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Giá vnmstock tăng giảm theo thời gian nên vi phạm 1 trong 3 đk của chuỗi dừng->vnmstock
là chuỗi k dừng

Date: 03/27/23 Time: 21:18

Sample: 1 523
Included observations: 523

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

.|******* .|******* 1 0.983 0.983 508.15 0.000

.|******* .|. | 2 0.966 0.000 1000.0 0.000
.|******* .|. | 3 0.949 -0.008 1475.8 0.000
.|******* .|. | 4 0.932 -0.009 1935.8 0.000
.|******* .|. | 5 0.916 -0.010 2380.1 0.000
.|******| .|. | 6 0.897 -0.054 2807.6 0.000
.|******| .|. | 7 0.879 0.002 3219.0 0.000
.|******| .|. | 8 0.860 -0.046 3613.3 0.000
.|******| .|. | 9 0.842 0.034 3992.2 0.000
.|******| *|. | 10 0.823 -0.068 4354.4 0.000
.|******| .|. | 11 0.802 -0.037 4699.3 0.000
.|******| .|. | 12 0.780 -0.051 5026.2 0.000
.|***** | *|. | 13 0.756 -0.080 5333.7 0.000
.|***** | .|. | 14 0.730 -0.060 5621.4 0.000
.|***** | *|. | 15 0.701 -0.131 5886.7 0.000
.|***** | .|. | 16 0.674 0.066 6132.9 0.000
.|***** | .|. | 17 0.648 0.013 6361.1 0.000
.|***** | .|. | 18 0.625 0.048 6573.3 0.000
.|**** | .|. | 19 0.601 -0.000 6770.2 0.000
.|**** | .|. | 20 0.577 -0.021 6952.0 0.000
.|**** | .|. | 21 0.552 -0.053 7118.6 0.000
.|**** | .|. | 22 0.528 0.032 7271.3 0.000
.|**** | .|* | 23 0.508 0.100 7413.1 0.000
.|**** | .|. | 24 0.487 -0.018 7543.6 0.000
.|*** | .|* | 25 0.469 0.101 7665.1 0.000
.|*** | .|. | 26 0.452 0.028 7778.2 0.000
.|*** | .|. | 27 0.436 -0.006 7883.2 0.000
 .|*** | .|. | 28 0.421 0.048 7981.5 0.000
.|*** | .|. | 29 0.407 -0.002 8073.5 0.000
.|*** | .|. | 30 0.394 -0.016 8159.8 0.000
.|*** | .|. | 31 0.379 -0.039 8240.1 0.000
.|*** | .|. | 32 0.365 -0.032 8314.7 0.000
.|** | .|. | 33 0.351 -0.003 8383.9 0.000
.|** | .|. | 34 0.338 -0.008 8448.0 0.000
.|** | .|. | 35 0.325 -0.030 8507.4 0.000
.|** | .|. | 36 0.313 0.011 8562.6 0.000

Dependent Variable: VNMSTOCK

Method: Least Squares
Date: 03/27/23 Time: 21:19
Sample: 1 523
Included observations: 523

Variable Coefficient Std. Error t-Statistic Prob.

C 88150.09 827.4321 106.5345 0.0000

@TREND 22.61296 2.744193 8.240296 0.0000

R-squared 0.115303 Mean dependent var 94052.08

Adjusted R-squared 0.113605 S.D. dependent var 10063.80
S.E. of regression 9474.923 Akaike info criterion 21.15450
Sum squared resid 4.68E+10 Schwarz criterion 21.17079
Log likelihood -5529.902 Hannan-Quinn criter. 21.16088
F-statistic 67.90247 Durbin-Watson stat 0.020448
Prob(F-statistic) 0.000000

bậc 1

Ar(11) ma(11)

Dependent Variable: D(RESID)

Method: ARMA Maximum Likelihood (BFGS)
Date: 03/30/23 Time: 08:01
Sample: 2 523
Included observations: 522
Convergence achieved after 12 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 46.48967 66.60483 0.697993 0.4855

AR(11) -0.326519 0.280128 -1.165607 0.2443
MA(11) 0.447985 0.277191 1.616161 0.1067
SIGMASQ 1802625. 58447.88 30.84157 0.0000

R-squared 0.015786 Mean dependent var 48.05387

Adjusted R-squared 0.010086 S.D. dependent var 1354.641

S.E. of regression 1347.793 Akaike info criterion 17.25839

Sum squared resid 9.41E+08 Schwarz criterion 17.29101
Log likelihood -4500.439 Hannan-Quinn criter. 17.27117

F-statistic 2.769372 Durbin-Watson stat 2.042613

Prob(F-statistic) 0.041115

Inverted AR Roots .87+.25i .87-.25i .59-.68i .59+.68i

.13-.89i .13+.89i -.38+.82i -.38-.82i
-.76+.49i -.76-.49i -.90
Inverted MA Roots .89+.26i .89-.26i .61+.70i .61-.70i
.13-.92i .13+.92i -.39-.85i -.39+.85i
-.78+.50i -.78-.50i -.93

Ar(11) ma(16)