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CHNG 13

BO V I M HNH ARIMA

D bo ti chnh d ng nh l m t khoa h c gp ph n lm cho chim tinh h c tr nn ng tin c y hn. Burton Malkiel, A Random Walk Down Wall Street (1985)1

M C TIU

B C C

Tm hi u m t s qu trnh ng u nhin Qu trnh ng u nhin c bi t nh nhi u tr ng, b c ng u M t s qu trnh ng u nhin c bi t Tnh d ng nhin M hnh d bo trn bi n chu i th i gian Hi u khi ni m tnh d ng c a qu trnh d ng khng c tnh ma ng u nhin. T c kh nng ki m M hnh d bo trn bi n chu i th i gian c nh c tnh d ng c a bi n chu i th i tnh ma gian v bi n i s li u n c tnh M hnh ARIMA d ng Phng php lu n Box-Jenkins C kh nng nh n d ng v xy d ng m hnh d bo trn s li u chu i th i M hnh ARIMA cho bi n chu i th i gian c tnh ma (SARIMA) gian d ng Tm t t nh n d ng m t s m hnh ARIMA N m phng php lu n Box-Jenkins ng v i ph n trong vi c xy d ng m hnh ARIMA Xy d ng m hnh ARIMA t m m Autobox cho s li u chu i th i gian khng d ng H n ch c a cc m hnh ARIMA Xy d ng ARIMA v i Eviews

Theo Ernst R.Berndt (1991). The Practice of Econometrics: Clasical and Contemporay. Addison-Wesley Publishing Company

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13.1. Qu trnh ng u nhin Quan i m xy d ng m hnh d bo mang tnh th ng k c a chng ny l gi tr c a bi n s c n d bo tun theo m t qu trnh ng u nhin theo m t quy lu t no . Nhi m v c a nh d bo l xy d ng m t m hnh m t b n ch t qu trnh ng u nhin t o ra gi tr c a bi n s . Khc v i k thu t h i quy, tnh ng u nhin ch khng ph i quan h nhn qu ng vai tr quan tr ng trong qu trnh ny. 13.2. M t s qu trnh ng u nhin c bi t 13.2.1. Nhi u tr ng (White noise) Nhi u tr ng l m t qu trnh ng u nhin c trung bnh b ng 0, phng sai khng i v t t c cc h s t tng quan b ng 0. Nh l i cc gi thi t c a m hnh h i quy tuy n tnh c i n, n u tho mn cc gi thi t ny th ph n d c a h i quy tun theo nhi u tr ng.
White noise
10

0 1 -2 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

-4

-6

-8

-10

Hnh 13.1. M t nhi u tr ng theo phn ph i th ng c l ch chu n b ng 5. Khi m t bi n s c xc nh l m t nhi u tr ng th chng ta khng th xy d ng m hnh d bo m c d c th xy d ng m hnh xc su t m ph ng n. 13.2.2. B c ng u nhin (Random Walk) Tn g i b c ng u nhin th hi n tnh khng th on tr c c, qu trnh ny c v nh b c chn lo ng cho ng c a ng i say r u. Trong qu trnh tun theo b c ng u nhin, s thay i c a bi n s Y c rt ra m t cch c l p t m t phn ph i c trung bnh b ng 0. V y Yt = Yt 1 + t (13.1) V i E ( t) = 0 v E ( t s ) = 0, t s D bo cho th i o n t l 2

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Cc m hnh d bo n gi n

Yt = E (Yt ) = E (Yt 1 + t ) = Yt 1 + E ( t ) = Yt 1
D bo cho th i o n t+1 l Yt +1 = E (Yt + t +1 ) = E (Yt ) + E ( t +1 ) = Yt 1 V y d bo cho bao nhiu th i o n t i cng l Yt 1 . Tuy nhin, sai s c a d bo tng d n Sai s d bo cho th i k t+1 et +1 = Yt +1 Yt +1 = Yt + t +1 Yt = t +1 Phng sai c a c l ng var(et +1 ) = E ( t2+1 ) = 2 Sai s d bo cho th i k t+2 et + 2 = Yt + 2 Yt + 2 = Yt + t +1 + t + 2 Yt = t +1 + t + 2 Phng sai 2 2 2 var(et + 2 ) = E ( t +1 + t + 2 ) = E ( t +1 ) + E ( t + 2 ) + 2 E ( t +1 t + 2 ) = 2 2

(13.2) (13.3)

(13.4) (13.5) (13.6)

(13.7) V y m c d gi tr d bo khng i nhng sai s c a d bo tng d n. Tng t nh nhi u tr ng, khng th xy d ng m hnh d bo trn chu i tun theo b c ng u nhin. Gi s gi c a m t lo i c phi u Y phin u tin l 100 (ngn VND/c phi u) v tun theo b c ng u nhin v i nhi u tr ng tun theo phn ph i th ng v i l ch chu n l 5. V i ba l n m ph ng (ba k ch b n) gi 10 phin giao d ch c a c phi u say ny chng ta nh n c k t qu nh sau.
The Drunken Stock
130 120 110 100

