ước lượng mô hình garch cho một chuỗi lợi suất của một loại cổ phiếu bất kỳ với số liệu theo tháng ( ít nhất 2 tháng

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Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 Kinh tế lượng Đề bài: 1. Ước lượng mô hình GARCH cho một chuỗi lợi suất của một loại cổ phiếu bất kỳ với số liệu theo tháng ( ít nhất 2 tháng) trên HASTC hoặc HOSE. Bài làm Ước lượng mô hình GARCH cho chuỗi lợi suất của cổ phiếu BT6 trên HOSE. Lựa chọn chuỗi giá của cổ phiếu BT6 với 270 quan sát ( thời gian từ 1/8/2006 đến 31/8/2007) Tính lợi suất của cổ phiếu BT6 với công thức: rt= ( Pt+1 – Pt)/ Pt trong đó : Pt là giá cổ phiếu tại thời điểm t Pt+1 là giá cổ phiếu tại thời điểm t+1 rt là lợi suất của cổ phiếu tại thời điểm t Ta có chuỗi lợi suất của BT6 như sau: 1 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 date p-close r 1 8/1/2006 38.2 2 8/2/2006 38.2 0 3 8/3/2006 40.1 0.04973822 4 8/4/2006 42.1 0.049875312 5 8/7/2006 40 -0.04988124 6 8/8/2006 41 7 8/9/2006 8 8/10/2006 42.5 9 8/11/2006 43.9 0.032941176 10 8/14/2006 46 0.047835991 11 8/15/2006 47 12 8/16/2006 48.1 0.023404255 13 8/17/2006 48.1 14 8/18/2006 47.5 -0.01247401 15 8/21/2006 47 -0.01052632 16 8/22/2006 46 0.025 42.5 0.036585366 2 0 0.02173913 0 -0.0212766 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 17 8/23/2006 46 0 18 8/24/2006 46 0 19 8/25/2006 46 0 20 8/28/2006 46.5 0.010869565 21 8/29/2006 47.5 0.021505376 22 8/30/2006 48 0.010526316 23 8/31/2006 48 24 9/1/2006 25 9/5/2006 49.3 0.04893617 26 9/6/2006 49.3 0 27 9/7/2006 48.5 -0.01622718 28 9/8/2006 48.5 29 9/11/2006 48.1 -0.00824742 30 9/12/2006 47.1 -0.02079002 31 9/13/2006 32 9/14/2006 47.6 -0.00833333 33 9/15/2006 47.8 0.004201681 0 47 -0.02083333 48 3 0 0.01910828 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 34 9/18/2006 48 35 9/19/2006 48.2 0.004166667 36 9/20/2006 48.5 0.006224066 37 9/21/2006 49 0.010309278 38 9/22/2006 49.4 0.008163265 39 9/25/2006 51.5 0.042510121 40 9/26/2006 54 0.048543689 41 9/27/2006 55.5 0.027777778 42 9/28/2006 54 -0.02702703 43 9/29/2006 53 -0.01851852 44 10/2/2006 55 0.037735849 45 10/3/2006 56 0.018181818 46 10/4/2006 55 -0.01785714 47 10/5/2006 53.5 -0.02727273 48 10/6/2006 54 0.009345794 49 10/9/2006 54 50 10/10/2006 0.0041841 0 53 -0.01851852 4 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 51 10/11/2006 53 0 52 10/12/2006 53.5 0.009433962 53 10/13/2006 53 -0.00934579 54 10/16/2006 53.5 0.009433962 55 10/17/2006 52 -0.02803738 56 10/18/2006 52.5 0.009615385 57 10/19/2006 54 0.028571429 58 10/20/2006 53.5 -0.00925926 59 10/23/2006 53 -0.00934579 60 10/24/2006 53 61 10/25/2006 0 52.5 -0.00943396 62 10/26/2006 53 0.00952381 63 10/27/2006 53 0 64 10/30/2006 51.5 -0.02830189 65 10/31/2006 52 0.009708738 66 11/1/2006 52.5 0.009615385 67 11/2/2006 52 -0.00952381 5 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 68 11/3/2006 52.5 0.009615385 69 11/6/2006 52.5 70 11/7/2006 53.5 0.019047619 71 11/8/2006 54 0.009345794 72 11/9/2006 54.5 0.009259259 73 11/10/2006 54 -0.00917431 74 11/13/2006 55 0.018518519 75 11/14/2006 55.5 0.009090909 76 11/15/2006 55 -0.00900901 77 11/16/2006 54 -0.01818182 78 11/17/2006 54 0 79 11/20/2006 54 0 80 11/21/2006 54 0 81 11/22/2006 0 54.5 0.009259259 82 11/23/2006 57 0.04587156 83 11/24/2006 59.5 