GARCH MODEL

I. GII THIU Mt trong nhng ng dng quan trng ca m hnh GRACH/ARCH l phn tch s bin ng (volatility) ca cc yu t trn th trng ti chnh theo tng thi k khc nhau. Nhng bin thin ln th thng thng i lin sau l nhng s thay i ln v ngc li. Theo Campbell, lo v Mackinlay, GARCH/ARCH l nhng m hnh thng c s dng phn tch cc xu th theo thi gian dng phi tuyn. H cho rng, m hnh phi tuyn y c xc nh nh sau: Yt = g(ut, ut-1, ut-2,) +ut 2(ut-1, ut-2,) Trong , g l hm s ca phn d trong qu kh v 2 l phng sai c nhn vi sai s hin ti. Cc m hnh trc y c trung bnh v phng sai tuyn tnh nh: ARIMA, ARMA, nhng i vi GARCH/ARCH th trung bnh v phng sai l phi tuyn. Kim nh gin n v ph bin nht i vi phng trnh phi tuyn l kim nh Ramseys RESET. hiu r s vn hnh ca cc m hnh ARCH/GRACH, khi nim v phng sai c iu kin ca mt bin ngu nhin cn c hiu r hn. S phn bit gia phng sai c iu kin v khng iu kin ging nh trung bnh c iu kin v khng iu kin. Phng sai c iu kin c k hiu 2 v c din t nh sau: 2t = Var(ut/ut-1, ut-2,) = E[(ut E(ut))2 ut-1, ut-2,] Gi nh thng thng E(ut) = 0, ta c: 2t = Var(ut/ut-1, ut-2,) = E[ut2 ut-1, ut-2,] Chng ta thy rng phng sai c iu kin ca bin ngu nhin phn phi chun l ut tng ng vi gi tr k vng c iu kin ca ut. Trong m hnh
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ARCH/GRACH, s t tng quan ca mt s bin thin ca nhn t no c thit lp bi phng sai c iu kin ca phn d, 2, ph thuc ngay tc khc bi gi tr phn d bnh phng trc . 2t = 0 + 12t-1 kin nh hiu ng ca m hnh ARCH, cc bc c tin hnh nh sau: Bc 1: Chy hi quy theo phng php bnh phng gin n i vi hm s quan tm: yt = 0 + 1x2t + 2x3t + 3x4t + ut Bc 2: bnh phng phn d ca phng trnh hi quy bc 1 v chy hi quy phn d ny vi nhng tr khc nhau (q): ut(hat) = 0 + 12t-1 (hat) + 22t-2 (hat) + ..+ q2t-q(hat) + t Bc 3: s dng R2 va tm c bc 2, xc nh gi tr TR 2 (T: s quan st ca mu). Kt qu ca gi tr thng k ny c so snh vi gi tr ti hn ca phn phi Chisquare 2 (q). Bc 4: chp nhn hoc bc b gi thuyt H0 H0: 0 = 1= 2 = .= q H1: 0 0 hoc 1 0 hoc 2 0 hoc q 0. II. HN CH CA M HNH ARCH M hnh ARCH cho thy khung phn tch v pht trin nhng m hnh bin thin theo thi gian. Tuy nhin, ARCH th hin nhng kh khn nh sau: - Cha c chun mc xc nh bc q ca m hnh. Mt phng php c s dng l likelihood ratio test, tuy nhin phng php ny cha phi l phng php tt nht. - Gi tr q ca phn d c th l mt son s rt ln c th kim sot c tt c s ph thuc ca phng sai c iu kin. Vic ny dn n m hnh phng sai
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c iu kin khng c gii hn. Engle (1982) khc ph hn ch ny bng cch a ra tr ti a cho m hnh l 4. (lag length on a ARCH (4)). - Rng buc khng m ca phng sai c th b vi phm. Nu nh mi th u gi nguyn, cng nhiu thng s trong phng trnh phng sai c iu kin th cng nhiu kh nng xut hin phng sai m. khc phc nhng hn ch ny, trong thc t m hnh GARCH c s dng thay th m hnh ARCH. III. M HNH GARCH (generalised ARCH model) M hnh c pht trin c lp bi cc nh kinh t hc Bollerslev (1986) v Taylor(1986). M hnh GRACH cho php phng sai c iu kin ph thuc vo tr trc y nh sau: 2t = 0 + 12t-1 + 2t-1 Trn y l m hnh GARCH (1,1) vi gi tr 2 l phng sai c iu kin. S dng m hnh GARCH c th gii thch c phng sai c lng (h t) nh l hm s ca gi tr trung bnh di hn (ph thuc vo 0 ), thng tin v s bin thin ca thi on trc (12t-1) v phng sai c lng trong sut thi gian trc (2t-1). thy r tnh hu hn (parsimoniousness) ca m hn GARCH so vi ARCH, chng ta xem st m hnh GARCH (1,1) nh sau: 2t-1 = 0 + 12t-2 + 2t-2
Hay

2t-2 = 0 + 12t-3 + 2t-3 Thay vo phng trnh 2t: 2t = 0 + 12t-1 + 0 + 12t-2 + 22t-2
Thay 2t-2 vo phng trnh trn ta c:

2t = 0(1+ + 2) + 12t-1 (1+L+2L2) + 32t-3

Mt s khng xc nh c lin tc thay th vo cng thc trn s ch php chng ta hnh thnh c phng trnh tng qut sau: 2t = 0(1+ + 2+..) + 12t-1 (1+L+2L2+.) + 20 Cng thc trn, chng ta thy rng 0(1+ + 2+..) l hng s; hn na khi s quan st ln, th gi tr c xu hng tin v 0. Khi , GRACH(1,1) c th hin nh sau: 2t = 0 + 12t-1 (1+L+2L2+) = 0 + 12t-1 + 12t-2 M hnh GARCH(1,1) l m hnh ARCH c bc c gii hn, cha 3 thng s trong cng thc phng sai c iu kin v cho php s v hn ca cc bnh phng phng sai phn d tc ng n phng sai c iu kin hin ti. Tng qut, m hnh GARCH(p,q) c th hin di dng nh sau: 2t = 0 + 12t-1 + 22t-2++q2t-q + 12t-1+ 22t-2++p2t-p

2 t

= 0 + i ;+
2 i =1 t i j =1

2 t j

Nhn chung, m hnh GARCH(1,1) s phn tch s bin thin ca nhn t chng ta ang quan tm, t khi m hnh c s dng vi cc bc cao hn.