'000 VND

90 80 70 60 50 0 1 2 3 4 5 6 7 8 9 10
KB1 KB2 KB3

Phin

Hnh 13.2. Qu trnh b c ng u nhin 13.2.3. B c ng u nhin v i thnh ph n xu h ng

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Cc m hnh d bo n gi n

Bi n s hon ton tun theo b c ng u nhin t g p trong th c t , tnh hu ng chng ta g p th ng xuyn hn l bi n s c tnh xu h ng. Yt = Yt 1 + g + t (13.8) V i g l m c tng tr ng k v ng c a m t th i o n. Tr l i v d v gi c phi u, gi s c phi u Y tng trung bnh 2 ngn VND m t phin. Chng ta c th m ph ng qu trnh tng gi c a Y qua 10 phin nh sau. M c d chng ta vn c th d bo cho qu trnh b c ng u nhin c tnh xu h ng nhng phng sai c a d bo v n l n nh qu trnh b c ng u nhin thu n tu.

140 130 120 110

'000 VND

100 90 80 70 60 50 0 1 2 3 4 5 6 7 8 9 10

Phin

Hnh 13.3. Qu trnh b c ng u nhin c tnh xu h ng 13.3. Tnh d ng 13.3.1. S li u d ng v khng d ng Cc k thu t d bo trong chng ny d a trn gi thi t l qu trnh ng u nhin t o ra bi n s chu i th i gian c n d bo l b t bi n theo th i gian hay d ng. Khi bi n s tun theo qu trnh d ng th c th bi u di n chu i th i gian trong qu kh v tng lai b ng m t m hnh i s n gi n. M t bi n chu i th i gian d ng ph i c ba tnh ch t (1) Trung bnh khng (2) Phng sai khng i theo th i gian: E (Yt ) = Y , t
2 i theo th i gian: var(Yt ) = E (Yt Y ) 2 = Y = 2 , t

(3) H s t tng quan khng

i theo th i gian: rk =

E[(Yt Y )(Yt k Y )]

= k , t

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Cc m hnh d bo n gi n

M t bi n s chu i th i gian ch c n khng c m t trong ba tnh ch t trn th c g i l chu i th i gian khng d ng. 13.3.2. Ki m (1) Nh n nh tnh d ng nh b ng th

N u s li u c tnh xu h ng th n khng d ng, v y n u m t cch tr c quan chng ta th y tnh xu h ng di h n th bi n chu i th i gian khng d ng. Ngoi ra trn th chng ta cng c th d dng nh n ra phng sai khng ng nh t. Ring tnh t tng quan th kh nh n bi t hn. th hnh 13.1 bi u di n t gi la M t 1-2002 n 92007. Chng ta th y trung bnh tng theo th i gian. V y t gi la M khng d ng.
16400

16200

16000

15800

15600

15400

15200

15000

14800

14600

14400 Nov-02 Nov-03 Nov-04 Nov-05 Sep-02 Nov-06 Sep-03 Jul-02 Sep-04 Jul-03 Sep-05 Jul-04 Sep-06 Jan-02 Jul-05 May-02 May-03 May-04 May-05 May-06 May-07 Sep-07 Jan-03 Jan-04 Jul-06 Jan-05 Jan-06 Mar-02 Mar-03 Mar-04 Mar-05 Mar-06 Jan-07 Mar-07 Jul-07

Hnh 13.4. T gi VND/USD Ngu n: Ch s gi USD c a T ng C c Th ng K v tnh ton hon nguyn gi g c c a tc gi Hnh 13.2 bi u di n t l tng gi lng th c-th c ph m hng thng t 1-2002 n 92007. Chu i ny xem nh d ng v trung bnh nhng c v nh n vi ph m tnh d ng v phng sai v c u trc t tng quan. Ngoi ra chng ta c th th y tnh ma r r t. Gi lng th c-th c ph m tng cao vo thng 2 (t t c truy n) sau s t gi m trong thng 3, quy trnh ny l p i l p l i hng nm.

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6.00%

5.00%

4.00%

3.00%

2.00%

1.00%

0.00% Aug-02 Aug-03 Aug-04 Aug-05 Aug-06 Apr-02 Aug-07 Apr-03 Apr-04 Apr-05 Apr-06 Feb-02 Jun-02 Dec-02 Feb-03 Jun-03 Dec-03 Feb-04 Jun-04 Dec-04 Feb-05 Jun-05 Dec-05 Feb-06 Jun-06 Dec-06 Feb-07 Apr-07 Oct-02 Oct-03 Oct-04 Oct-05 Oct-06 Jun-07

-1.00%

-2.00%

-3.00%

Hnh 13.5. T l tng gi lng th c-th c ph m Ngu n: T ng C c Th ng K Trong th c hnh, tnh d ng v trung bnh l i u ki n quan tr ng nh t xy d ng cc m hnh d bo ng n h n, v phng php th cho chng ta k t lu n nhanh v tnh d ng c a chu i. (2) Php ki m Ki m nh nghi m n v (Unit root test) nh nghi m n v (Unit root test) theo Dickey-Fuller nh sau2

Gi s bi n Y tun theo qu trnh t h i quy b c 1

Yt = + Yt 1 + t
v i v l cc tham s v t l nhi u tr ng.