0.043859649 84 11/27/2006 57 -0.04201681 6 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 85 11/28/2006 59.5 0.043859649 86 11/29/2006 57 -0.04201681 87 11/30/2006 58.5 0.026315789 88 12/1/2006 57.5 -0.01709402 89 12/4/2006 57 -0.00869565 90 12/5/2006 55 -0.03508772 91 12/6/2006 57.5 0.045454545 92 12/7/2006 60 0.043478261 93 12/11/2006 63 0.05 94 12/12/2006 60 -0.04761905 95 12/13/2006 61 0.016666667 96 12/14/2006 60 -0.01639344 97 12/15/2006 58.5 98 12/18/2006 57.5 -0.01709402 99 12/19/2006 58 0.008695652 100 12/20/2006 55.5 -0.04310345 101 12/21/2006 53.5 -0.03603604 7 -0.025 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 102 12/22/2006 53 -0.00934579 103 12/25/2006 55.5 0.047169811 104 12/26/2006 58 0.045045045 105 12/27/2006 57 -0.01724138 106 12/28/2006 56 -0.01754386 107 12/29/2006 55 -0.01785714 108 1/2/2007 54.5 -0.00909091 109 1/3/2007 56 0.027522936 110 1/4/2007 58 0.035714286 111 1/5/2007 58 112 1/8/2007 57 -0.01724138 113 1/9/2007 57 114 1/10/2007 56.5 -0.00877193 115 1/11/2007 57.5 0.017699115 116 1/12/2007 58.5 0.017391304 117 1/15/2007 60 0.025641026 118 1/16/2007 62 0.033333333 8 0 0 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 119 1/17/2007 59.5 -0.04032258 120 1/18/2007 59 -0.00840336 121 1/19/2007 59.5 0.008474576 122 1/22/2007 57 -0.04201681 123 1/23/2007 59 0.035087719 124 1/24/2007 61 0.033898305 125 1/25/2007 60 -0.01639344 126 1/26/2007 60 0 127 1/29/2007 60 0 128 1/30/2007 61 0.016666667 129 1/31/2007 61 0 130 2/1/2007 61 0 131 2/2/2007 61 0 132 2/5/2007 64 0.049180328 133 2/6/2007 67 134 2/7/2007 70 0.044776119 135 2/8/2007 66.5 9 0.046875 -0.05 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 136 2/9/2007 65.5 -0.01503759 137 2/12/2007 67 0.022900763 138 2/13/2007 68 0.014925373 139 2/14/2007 68 0 140 2/15/2007 68 0 141 2/26/2007 71 0.044117647 142 2/27/2007 74.5 0.049295775 143 2/28/2007 76 0.020134228 144 3/1/2007 79.5 0.046052632 145 3/2/2007 83 0.044025157 146 3/5/2007 87 0.048192771 147 3/6/2007 91 0.045977011 148 3/7/2007 88 -0.03296703 149 3/8/2007 86 -0.02272727 150 3/9/2007 85 -0.01162791 151 3/12/2007 86 0.011764706 152 3/13/2007 87 0.011627907 10 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 153 3/14/2007 83 -0.04597701 154 3/15/2007 80 -0.03614458 155 3/16/2007 82 156 3/19/2007 84 0.024390244 157 3/20/2007 83 -0.01190476 158 3/21/2007 80 -0.03614458 159 3/22/2007 77 -0.0375 160 3/23/2007 77 0 161 3/26/2007 75 -0.02597403 162 3/27/2007 71.5 -0.04666667 163 3/28/2007 69 -0.03496503 164 3/29/2007 72 0.043478261 165 3/30/2007 75.5 0.048611111 166 4/2/2007 72 -0.04635762 167 4/3/2007 70 -0.02777778 168 4/4/2007 72 0.028571429 169 4/5/2007 72 11 0.025 0 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 170 4/6/2007 71 -0.01388889 171 4/7/2007 74 0.042253521 172 4/9/2007 69 -0.06756757 173 4/10/2007 69 0 174 4/11/2007 69 0 175 4/12/2007 66 -0.04347826 176 4/13/2007 63.5 -0.03787879 177 4/16/2007 60.5 -0.04724409 178 4/17/2007 57.5 -0.04958678 179 4/18/2007 60 0.043478261 180 4/19/2007 63 181 4/20/2007 62 -0.01587302 182 4/23/2007 61.5 -0.00806452 183 4/24/2007 60 -0.02439024 184 5/2/2007 62 0.033333333 185 5/3/2007 62 0 186 5/4/2007 62 0 12 0.05 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 187 5/7/2007 65 0.048387097 188 5/8/2007 66 0.015384615 189 5/9/2007 