M HNH ARCH 1/ Vn phng sai thay i.

. Trong m hnh hi qui OLS c in hay m hnh ARIMA th phng trnh ca chng ta lun c phn lm hai phn, mt phn l gi tr trung bnh v mt phn l c shock c i din bng nhiu hay ta cn gi l . M hnh OLS th yu cu k vng phi bng 0, phng sai ca khng i v khng t tng quan. Cn m hnh ARIMA th yu cu phi dng. Bn thn l mt yu t quan trng trong m hnh hi qui v tnh cht di din c bit ca nhiu, phng sai ca di din cho lch bnh phng ca gi tr thc v gi tr hi qui. Nu chui time ca chng ta l mt bin t sut sinh li hay gi ca mt loi ti sn th cu hi t ra l lm cch no m chng ta c th d bo ri ro ca chui trong khi chng ta c th d bo c gi tr trung bnh hay ni cch khc l lm cch no chng ta c th d bo c phng sai ca . chnh l vn m lm ARCH ra i v gii quyt. phn tip theo chng ta s i su vo tng cng nh cch thc hin m hnh ARCH. 2/ tng c bn ca ARCH. Engel l ngi u tin tm ra m hnh ARCH. c th d bo c phng sai ca th ng ta t ra mt gi nh l phng sai ca l phng sai c iu kin v s thay i ca c m t bng 1 hm hi qui trong phng sai ca ( ) ph thuc vo bnh phng cc gi tr tr trong qu kh. Chng ta c phng trnh sau (1) T phng trnh (1) th chng ta hon ton c th d bo c gi tr phng sai ca nhiu v t xc nh c mc ri ra ca bin ang xt. 3/ qui trnh thc hin ARCH Qui trnh thc hin ARCH gm c cc bc c bn sau: Bc 1: dng ARIMA xc nh phng trnh trung bnh tt nht. Tt nhin ARIMA dng d bo phi tha mn cc iu kin c bn m l thuyt cp. Phn ny c trnh by k trong chng ARIMA. Bc 2: sau khi c c m hnh d bo gi tr trung bnh tt nht th chng ta tin hnh lc ly nhiu ca m hnh hi qui. Sau khi c cc gi tr nhiu th chng ta tin hnh kim nh tnh ARCH. Kim nh tnh ARCH c m t nh sau: Chng ta c lng phng trnh (1)

Chng ta kim nh gi thuyt sau:

Chng ta c 2 cch kim nh Cch 1: dng thng k F Ta s tnh cc gi tr sau:

Trong

v gi tr:

Trong gi tr Sau tnh:

l gi tr c lng ca

So snh gi tr F va tm c vi gi tr ln hn l bc b v ngc li. Cch 2: dng thng k chi bnh phng Ta c th tnh gi tr . So snh vi gi tr

trong

l mc ngha. Nu

. Nu ln hn l bc b v ngc li.

Cc phn mm kinh t lng v d nh Eview cung cp cho chng ta cc gi tr F tnh ton cng nh gi tr . chng ta ch tin hnh so snh vi mc ngha chng ta chn t trc. Bc 3: sau khi kim nh tnh ARCH nu ko c hiu ng ARCH th chng ta dng li, nu c hiu ng ARCH th chng ta tin hnh chy m hnh ARCH d bo ri ro. Lc chng ta s c 1 h hai m hnh nh sau:

(3)

(4) Trong phng trnh 3 l phng trnh c lng gi tr trung bnh v phng trnh cn li c lng gi tr phng sai ca nhiu. chng ta cng c th dng m hnh ARIMA tm nhiu nu bin ca chng ta ch c 1 gi tr duy nht. dng phng php OLS c lng (4) v chn tr sao cho m hnh l ph hp nht cc h s hi qui c ngha thng k. Sau khi tm c phng trnh (4) tt nht th chng ta c th tin hnh d bo phng sai ca nhiu thng qua phng trnh (4) v gi tr trung bnh thng qua phng trnh (3). T chng ta c th d bo c gi tr trung bnh ca thi im tip theo v sai s vi mc ngha chn trc. 4/ nhc im ca ARCH ARCH c nhc im l ging nh 1 qu trnh trung bnh trt. Bn thn Engel khng gii thch c ti sao li hi qui phng sai nhiu theo bnh phng nhiu ARCH gi thuyt cc c shock dng hay m u c tc ng n ri ro v trong phng trnh hi qui cc nhiu c bnh phng. Trong thc t th c th khng nh vy. ARCH s km hiu qu khi tr c chn cng ln hay ni cch khc l bc t do cng cao s lm mt quan st v gim thiu tnh truyn dn thng tin t qu kh ti hin ti v iu ny c bit nguy him i vi phng php ARIMA v bn thn ARIMA l s liu t ln ting.