(13.9)

i u ki n c n chu i d ng l 1 < < 1 . N u > 1 th chu i c xu h ng bng n (gi tr tng r t nhanh), hay chu i khng d ng. N u = 1 th chu i theo qu trnh b c ng u nhin c xu h ng, hay chu i cng khng d ng. V y gi thuy t khng cho ki m nh tnh d ng l = 1 v i thuy t l < 1 . T (13.9) rt ra h i quy cho ki m nh l

Yt = + ( 1)Yt 1 + t Yt = + Yt 1 + t
N u Y tun theo qu trnh t h i quy b c cao hn th s d ng h i quy ki m
2

(13.10) nh

Theo Brooks (2002), Introductory Econometrics for Finance, Cambridge University Press, trang 375.

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Cc m hnh d bo n gi n

Yt = + Yt 1 + i Yt i + t
i =1

(13.11)

H0: H1:

= 0 , Chu i khng d ng < 0 , Chu i c tnh d ng

nh l (13.12)
se( )

N u < 0 th chu i c tnh d ng. V y tr th ng k ki m

ADF =

ADF r t gi ng tr th ng k t trong h i quy thng th ng, nhng gi tr t i h n c a tr th ng k ny khng th tra theo b ng th ng k t-Student m c xc nh b ng th c nghi m. Diskey-Fuller tnh ton v McKinnon hi u ch nh gi tr t i h n cho cc tr ng h p c th . Eviews bo co gi tr t i h n Mc Kinnon cho t ng php ki m inh c th . N u tr th ng k ADF nh hn gi tr t i h n Mc Kinnon th bc b H0, hay chu i th i gian c tnh d ng. Thao tc ki m nh trn Eviews nh sau: <C a s bi n s >/ View/ Unit Roots Test/ Augmented Diskey-Fuller/ Lags: p Chng ta th c hi n ki m nh trn 2 bi n t gi VND/USD v t l tng gi lng th cth c ph m trong v d ph n trn.

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Hnh 13.6. K t qu ki m

nh Augmented Diskey-Fuller cho bi n VND/USD

K t qu ki m nh cho ADF = -1.515> -2.9 = ADF=5% cho k t lu n l khng bc b c bi n t gi VND/USD khng c tnh d ng v i m c ngha 95%. K t qu ki m nh cho ADF = -3.859< -2.9 = ADF=5% cho k t lu n l bi n tng gi lng th c-th c ph m INFL_FOODS c tnh d ng v i m c ngha 5%.

Hnh 13.7. K t qu ki m 13.3.3. Bi n

nh Augmented Diskey-Fuller cho bi n INFL_FOODS

i s li u khng d ng thnh d ng c bi n i thnh d ng b ng cch l y sai (13.13) (13.14)

M t bi n chu i th i gian khng d ng c th phn b c 1 I (1)t = d (Yt ) = Yt Yt 1

N u sai phn b c 1 cha d ng th ti p t c l y sai phn b c cao hn I ( 2)t = d 2 (Yt ) = d (Y )t d (Yt 1 )

Thng th ng chu i sai phn b c 1 c tnh d ng. V d chng c ch s gi tiu dng CPI c xu h ng tng nhng sai phn c a n l i c tnh d ng (hnh 13.8).

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150

4 3

140
2

130

1 0 -1

120

110
-2

100 2002

2003

2004

2005 CPI

2006

2007

-3 2002

2003

2004

2005 DCPI

2006

2007

Ch s gi tiu dng (12/2001=100) M c tng CPI ( DCPIt=d(CPIt) Hnh 13.8. Ch s gi tiu dng v sai phn c a n Trong th c t th sai phn c a CPI (m c tng tuy t i) khng c ngha kinh t b ng khi ni m l m pht (m c tng tng i) d (CPI t ) INFLATION t = (13.15) CPI t
0.03 0.02 0.01 0.00 -0.01 -0.02 -0.03 2002

2003

2004

2005

2006

2007

INFLAT IO N

Hnh 13.9. L m pht c tnh d ng 13.3.4. Hm t tng quan v hm t tng quan ring ph n (1) Hm t tng quan (AC-Autocorrelation) Hm t tng quan v i tr k
E [(Yt )(Yt k )]

k =

E (Yt ) 2 E (Yt k ) 2

][

(13.16)

i v i chu i th i gian d ng, E (Yt ) 2 = E (Yt k ) 2 = 2 . V y

] [

k =

E [(Yt )(Yt k )]

(13.17)

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Trong th c hnh chng ta ch tnh Autocorrelation)

n

c hm t

tng quan m u (SAC-Sample

(Y Y )(Y
t t = k +1

t k

Y ) (n k )
2

rk =

(Y Y )
t t =1

(13.18)

Trong tr ng h p t t c cc h s t tng quan u b ng 0 v i cc k>0, chng ta c tr ng h p g i l qu trnh nhi u tr ng, h qu l cc h th p s c m nh c a cc m hnh d bo d a trn tnh ch t c a chu i th i gian. Tr th ng k QLjung-Box c
p

nh ngha nh sau.
rj2

QLB , p = n (n + 2)
j =1

(T j )

(13.19) n b c p.

