M HNH GARCH M hnh ARCH c bit c xy dng lp m hnh v d bo v phng sai c iu kin.

. M hnh ARCH c Engle gii thiu vo nm 1982 v m hnh GARCH c gii thiu bi Bollerslev vo nm 1986. Nhng m hnh ny c s dng rng ri trong cc m hnh ton kinh t, c bit l trong phn tch chui thi gian ti chnh ging nh Bollerslev, Chou, Kroner thc hin vo nm1992 v Bolleslev, Engle, Nelson tin hnh vo nm 1994. M hnh GARCH (Generalised Autoregressive Conditional Heteroskedasticity) l m hnh tng qut ha cao hn m hnh ARCH. M hnh GARCH(p,q) c dng sau y: (*)

Trong : p: l bc ca m hnh GARCH. q: l bc ca m hnh ARCH. Phng trnh (*) ni ln rng phng sai ht by gi ph thuc vo c gi tr qu kh ca nhng c sc, i din bi cc bin tr ca hng nhiu bnh phng, v cc gi tr qu kh ca bn thn ht i din bi cc bin ht-i. Dng n gin nht ca m h hnh GARCH l GARCH(1,1), c biu din nh sau:

Mt ch li r rng nht m hnh GARCH mang li so vi m hnh ARCH l ARCH(q) v tn = GARCH(1,1). Nu ARCH c qu nhiu tr (q ln) th c th s nh hng n kt qu c lng do gim ng k s bc t do trong m hnh. Mt chui d liu cng nhiu tr s c nhiu bin b mt.

1.1 M hnh GARCH-M M hnh GARCH-M cho php gi tr trung bnh c iu kin ph thuc vo phng sai c iu kin ca chnh n. V d xem xt hnh vi cc nh u t thuc dng e ngi ri ro v v th h c xu hng i hi thm mt mc ph b ri ro khi quyt nh nm gi mt ti sn ri ro. Nh vy, ph b ri ro l mt hm ng bin vi ri ro; ngha l ri ro cng cao th ph b ri ro phi cng nhiu. Nu ri ro c o lng bng mc dao ng hay bng phng sai c iu kin th phng sai c iu kin c th l mt phn trong phng trnh trung bnh ca bin Yt. Theo cch ny, m m hnh GARCH-M s c dng sau:

1.2 M hnh TGARCH Hn ch ln nht ca trong cc m hnh ARCH v GARCH l chng c gi nh c tnh cht i xng. iu ny c ngha l cc m hnh ny ch quan tm n gi tr tuyt i ca cc c sc ch khng quan tm n du ca chng (bi v hng nhiu th hin di dng bnh phng). V th, trong cc m hnh ARCH/GARCH, mt c sc mnh c gi tr dng nh hng ln s dao ng ca chui d liu hon ton ging vi mt c sc mnh c gi tr m. Tuy nhin, thc t, kinh nghim cho thy c bit trong ti chnh cc c sc m (hoc tin tc xu) trn th trng c tc ng mnh v dai dng hn so vi c sc dng (hoc tin tt) hay ni cch khc l c s bt cn xng thng tin trong th trng. Chnh v vy, Zakoian (1990) m hnh ho s khc bit tc ng ca loi thng tin ln th trng bng m hnh TGARCH. M hnh TGARCH xem xt tnh cht bt cn xng gia cc c sc m v dng hoc tnh hiu qu ca th trng. M hnh hnh TGARCH c biu din nh sau:

hoc

Trong , dt l bin gi c gi tr:

Nu j c ngha thng k, th cc tin tc tt v tin tc xu s c nh hng khc nhau ln phng sai. C th, tin tc tt ch c nh hng j, trong khi , tin tc xu c nh hng (j +j ). Nu j >0 th chng ta c th ni rng c s bt cn xng trong tc ng gia tin tc tt v tin tc xu. Ngc li, nu j = 0 th tc ng ca t tin tc c tnh cht cn xng. Trn l nhng kin thc nn tng ca m hnh ARIMA, ARCH/GARCH. u im ca m hnh cho ta thy kh nng ng dng rt cao cho cng tc d bo v phn tch ri ro ca cc d liu ti chnh, c bit l chui d liu ca th trng chng khon. Tuy th gii ch mi bit n v s dng m hnh k t cui th k XX nhng ch vi chc nm vi s h tr ca khoa hc cng ngh thng tin ng dng, m hnh cng c nhn rng v pht trin ln mt tm cao mi. Kinh nghim s dng m hnh ARIMA, ARCH/GARCH trn th gii trong lnh vc chng khon s cho ta thy iu .
Ti liu tham kho: - Lun vn Thc s Phn tch d bo gi v ri ro th trng c phiu nim yt Vit Nam L Tun Bch - ti S dng m hnh ARCH v GARCH phn tch v d bo gi c phiu trn th trng chng khon Vit Nam