65 -0.01515152 190 5/10/2007 63 -0.03076923 191 5/11/2007 65 0.031746032 192 5/14/2007 65.5 0.007692308 193 5/15/2007 66.5 0.015267176 194 5/16/2007 65.5 -0.01503759 195 5/17/2007 65 -0.00763359 196 5/18/2007 64 -0.01538462 197 5/21/2007 64 0 198 5/22/2007 64.5 0.0078125 199 5/23/2007 64.5 0 200 5/24/2007 201 5/25/2007 63.5 -0.0078125 202 5/28/2007 63.5 0 203 5/30/2007 62.5 -0.01574803 64 -0.00775194 13 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 204 5/31/2007 63 205 6/1/2007 61.5 -0.02380952 206 6/4/2007 61 -0.00813008 207 6/5/2007 59.5 -0.02459016 208 6/6/2007 60 0.008403361 209 6/7/2007 60.5 0.008333333 210 6/8/2007 61 0.008264463 211 6/11/2007 61.5 0.008196721 212 6/12/2007 61 -0.00813008 213 6/13/2007 61.5 0.008196721 214 6/14/2007 60.5 -0.01626016 215 6/15/2007 60.5 216 6/18/2007 60 -0.00826446 217 6/19/2007 59.5 -0.00833333 218 6/20/2007 59.5 219 6/21/2007 58.5 -0.01680672 220 6/22/2007 57.5 -0.01709402 14 0.008 0 0 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 221 6/25/2007 55 -0.04347826 222 6/26/2007 56.5 0.027272727 223 6/27/2007 56.5 224 6/28/2007 55.5 -0.01769912 225 6/29/2007 56 0.009009009 226 7/2/2007 55.5 -0.00892857 227 7/3/2007 53.5 -0.03603604 228 7/4/2007 55.5 0.037383178 229 7/5/2007 54.5 -0.01801802 230 7/6/2007 54.5 0 231 7/9/2007 57 0.04587156 232 7/10/2007 59.5 0.043859649 233 7/11/2007 62 0.042016807 234 7/12/2007 65 0.048387097 235 7/13/2007 64.5 -0.00769231 236 7/16/2007 61.5 -0.04651163 237 7/17/2007 64 0.040650407 15 0 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 238 7/18/2007 62.5 -0.0234375 239 7/19/2007 61.5 -0.016 240 7/20/2007 61.5 0 241 7/23/2007 61.5 0 242 7/24/2007 60 -0.02439024 243 7/25/2007 59 -0.01666667 244 7/26/2007 58 -0.01694915 245 7/27/2007 57.5 -0.00862069 246 7/30/2007 57 -0.00869565 247 7/31/2007 56 -0.01754386 248 8/1/2007 58.5 0.044642857 249 8/2/2007 57.5 -0.01709402 250 8/3/2007 57.5 251 8/6/2007 59 0.026086957 252 8/7/2007 59 0 253 8/8/2007 59 0 254 8/9/2007 0 59.5 0.008474576 16 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 255 8/10/2007 60 0.008403361 256 8/13/2007 60.5 0.008333333 257 8/14/2007 62 0.024793388 258 8/15/2007 64 0.032258065 259 8/16/2007 62.5 -0.0234375 260 8/17/2007 61.5 -0.016 261 8/20/2007 62 0.008130081 262 8/21/2007 62 0 263 8/22/2007 62 0 264 8/23/2007 62 0 265 8/24/2007 62.5 0.008064516 266 8/27/2007 62.5 0 267 8/28/2007 62.5 0 268 8/29/2007 62 -0.008 269 8/30/2007 270 8/31/2007 62.5 0.008064516 63 17 0.008 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 18 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 I, MỘT SỐ QUAN SÁT VỀ CHUỖI LỢI SUẤT CỦA GIÁ CỔ PHIẾU BT6. 1, đồ thị của chuỗi lợi suất: a) kiểm định tính dừng của chuỗi lợi suất, ta có kết quả: ADF Test - 1% Critical Statistic 14.298 Value* 2.573 96 3 5% Critical Value 1.940 8 19 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775.368 10% Critical - Value 1.616 3 *MacKinnon critical values for rejection of hypothesis of a unit root. Augmented Dickey-Fuller Test Equation Dependent Variable: D(R) Method: Least Squares Date: 11/22/04 Time: 18:08 Sample(adjusted): 3 270 Included observations: 268 after adjusting endpoints Variable Coeffic ient R(-1) Std. t- Prob. Error Statistic - 0.0606 20 - 0.000
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