Tuyn tp Bo co Hi ngh Sinh vin Nghin cu Khoa hc ln th 7 i hc Nng nm 2010

NG DNG M HNH ARIMA D BO VNINDEX

APPLICATION OF ARIMA MODEL TO FORECAST VNINDEX
SVTH: Bi Quang Trung, Nguyn Quang Minh Nhi,
L Vn Hiu, Nguyn H Diu Uyn
Lp 33K15, Khoa Ti Chnh Ngn hng, Trng i hc Kinh t

GVHD: TS. V Th Thy Anh

Khoa Ti Chnh Ngn hng, Trng i hc Kinh t
TM TT
Th trng chng khon trn th gii ni chung v Vit Nam ni ring lun l ni hp
dn cc t chc v c nhn u t bi mc sinh li cao ca n. Tuy nhin, y cng l mt hot
ng tim n rt nhiu ri ro. V th, vic a ra d bo xu hng bin ng ca ch s gi chng
khon c mt sch lc ph hp cho hot u t ca c nhn, t chc thu ht rt nhiu s
quan tm ca cc nh kinh t lng ti chnh trong v ngoi nc. ti ny cung cp cch thc
xy dng m hnh ARIMA trong d bo ch s VNIndex trn th trng chng khon Vit Nam.
ABSTRACT
Stock markets around the world in general and in Vietnam in particular are always
attractive to investment institutions and individual investors because of its high level of profitability.
However, it is also an operation with a lot of potential risks. Thus, forecasting the trends of the
stock index to adapt a consistent investment strategy for individuals and organizations attracts the
attention of many financial specialists, both domestic and abroad. This research offers a method to
build the ARIMA model in forecasting the VN-Index on this local stock market.

1. t vn
Ra i vo u nm 2000, th trng chng khon Vit Nam tr thnh mt knh
u t ht sc hp dn i vi cc nh u t, t cc t chc u t chuyn nghip cho n
cc nh u t c nhn nghip d nh l. Tuy nhin, bn cnh mc sinh li cao, y cng
l hot ng lun tn ti nhiu ri ro tim n bi nh u t khng phi lc no cng d
on c chnh xc xu hng ca gi c phiu trong tng lai. Do , vic d bo chnh
xc s bin ng gi ca c phiu c mt sch lc nhm phc v cho cng vic kinh
doanh ca cc c nhn, t chc hay hoch nh chin lc ca mt quc gia thu ht rt
nhiu s quan tm ca cc nh kinh t lng ti chnh trong v ngoi nc.
Ti th trng Vit Nam, s bin ng ca ch s VnIndex phn nh ri ro h
thng, v vy, vic d bo c s tng gim ca Vn-Index cng ng thi gip cc nh
u t nhn bit chiu hng bin ng gi ca cc c phiu trn th trng ny.
Trong khun kh ti, chng ti xut s dng m hnh ARIMA v phng
php Box-jenkins d bo ch s VnIndex trong ngn hn cn c vo chui d liu qu
kh. George Box v Gwilym Jenkins (1976) nghin cu m hnh ARIMA
(Autoregressive Integrated Moving Average - T hi qui tch hp Trung bnh trt), v
tn ca h thng c dng gi tn cc qu trnh ARIMA tng qut, p dng vo vic
phn tch v d bo cc chui thi gian. Phng php Box-Jenkins vi bn bc: nhn
dng m hnh th nghim; c lng; kim nh bng chn on; v d bo.
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Tuyn tp Bo co Hi ngh Sinh vin Nghin cu Khoa hc ln th 7 i hc Nng nm 2010