H0: 1 = 2 = K = p = 0, khng t n t i t tng quan

D i gi thuy t khng, QLB , p tun theo phn ph i Chi-bnh phng v i p b c t do. Quy t c quy t 5%.
2 N u QLB , p p ,95% th khng th bc b H0 hay khng t n t i t tng quan

nh n b c p v i m c ngha

2 N u QLB , p > p ,95% th bc b H0 hay c t n t i t tng quan

nb cpv i nh. Ch

m c ngha 5%. Eviews tnh ton s n gi tr P c a QLB , p nn cng ti n l i cho thao tc ki m l n u c th bc b H0 n b c p th khng c n xt ti p n b c (p+1). Inflation l s li u l m pht c a Vi t Nam t 1-1995 n 12-2005.

10

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0.04 0.03 0.02 0.01 0.00 -0.01 -0.02 95

96

97

98

99

00

01 INF L

02

03

04

05

Hnh 13.10. L m pht hng thng c a Vi t Nam giai o n 1-1995

n 12-2005

nh t tng quan trong Eviews nh sau: Infl/ View/ Thao tc ki m Correlogram/Level/ Lags to includ: 12/OK

Hnh 13.11. Ki m

nh tnh t tng quan c a Infl (Y)

Ngay b c tr th 1 c Prob(Q-Stat) < 5%, v y bi n l m pht c t tng quan v i tr 1 khc 0 v i m c ngha 5%. (2) Hm tng quan ring ph n (PAC-Partial Autocorrelation) Hm t tng quan ring ph n tr k o l ng tng quan gi a cc gi tr Y cch nhau k th i o n sau khi lo i b tng quan gi a cc b c tr trung gian. Eviews o l ng h s tng quan ring ph n b ng cng th c sau

11

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Cc m hnh d bo n gi n

rkk = rk
k 1

,k = 1 ,k > 1 (13.20)

rk rk 1, j rk j rkk =
j =1 k 1

1 rk j , j rj
j =1

V i rk l hm t tng quan v i

tr k. ch nh m hnh ARIMA, m hnh quan

AC v PAC l cc tr th ng k quan tr ng tr ng nh t c a chng ny.

13.2. M hnh d bo trn bi n chu i th i gian d ng khng c tnh ma 13.2.1. M hnh t h i quy (AR)
M hnh t h i quy b c p c d ng AR(p): Y t= + 1Yt 1 + K + pYt p + t V i i l cc tham s cha bi t o l ng nh h ng c a Yt-i. i u ki n qu trnh AR(p) h i t l 0< i <1 v i m i i. (13.22) (13.21)

C th ch ng minh c n u chu i th i gian c tnh d ng th

= (1 1 K p )
i v i chu i tun theo AR(p) (1) AC gi m nhanh d n (ri gi m theo quy lu t n (2) PAC c V yn u i. ii. PAC c nh n tr th p, b ng 0 cc th AC v PAC cho nh nh n cc tr 1,2, , p v gi m nhanh sau tr p nh) tr l n hn p.

AC gi m nhanh d n, v

th chng ta c th k t lu n t m th i l chu i th i gian tun theo m hnh t h i quy b c p.

12

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Cc m hnh d bo n gi n

Hnh 13.12.

th AC v PAC cho m t qu trnh x p x AR(2) nb cp Eviews r t n gi n nh sau:

Th t c c l ng m hnh t h i quy

Quick/ Estimate Equation/ Equation Specification: Y C AR(1) AR(2) AR(p)/OK th AC v PAC (hnh 12.3) g i c th qu trnh ng u nhin Tr l i v d l m pht, theo AR(1). K t qu m hnh AR(1) nh sau.

Hnh 13.13. K t qu m hnh AR(1) cho l m pht Thao tc c l ng l m pht theo AR(1) trn Eviews nh sau: <K t xu t h i quy>/ Procs/ Forecast/ Static/ OK

13

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Hnh 13.14. Giao di n d bo K t qu d bo l m pht cho thng 10-2007 l 0.0048 hay 0,48%.

