You are on page 1of 68

B GIO DC V O TO

TRNG I HC KINH T TP. H CH MINH





L TUN BCH

PHAN TlCH DU BAO GlA & RUl RO
TH[ TRUONG CO PHlEU NlEM YET VlET NAM

CHUYN NGNH: KINH T TI CHNH - NGN HNG
M S: 603112

LUAN VAN THAC Sl

NGI HNG DN KHOA HC
PGS.TS PHAN TH BCH NGUYT








Thnh ph H Ch Minh - nm 2010

LI CAM OAN
Y@Z
Ti xin cam oan rng y l cng trnh nghin cu ca ti, c s h tr t
C hng dn l PGS. TS Phan Th Bch Nguyt. Cc ni dung nghin cu
v kt qu trong ti ny l trung thc v cha tng c ai cng b
trong bt c cng trnh no. Nhng s liu trong cc bng biu phc v
cho vic phn tch, nhn xt, nh gi c chnh tc gi thu thp t cc
ngun khc nhau c ghi trong phn ti liu tham kho. Ngoi ra, trong lun
vn cn s dng mt s nhn xt, nh gi cng nh s liu ca cc tc gi
khc, c quan t chc khc, v u c ch thch ngun gc sau mi trch
dn d tra cu, kim chng.
Nu pht hin c bt k s gian ln no ti xin hon ton chu trch nhim
trc Hi ng, cng nh kt qu lun vn ca mnh.

TP.HCM, ngy thng nm 2010
Tc gi



L Tun Bch






LI CM N
Y@Z

Trc tin, ti xin chn thnh cm n C Phan Th Bch Nguyt tn tnh
ch bo, gp v ng vin ti trong sut qu trnh thc hin lun vn tt
nghip ny.
Nhn y, ti cng xin gi li cm n n Qu Thy C, nhng ngi
tn tnh truyn t kin thc cho ti trong thi gian hc cao hc va qua.
Nhng li cm n sau cng con xin cm n cha m, cm n anh em v bn
b ht lng quan tm v to iu kin tt nht ti hon thnh c
lun vn tt nghip ny.
L Tun Bch



MC LC TM LC
Y@Z
DANH MC CC BNG BIUU
DANH MC CC TH
DANH MC K HIU VIT TT
PHN M U .......................................................................................... 1 U
CHNG 1 ................................................................................................ 4
TNG QUAN V CHUI D LIU DNG V M HNH ARIMA,
ARCH/GARCH ........................................................................................... 4
KT LUN CHNG 1 ............................................................................ 19
CHNG 2 ................................................................................................ 21
TNG QUAN TH TRNG C PHIU NIM YT VIT NAM &
TNH HNH THC T NG DNG M HNH ARIMA,
ARCH/GARCH ........................................................................................... 21
KT LUN CHNG 2 ............................................................................ 37
CHNG 3 ................................................................................................ 39
PHN TCH D BO GI V RI RO THNG QUA M HNH
ARIMA, ARCH/GARCH CHO TH TRNG C PHIU NIM
YT TI VIT NAM .................................................................................. 39
KT LUN CHNG 3 ............................................................................ 53
KT LUN ................................................................................................ 57