2. Xy dng m hnh ARIMA cho VnIndex

2.1. Gii thiu v s liu
+ Ngun cp nht s liu l trang web cophieu68.com. y l trang web chuyn
cung cp s liu v th trng chng khon Vit Nam.
+ S liu VnIndex c ly t ngy 2/1/2009 ti ngy 30/3/2010. S d nhm thc
hin quyt nh chn chui thi gian ny v VnIndex trong thi gian ny phn nh tng
i tc ng ca nn kinh t v m ln gi chng khon.
2.2. C s l lun
M hnh s dng d liu chui thi gian, xem gi tr trong qu kh ca mt bin s
c th l mt ch tiu tt phn nh gi tr trong tng lai ca n, c th, cho Yt l gi tr ca
bin s ti thi im t vi Yt = f(Yt-1, Yt-2, ..., Y0, t).
Mc ch ca phn tch l thy r mt s mi quan h gia cc gi tr Yt c
quan st n nay cho php chng ta d bo gi tr Yt trong tng lai. Phng php ny
c bit hu ch cho vic d bo trong ngn hn.
M hnh t hi quy p - AR(p): trong m hnh t hi qui qu trnh ph thuc vo
tng trng s ca cc gi tr qu kh v s hng nhiu ngu nhin
Yt = 1Yt-1 + 2Yt-2 + ...+pYt-p + +t
M hnh trung bnh trt q MA(q): trong m hnh trung bnh trt, qu trnh
c m t hon ton bng tng trng s ca cc ngu nhin hin hnh c tr:
Yt = +t 1t-1 2t-2 ...qt-q
M Hnh Hi Quy Kt Hp Trung Bnh Trt - ARMA(p,q):
Yt = 1Yt-1 + 2Yt-2 + ...+pYt-p + +t 1t-1 2t-2 ...qt-q
2.2.1. Xem xt tnh dng ca chui quan st
iu trc tin cn phi lu l hu ht cc chui thi gian u khng dng, v
cc thnh phn AR v MA ca m hnh ARIMA ch lin quan n cc chui thi gian
dng. Quy trnh ngu nhin ca Yt c xem l dng nu trung bnh v phng sai ca
qu trnh khng thay i theo thi gian v gi ng phng sai gia hai thi on ch ph
thuc vo khong cch tr v thi gian gia cc thi on ny ch khng ph thuc vo
thi im thc t m ng phng sai c tnh. Do , nhn din m hnh ARIMA,
chng ta phi thc hin hai bc sau:
C ba cch nhn bit tnh dng ca mt chui thi gian l da vo trn th
ca chui thi gian, th ca hm t tng quan mu hay kim nh Dickey Fuller.
2.2.2. Nhn dng m hnh
Nhn dng m hnh ARMA(p,d,q) l tm cc gi tr thch hp ca p, d, q. Vi d l
bc sai phn ca chui thi gian c kho st, p l bc t hi qui v q l bc trung bnh
trt.
Vic xc nh p v q s ph thuc vo cc th SPACF = f(t) v SACF = f(t). Vi
SACF l hm t tng quan mu v SPACF l hm t tng quan mu ring phn
(Sample Partial Autocorrelation):
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Tuyn tp Bo co Hi ngh Sinh vin Nghin cu Khoa hc ln th 7 i hc Nng nm 2010

+ Chn gi tr ca p nu th SPACF c gi tr cao ti tr 1, 2, ..., p v gim

nhiu sau p v dng hm SAC gim dn.
+ Chn gi tr ca q nu th SACF c gi tr cao ti tr 1, 2, ..., q v gim
nhiu sau q v dng hm SPAC gim dn.
2.2.3. c lng cc tham s ca m hnh
Cc h s
v ca m hnh ARIMA c xc nh bng phng php c
lng thch hp cc i. Sau chng ta kim nh v bng thng k t. c lng sai
s bnh phng trung bnh ca phn d: S2
2.2.4. Kim nh m hnh
Sau khi c lng cc tham s ca mt m hnh ARIMA c nhn dng th,
chng ta cn phi kim nh kim nghim rng m hnh l thch hp. Cc cch thc
thc hin iu ny:
Kim tra phn d et c phi l nhiu trng khng. Nu et l nhiu trng th chp
nhn m hnh, trong trng hp ngc li chng ta phi tin hnh li t u. Cc kim
nh c th s dng l kim nh BP (Box-Priere) hoc kim nh Ljung-box vi tr thng
k Q, hoc kim nh LM.
Nu tn ti nhiu hn mt m hnh ng, m hnh c AIC (Akaike Information
Criterion) nh nht s c la chn.
2.2.5. D bo bng m hnh ARIMA
Mt trong s cc l do v tnh ph bin ca phng php lp m hnh ARIMA l
thnh cng ca n trong d bo. Trong mt s trng hp d bo thu c t phng php
ny c tnh tin cy cao hn so vi cc d bo thu c t cc phng php lp m hnh
kinh t lng truyn thng khc, c bit l i vi d bo ngn hn.
Da vo m hnh ARIMA c lng c, tin hnh xc nh gi tr d bo v
khong tin cy cho d bo vi tin cy 95% v k=1.96 nh sau:
+ D bo im Yt
+ Khong tin cy Yt

k ( t ) Yt

Yt

k ( t)

2.2.6. M hnh ARIMA cho VnIndex

700

.06

600

.04
.02

500
.00
400
-.02
300

-.04

200

-.06
2009M04

2009M07

2009M10

2010M01

2009M04

V N IN D E X

2009M07

2009M10

2010M01

Hnh 1 VNIndex

Hnh 2 T sut sinh li R

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Tuyn tp Bo co Hi ngh Sinh vin Nghin cu Khoa hc ln th 7 i hc Nng nm 2010

xy dng m hnh ARIMA nhm chng ti s dng chui d liu gm 310

quan st t ngy 2/1/2009 ti 30/3/2010. D liu qu kh c t tn l Vnindex sau
c ly logarit t nhin trc khi ly sai phn bc nht c c t sut li tc ca
VnIndex, k hiu l r. th Vnindex=f(t) v r=f(t) c trnh by hnh 1 v hnh 2.
T hnh 2 v s dng kim nh Dickey Fuller cho P-value < 0.05 cho thy chui
R l chui dng.