13.2.2. M hnh trung bnh tr t (MA)

M hnh trung bnh tr t b c q c k hi u l MA(q) c d ng
Yt = + t + 1 t 1 + + q t q

(13.23)

v i d l h ng s , et l nhi u tr ng. i v i chu i tun theo MA(q) 1. AC khc khng n tr th q, b ng 0 cc tr l n hn q. nh). tr 2. PAC gi m nhanh d n (ri gi m theo quy lu t n V yn u iii. iv. AC c th AC v PAC cho nh nh n cc tr 1,2, , q v gi m nhanh sau

PAC gi m nhanh d n th chng ta c th k t lu n t m th i l chu i th i gian tun theo quy trnh trung bnh tr t MA(q). Th t c c l ng m hnh trung bnh tr t tr q Eviews r t n gi n nh sau: Quick/ Estimate Equation/ Equation Specification: Y C MA(1) MA(2) MA(p)/OK th AC v PAC c a l m pht (hnh 13.3) cng g i cho chng ta l l m pht c th tun theo trung bnh tr t 1 th i o n MA(1). K t qu m hnh MA(1) nh sau:

14

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Hnh 13.15. K t qu c l ng m hnh MA(1) K t qu c l ng l m pht theo m hnh MA(1) cho thng 10-2007 l 0.52%.

13.2.3. M hnh t h i quy k t h p v i trung bnh tr t (ARMA)

M hnh ARMA(p,q)
Y t= + 1Yt 1 + K + pYt p + t + 1 t 1 + + q t q

(13.24)

Qu trnh ARMA(p,q) c (1) AC c (2) PAC c nh nh n n tr q, b ng 0 tr p, b ng 0 tr l n hn q. tr l n hn p. tr q Eviews r t n gi n nh sau: Y C AR(1) AR(p) Equation Specification:

Th t c c l ng m hnh trung bnh tr t Quick/ Estimate Equation/ MA(1)MA(q)/OK

S li u l m pht c PAC v AC u c nh xem l m pht tun theo qu trnh ARMA(1,1) K t qu c l ng m hnh ARMA(1,1)

tr 1 v gi m nhanh sau , v y c th

15

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Hnh 13.16. K t qu c l ng ARMA(1,1) K t qu d bo c a m hnh ARMA cho l m pht thng 10-2007 l 0.49%.

13.3. M hnh d bo trn bi n chu i th i gian c tnh ma

V c ba m hnh AR(1), MA(1) v ARMA(1) u l cc m hnh h i quy nn chng ta c th xem xt tnh ph h p c a m hnh b ng h s xc nh R2, c ba m hnh u c ph h p th p (R2<10%). N u nhn l i th AC v PAC chng ta th y c h s m c t tng quan v tng quan ring ph n tr 12 u tr l i nh v l gi tr dng. V y l m pht c a m t thng b t k nm nay c xu h ng g n gi ng nh cng k nm tr c hay l m pht c tnh ma v v i chu k l 12 thng.

16

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Cc m hnh d bo n gi n

Hnh 13.17. AC v PAC c a l m pht Chng ta c th nh n th y tnh ma v c a l m pht r hn khi nhn th 12.13. nh c a l m pht hng nm u ri vo thng 2 (t t m l ch) v th p nh t vo thng 3. Ngoi ra di n bi n c a l m pht c a cc thng khc hng nm kh gi ng nhau.
0.025 0.020 0.015 0.010 0.005 0.000 -0.005 -0.010 05:01 05:07 06:01 06:07 Y 07:01 07:07

Hnh 13.18. Tnh ma v c a l m pht Cc m hnh AR(1), MA(1) v ARMA(1,1) ch c l ng l m pht thng ny d a vo l m pht thng tr c nn k t qu d bo khng chnh xc. M hnh d bo s chnh xc hn n u chng ta hi u ch nh y u t ma v . M t m hnh nh v y l SARMA (Seasonal Autoregressive and Moving Average). M hnh SARMA(1,1) v i hi u ch nh ma v chu k 12 thng trong Eviews c c l ng nh sau Quick/ Estimate Equation/ Equation Specification: Y C AR(1) SAR(12) MA(1) SMA(12)/ OK. M hnh SARMA(1,1) c c l ng nh trn c trnh by l i nh sau.
Yt = 0.003888 + ut (1 0.261L)(1 1.013L12 )ut = (1 + 0.305 L)(1 0.886 L ) t
12

(13.25)

Yt 0.261Yt 1 + 1.013 * Yt 12 0.264 * Yt 13 + t + 0.305 t 1 0.886 t 12 0.264 t 13

M c ph h p c a m hnh tng r t cao so v i ba m hnh khng xt n tnh ma ph n tr c. K t qu c l ng l m pht thng 10-2007 v i SARMA(1,1) l 0.31%.

17

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Cc m hnh d bo n gi n

Hnh 13.19. K t qu c l ng m hnh SARMA(1,1) chu k 12 thng.

