR(1) terms; and 2 significant spikes in the
ACF, suggesting a MA(1) and MA(2) term. So the models we will estimate are AR(1),
MA(1),MA(2), ARMA(1,1), ARMA(1,2).
We estimate the model by introducing each of the following commands at a time:
ls dlfpt c ar(1) ma(1)
Ls dlfpt c ar(1) ma(2)
By analyzing the data presented in these tables, especially the significance of estimated
coefficients, the most appropriate model seems to be ARMA(1,2). According to the Akaike
info criterion, the best model is ARMA(1,2). The Adjusted R-squared also supports the
model ARMA(1,2), thus we believe that this one is the most appropriate model of the two.
But in order to check if ARMA(1,2) is indeed the most appropriate model we have to check
the Q-statistics of the residuals. Thus we obtain the residuals for each model; we make the
correlograms and compare the Q-statistics for lags 8, 16 and 24.
statistics for lags 8, 16 and 24.
ARMA(1,1) ARMA(1,2)
Q-statistic for lag 8 (sig 9.1320(0.166) 5.3347(0.502)
level)
Q-statistic for lag 16 16.152(0.304) 13.692(0.473)
(sig level)
Q-statistic for lag 24 21.951(0.463) 18.795(0.658)
(sig level)

According to the data presented in the table above, the ARMA (1,2) is the most appropriate
model.

VNM
From the time plot we observe that the series is not stationary .The price of VNM’s is
fluctuate overtime and not constant, rendering the series non-stationary. Next, we
calculate the ACF and PACF.

From the correlogram we see that the series is non-stationary again, since the ACF does not
die down quickly. Thus we take the first differences of the series to make it stationary.
We introduce the following commands into the command line:
genr lvnm=log(vnm)
genr dlvnm=lvnm-lvnm(-1)
From the plot dlfpt, we now see that the series looks more like a stationary series.

The correlogram for the differenced series, suggests stationarity as well. We see that there
is one significant spikes in the PACF, suggesting AR(1) terms; and 1 significant spike in the
ACF, suggesting a MA(1) term. So the models we will estimate are AR(1), MA(1), ARMA(1,1).
We estimate the model by introducing each of the following commands at a time:
ls dlfpt c ar(1) ma(1)
ls dlvnm c ar(2) ma(2)
However, to validate if ARMA(1,1) is indeed the optimal model, it is imperative to
assess the Q-statistics of the residuals. To achieve this, we need to calculate the
residuals for each model, construct correlograms, and compare the Q-statistics for
lags 8, 16, and 24.

ARMA(1,1) ARMA(2,2)
According to the data presented in the table above, the ARMA (1,1) is the most
appropriate model.

VCB
Firstly, we check the graph in order to know whether vcb variable is stationary or not.

Then, according to the graph above, we have a result that the series is not stationary. There
is a significant increase in Vietcombank’s stock price from 70 to 100 (thousand dong per
share), which make the series non-stationary.
After that, we calculate the ACF and PACF.
From the correlogram we see that the series is non-stationary again, so the ACF does not die
down quickly.
As a result, we take the first differences of the series to make it stationary.
We create the dlvcb under the command below:
genr lvcb = log(vcb)
genr dlvcb = lvcb – lvcb(-1)
Then, we see that the series looks more like a stationary series according to the graph
below.

The correlogram for the differenced series, suggests stationarity as well. We see that there
are two significant spikes in the PACF, so we suggest AR(2) and AR(1) terms; and 1
significant spike in the ACF, so we suggest MA(1) term. So the models we will estimate are
ARMA(1,1), and ARMA(2,1). Results are shown below.
By analyzing the data presented in these tables, especially the significance of estimated
coefficients, the most appropriate model seems to be ARMA(2,1). According to the Akaike
info criterion, the best model is ARMA(2,1), while the Schwarz Bayesian criterion suggests
that the most appropriate one is ARMA(2,1). The Adjusted R-squared also supports the
model ARMA(2,1), thus we believe that ARMA(2,1) is the most suitable model in 2 model.
But in order to check if ARMA(2,1) is indeed the most appropriate model we have to check
the Q-statistics of the residuals. Thus, we obtain the residuals for each model; we make the
correlograms and compare the Q-statistics for lags 8, 16 and 24.
ARMA (2,1) ARMA (1,1)
Q-statistic for lag 8 (sig level) 9.8764 (0.130) 9.9667 (0.126)
Q-statistic for lag 16 (sig level) 15.670 (0.334) 15.780 (0.327)
Q-statistic for lag 24 (sig level) 23.302 (0.385) 23.436 (0.377)
According to the data presented in the table above, the ARMA (1,3) is the most appropriate
model.