Hnh 3 th ca hm t tng quan v t tng quan ring phn ca chui R

nh dng cho m hnh chng ta s dng th t tng quan v t tng quan
ring phn ca chui R. Theo th hnh 3, ti k=1 SAC v PAC t cc i 0.261 v
sau gim mnh xung. Do p v q c th nhn cc gi tr l 1. Cc m hnh ARIMA
c th c l ARIMA (0,1,1), ARIMA(1,1,1), ARIMA(1,1,0)
Trc tin ta dng kim nh LB chn ra cc m hnh c p-value b hn 0.05.
Dng th SAC kim tra chui et thy rng c 4 chui et ca 4 m hnh l nhiu
trng. By gi cn la chn m hnh tt nht s dng cho cng tc d bo, chng ta s
dng tiu chun kim nh Chi bnh phng 2 (4) v tiu chun AIC. Theo kt qa t
eview cho bi bng 1 ta thy m hnh ARIMA(0,1,1) l m hnh ph hp vi R nht.
M hnh

s quan st

Arima(0,1,1)

476

0.129571

-4.976207

Arima(1,1,1)

476

0.104665

-4.966832

Arima(1,1,0)

476

0.061240

-4.964157

AIC

(4)

Bng 1 Kt qu cc thng s kim nh

Dng phng php bnh phng b nht c lng cc tham s ca m hnh.
Thc hin c lng bng Eview ta c m hnh ARIMA(0,1,1) c cc h s nh sau:

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Tuyn tp Bo co Hi ngh Sinh vin Nghin cu Khoa hc ln th 7 i hc Nng nm 2010

rT = 0.001504 + 0.284364

T 1

2.3. D bo VNindex bng m hnh xy dng c

S dng m hnh va xy dng d bo im v khong tin cy cho r ti thi
im ngy 31/3/2010 bng phn mm Eview vi tin cy 95%.
Kt qu thu c r =-0.1495% v khong tin cy l [-0.444676%;0.145676%].
Trong bc u x l s liu ta chuyn VnIndex thnh t sut sinh li r thng qua vic
ly logarit t nhin trc khi ly sai phn bc nht. Do t kt qu ny quy ngc v
Vnindex chng ta s dng cng thc: VnIndext = er.VnIndext-1. T ta c d bo im
v khon tin cy cho Vnindex ngy 31/3/2010 vi mc tin cy 95% l l: 499.952;
[498.46;501.43]
Gi tr Vnindex thc ngy 31/3/2010 l 499,2. Gi tr ny nm trong khong tin cy
95% v xp x gi tr d bo im l 499.952. Sai s d bo l: 0.1506%.
3. Kt lun
Kt qu d bo cho thy gi tr d bo xp x vi gi tr thc t v khon tin cy
95% cng cha gi tr thc t. iu ny chng t tin cy ca m hnh d bo l kh
cao. Trong mt vi phin giao dch do tc ng ca cc yu t ngoi lai ln nh tm l nh
u t, tc ng ca cc th trng chng khon khc, thng tin v s thay i chnh
sch...s lm cho sai s d bo tng cao hn. Do kt qu ca m hnh vn ch mang tnh
cht tham kho nhiu hn. Tuy nhin c th ni m hnh ARIMA l mt m hnh tt d
bo trong ngn hn.
TI LIU THAM KHO
[1] John E.Hanke & Dean W.Wichern, (2005), Business Forecasting, 8th Edition, Chapter 9.
[2] Cao Ho Thi v cc cng s (1998), Bn Dch Kinh T Lng C S (Basic
Econometrics ca Gujarati D.N) Chng trnh ging dy kinh t FulBright ti Vit Nam.
[3] Phng Thanh Bnh, Hng dn s dng Eview trong phn thch d liu v hi quy.
[4] Nguyn Thng (2000), Kinh T Lng ng Dng, Nh xut bn i Hc Quc Gia
Tp.H Ch Minh, tr.238-278
[5] Nguyn Quang Dong (2006), Kinh T Lng (chng trnh nng cao), Nh xut bn
Khoa hc v K thut, H Ni, chng 3-4-5.

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