13.4. M hnh ARIMA 13.4.1. M hnh ARIMA

Trong cc m c tr c th o lu n v tnh d ng c a s li u chu i th i gian, chng ta th y h u h t chu i th i gian l khng d ng v c th bi n chu i th i gian khng d ng thnh d ng b ng cch l y sai phn c a n. V d doanh thu Y c a h th ng c a hng WalMark t qu 1 nm 1992 n qu 4 nm 2000 c xu h ng tng (hnh 13.20.a). V y s li u doanh thu WalMark khng c tnh d ng. B ng cch l y sai phn c a Y chng ta c c chu i th i gian c tnh d ng (hnh 12.20.b)3.

dYt =

Yt Yt 1 Yt 1

(13.26)

Th t ra s chu i dY ch dng v trung bnh, n v n vi ph m tnh d ng v phng sai, hn n a dY c tnh th i v . Chng ta s x l tnh ma m c ti p theo.

18

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60000 50000 40000

15000

10000

5000 30000 0 20000 10000 0 92 93 94 95 96 97 Y 98 99 00 -5000

-10000 92 93 94 95 96 97 DY 98 99 00

b m c 13.2 cho dY.

Hnh 13.20. Doanh thu theo qu c a Walmark4 V chu i dY d ng nn c th p d ng m hnh ARMA th o lu n Tuy nhin, th AC v SAC c a dY c hnh d ng kh ph c t p.

Hnh 13.21. AC v PAC c a dY (tng tr ng doanh thu c a WalMark) T 12.21 chng ta cha th xc nh chnh xc m hnh ARMA ph h p. Gi s chng ta th nghi m m hnh ARMA(1,1) cho dY.

d (Y t) = + 1Yt 1 + t + 1 t 1

(13.27)

Ngu n: David M. Levine, Timothy K. Krehbiel, Mark L. Berenson (2006). Business Stattistics-A First Course, 3rd Edition. Prentice Hall.

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Hnh 13.22. K t xu t m hnh ARIMA(1,1,1). K t qu d bo cho 4 qu ti p nh sau

2001:1 2001:2 2001:3 2001:4 44534 45512 46490 47467

M hnh 13.27 l ARMA(1,1) cho sai phn b c 1 c a Y. Ng i ta t tn cho lo i m hnh ny l ARIMA(1,1,1). (ARIMA-Autoregressive Integrated Moving Average). T ng qut, m t m hnh c k hi u l ARIMA(p,d,q) c l m hnh ARMA(p,q) c a I(d), v i I(d) l sai phn b c d c a Y.

13.4.2. Phng php lu n Box-Jenkins B c 1: Xc l p m hnh ARIMA(p,d,q)

Dng cc th v cc php ki m nh xc th i gian c tnh d ng. Gi s d li u dng I(d). Dng th SAC v SPAC c a I(d) xc nh b c sai phn c n thi t chu i

nh p v q.

Tri n khai d ng c a m hnh.

B c 2: Tnh ton cc tham s c a m hnh.

Trong m t s d ng ARIMA n gi n chng ta c th dng phng php bnh phng t i thi u. M t s d ng ARIMA ph c t p i h i ph i s d ng cc c l ng phi tuy n. Chng ta khng ph i lo l ng v vi c c l ng tham s v cc ph n m m kinh t l ng nh Eviews s tnh gip chng ta. Quay l i b c 1 xy d ng m hnh v i c p (p,q) khc d ng nh cng ph h p. Gi s chng ta c l ng c m m hnh ARIMA.

B c 3: Ki m tra ch n on
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So snh cc m hnh ARIMA c l ng v i cc m hnh truy n th ng ( ng xu h ng, san b ng s m, trung bnh tr t gi n n) v gi a cc m hnh ARIMA v i nhau ch n m hnh t t nh t.

B c 4: D bo
Dng m hnh t t nh t a ra d bo ng n h n (1 ho c 2 th i o n). Trong a s tr ng h p, m hnh ARIMA cho k t qu d bo ng n h n ng tin c y nh t trong cc phng php d bo.

13.4.3. M hnh ARIMA cho bi n chu i th i gian c tnh ma (SARIMA)

Chng ta c th th y s li u tng tr ng doanh thu c a WalMark c tnh ma, cao nh t vo qu 3 v th p nh t vo qu 4 hng nm (hnh 13.20). V y s li u c a tng tr ng doanh thu c tnh ma v i di l 4.5 M hnh ARIMA c bi n i cho ph h p v i d li u c tnh ma c g i l SARIMA. M hnh SARIMA cho doanh thu c a WalMark c ch nh trn Eviews nh sau: Quick/ Estimate Equation/ Equation Specification: d(Y) C AR(1) SAR(1) MA(1) SMA(1) K t qu c l ng nh sau

Hnh 13.23. K t qu c l ng SARIMA K t qu c l ng doanh thu cho nm 2001 nh sau

2001:1 2001:2
5

64146.61 69330.33

Thng th ng chu k ma l 12 cho s li u thng v 4 cho s li u qu.

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2001:3 2001:4

71392.74 83249.95

13.5. Tm t t nh n d ng m t s m hnh ARIMA

Ch l m hnh ARIMA(p,d,q) chnh l ARMA(p,q) cho sai phn b c d. V y chng ta ch c n nh n d ng cc m hnh ARMA(p,q) l c th nh n d ng c m hnh ARIMA t ng qut. ARIMA(p,q) cn c k hi u l ARIMA(p,0,q). Nh n d ng b c sai phn d c th o lu n cc ph n tr c. Gi s chu i th i gian c tnh d ng (chu i g c ho c l y sai phn) v i k hi u l Y. M hnh ARIMA(p,0,q) cho Y c nh n d ng qua th c a hm t tng quan (AC) v hm t tng quan ring ph n (PAC) nh b ng sau. B ng 13.1. Nh n d ng cc m hnh ARIMA(p,0,q)
M hnh ARIMA(0,0,0)6 ARIMA(1,0,0) ARIMA(2,0,0) ARIMA(0,0,1) ARIMA(0,0,2) ARIMA(1,0,1) ARIMA(p,0,q) AC T t c b ng 0 Ti n t i 0 Ti n t i 0 B ng 0 sau B ng 0 sau B ng 0 sau B ng 0 sau tr 1 tr 2 tr 1 tr p v v v v v v v PAC T t c b ng 0 B ng 0 sau B ng 0 sau Ti n t i 0 Ti n t i 0 B ng 0 sau B ng 0 sau tr 1 tr q tr 1 tr 2

13.6. Xy d ng m hnh ARIMA t

ng v i ph n m m Autobox

13.6.1.Gi i thi u ph n m m Autobox

Ph n m m d bo t ng Autobox do Automatic Forecasting System Inc pht tri n. Phin b n hi n nay l Autobox Version 6.0.0. y l ph n m m mi n ph (free-ware), c th t i v vi ci t t trang web http://www.autobox.com. Qu trnh ci t n gi n, khng i h i b t c m t m no.

13.6.2.Nh p li u vo Autobox
Sau khi ci t xong, ch y chng trnh Autobox s xu t hi n mn hnh Autobox r t n gi n ch v i th c n File v Help. Gi s chng ta c n d bo gi vng v i s li u qu kh t 1-2002 n 9-2007 (69 quan st). M file m i: File/New/ <Nh p thng s kho ng ch a s li u gi vng>

ARIMA(0,0,0) l qu trnh nhi u tr ng (white noise), khng th xy d ng m hnh d bo trn n.

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Hnh 13.24. Nh p thng s cho bi n Gold_Price Chng ta nh n c bi n Gold_Price cha c s li u. By gi Copy gi vng t Excel v dn vo vng s li u v lu File s li u. Chng ta hon t t vi c nh p li u.7

Hnh 12.25. B ng s li u Gold_Price trn Autobox

13.6.3.Ch y m hnh ARIMA trn Autobox

Ch y m hnh b ng cch nh p vo Process, h p tho i ch chng ta c cc tu ch n sau: Automatic: T ng (1) With AFS Rules: theo quy t c c a Autobox (2) With User Rules: theo quy t c ng i s d ng t nh m hnh s xu t hi n,

User Specified Model:

7

Ng i s d ng ch

nh m hnh

Cn m t cch nh p li u n a l Import t Excel.

c gi t tm hi u.

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(3) Implicit Canned Model With AFS Rules: M hnh khng t ng minh v i quy t c c a Autobox (4) Explicit Model With User Rules: M hnh t ng minh v i quy t c c a ng i s d ng (5) Special: c bi t (6) Identification Only: Ch xc nh m hnh

(7) Monte Carlo Simulation With Explicit Model: M ph ng Monte Carlo v i m hnh t ng minh

Hnh 13.26. Ch nh m hnh trn Autobox K thu t xy d ng m hnh d bo th t s r t ph c t p v nhi u k thu t n m ngoi khun kh gio trnh ny. y chng ta ch xem xt hai tr ng h p Automatic (T ng): With AFS Rules (theo quy t c c a Autobox) User Specified Model (Ng i s d ng ch nh m hnh): Implicit Canned Model With AFS Rules (M hnh khng t ng minh v i quy t c c a Autobox).

Ch nh m hnh: Gi s chng ta ch n m hnh c ng Holt-Winter Process/ Implicit Canned Model With AFS Rules/ Next/<Ch n lo i m hnh: HOLT LINEAR TREND PLUS ADDITIVE SEASONAL FACTORS (ARIMA FORM)>/Next/ Finish/<Ch >/ Excecution Completed/ OK.
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K t qu d bo nh sau.

Hnh 13.27. K t xu t d bo theo m hnh c ng c a Autobox c l ng i m cho gi vng thng 10-2007 l 1423.75 ngn ng/ ch . Kho ng tin c y 95% cho gi vng thng 10-2007 l (1343; 1503) c l ng t ng Process/ Automatic/ With AFS Rules / Next/ Finish/<Ch >/ Excecution Completed/ OK.

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Hnh 13.27. K t xu t d bo t ng trn Autobox. c l ng i m cho gi vng thng 10-2007 l 1465 ngn ng/ ch . Kho ng tin c y 95% cho gi vng thng 10-207 l (14333; 1496). ng cho k t qu d bo t t nh t. Trong a s tr ng h p, ch n m hnh t 13.7. H n ch c a cc m hnh ARIMA Tuy nhi u nghin c u cho th y k t qu d bo ng n h n c a cc m hnh ARIMA chnh xc hn cc m hnh d bo truy n th ng nhng n cng c nhi u h n ch .

S quan st c n cho d bo ph i l n. Thng th ng c n trn 60 quan st.

xy d ng m hnh ARIMA

Ch dng d bo ng n h n. Do ARIMA d bo gi tr th i k sau ch d a trn dy s li u cc th i k tr c nn gi tr d bo c dao ng t t d n. D bo cho cc th i k xa ch cn l h ng s ng v i gi tr trung bnh c a chu i d ng. Thng th ng ch dng ARIMA d bo cho m t n hai th i o n. Khng th a cc nh h ng nhn qu c a cc bi n s kinh t c a th i k c n d bo vo m hnh. t ng c a ARIMA l m ph ng di n bi n c a bi n s c n d bo theo di n bi n trong qu kh v i gi nh l cc i u ki n nh h ng n qu trnh ng u nhin c a bi n s c n d bo khng i. V y n u th i k hi n t i c b i c nh khc hon ton v i qu kh th khng th dng ARIMA.

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Xy d ng m hnh ARIMA theo phng php lu n Box-Jenkins c tnh ch t ngh thu t hn l khoa h c, hn n a k thu t v kh i l ng tnh ton kh l n nn i h i ph i c ph n m m kinh t l ng chuyn dng. N u chng ta c n d bo nhanh m khng quan tm l m n c s khoa h c c a m hnh d bo th ph n m m d bo t ng Autobox l s l a ch n s m t.

Tm t t
1. Nhi u tr ng l m t qu trnh ng u nhin c trung bnh b ng 0, phng sai khng t t c cc h s t tng quan b ng 0. i v

2. B c ng u nhin l m t qu trnh m s thay i bi n s c n d bo c rt ra m t cch c l p t m t phn ph i c trung bnh b ng 0. 3. M t bi n chu i th i gian c xem nh tun theo m t qu trnh d ng khi a. Trung bnh khng b. Phng sai khng i theo th i gian: E (Yt ) = Y , t
2 i theo th i gian: var(Yt ) = E (Yt Y ) 2 = Y = 2 , t

c. H s t tng quan khng 4.

i theo th i gian: rk =

E[(Yt Y )(Yt k Y )]

= k , t

a s bi n s kinh t c tnh xu h ng, v y a s bi n chu i th i gian khng d ng. Tuy nhin, sai phn c a chng l i c tnh d ng. Do c th bi n i bi n chu i th i gian khng d ng thnh d ng b ng cch l y sai phn. i v i chu i th i gian d ng, m hnh t h i quy b c p c d ng AR(p): Y t= + 1Yt 1 + K + pYt p + t v i i l cc tham s cha bi t o l ng nh h ng c a Yt-i. V m hnh trung bnh tr t b c q c k hi u l MA(q): Yt = + t + 1 t 1 + + q t q v i d l h ng s , et l nhi u tr ng. M hnh t h i quy k t h p v i trung bnh tr t l (ARMA): Y t= + 1Yt 1 + K + pYt p + t + 1 t 1 + + q t q Qu trnh ARMA(p,q) c

5.

i. ii.

AC c PAC c

nh nh

n n

tr q, b ng 0 tr p, b ng 0

tr l n hn q. tr l n hn p.

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6. M hnh ARMA(p,q) cho sai phn b c d c a bi n c n d bo c g i l m hnh ARIMA. 7. Phng php lu n Box-Jenkins cho m hnh ARIMA l B c 1: Xc l p m hnh ARIMA(p,d,q) B c 2: Tnh ton cc tham s c a m hnh. B c 3: Ki m tra ch n on B c 4: D bo 8. N u khng quan tm n c s khoa h c c a d bo th chng ta c th s d ng ch c nng d bo t ng c a ph n m m Autobox.

Th o lu n v bi t p
1. Qu trnh nhi u tr ng v b c ng u nhin c th x y ra trong th c t khng? Gi i thch. N u c th hy cho v d minh ho . 2. Hy nu u v nh c i m c a d bo theo m hnh ARIMA. 3. Xy d ng m hnh d bo l khoa h c hay ngh thu t? 4. S d ng s li u bi t p 3 chng 12. d bo l m pht c a m t hng cu a.

a. Hy ch n m t m t hng v xy d ng m hnh ARIMA cho 3 thng cu i nm 2007. b. D bo t

ng trn Autobox v so snh v i k t qu d bo

c. D bo tr t gi c a m t hng c ch n trong ba thng cu i nm 2007.

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