MC LC CHI TIT
Y@Z
DANH MC CC BNG BIU U
DANH MC CC TH
DANH MC K HIU VIT TT
PHN M U U
1. S CN THIT CA TI ........................................................................ 1
2. MC TIU NGHIN CU .............................................................................. 1 U
3. I TNG, PHM VI NGHIN CU ........................................................ 1 U
4. PHNG PHP NGHIN CU ..................................................................... 2 U
5. NHNG IM MI CA TI ................................................................. 2
6. KT CU TI ............................................................................................ 2
CHNG 1 ................................................................................................................. 4
TNG QUAN V CHUI D LIU DNG V M HNH ARIMA,
ARCH/GARCH ............................................................................................................... 4
1.1 KHI NIM CH S GI, T SUT SINH LI, RI RO TH TRNG ... 5
1.1.1 Ch s gi ...................................................................................................... 5
1.1.2 Sut sinh li ca th trng .......................................................................... 5
1.1.3 Ri ro ca th trng c phiu ...................................................................... 5
1.2 TNH DNG CA CHUI THI GIAN ........................................................ 6
1.2.1 Chui thi gian dng .................................................................................... 6
1.2.2 Mt s qu trnh ngu nhin n gin (ph lc 1.1) .................................... 8
1.2.3 Kim nh tnh dng ...................................................................................... 8
1.2.3.1 Da trn lc tng quan (Correlogram) ............................................ 8
1.2.3.2 Kim nh nghim n v (Unit Root Test) .............................................. 9
1.3 M HNH ARIMA (AUTOREGRESSIVE INTEGRATED MOVING AVERAGE) ... 10
1.3.1 Qu trnh t hi quy (Autoregressive Process AR) ................................. 10
1.3.2 Qu trnh trung bnh trt (Moving Average MA) .................................. 11
1.3.3 Qu trnh t hi quy v trung bnh trt (ARMA) ...................................... 12
1.3.4 Qu trnh trung bnh trt kt hp t hi quy (ARIMA) ............................ 12
1.3.5 Quy trnh la chn m hnh ARIMA(p,d,q) ................................................ 13
1.4 M HNH ARCH/GARCH ............................................................................ 14
1.4.1 M hnh ARCH (Autoregressive Conditional Heteroskedasticity) ............. 14
1.4.2 M hnh GARCH ......................................................................................... 14
1.4.3 M hnh GARCH-M .................................................................................... 15
1.4.4 M hnh TGARCH ....................................................................................... 16
1.5 KINH NGHIM S DNG M HNH ARIMA, ARCH/GARCH TRN
TH GII TRONG LNH VC CHNG KHON ................................................. 17
1.5.1 ng dng m hnh ARIMA .......................................................................... 17
1.5.2 ng dng m hnh ARCH/GARCH ............................................................. 18


KT LUN CHNG 1 ................................................................................................ 19
CHNG 2 ................................................................................................................. 21
TNG QUAN TH TRNG C PHIU NIM YT VIT NAM & TNH
HNH THC T NG DNG M HNH ARIMA, ARCH/GARCH ...................... 21
2.1 TNG QUAN V TH TRNG C PHIU NIM YT VIT NAM ....... 21
2.1.1.1 S Giao dch Chng khon Thnh ph H Ch Minh (Hsx) ................... 22
2.1.1.2 S Giao dch Chng khon H Ni (Hnx) .............................................. 23
2.2 TNH HNH THC T NG DNG M HNH ARIMA, ARCH/GARCH 34
KT LUN CHNG 2 ................................................................................................ 37
CHNG 3 ................................................................................................................. 39
PHN TCH D BO GI V RI RO THNG QUA M HNH ARIMA,
ARCH/GARCH CHO TH TRNG C PHIU NIM YT TI VIT NAM ... 39
3.1 KHI QUT DIN BIN CA TH TRNG C PHIU NIM YT
VIT NAM GIAI ON HIN NAY ....................................................................... 39
3.2 NG DNG M HNH ARIMA D BO CH S VN-INDEX, HA-
INDEX ....................................................................................................................... 40
3.2.1 ng dng m hnh ARIMA d bo cho Vn-Index (ph lc 3.1) ................... 40
3.2.2 ng dng m hnh ARIMA d bo cho Hn-Index (ph lc 3.2) ................... 43
3.3 NG DNG M HNH ARIMA V ARCH/GARCH PHN TCH D
BO RI RO ............................................................................................................. 45
3.3.1 ng dng m hnh ARIMA v ARCH/GARCH phn tch d bo ri ro cho
sn nim yt Tp. H Ch Minh ............................................................................... 45
3.3.1.1 ng dng m hnh ARIMA d bo sut sinh li cho ch s Vn-Index
(ph lc 3.3) ........................................................................................................ 45
3.3.1.2 S dng m hnh ARCH/GARCH phn tch d bo ri ro ca Vn-
Index 46
3.3.2 ng dng m hnh ARIMA v ARCH/GARCH phn tch d bo ri ro cho
sn nim yt H Ni ............................................................................................... 48
3.3.2.1 ng dng m hnh ARIMA d bo sut sinh li cho ch s Hn-Index
(ph lc 3.6) ........................................................................................................ 48
3.3.2.2 S dng m hnh ARCH/GARCH d bo phn tch ri ro ca ch s
Hn-Index ............................................................................................................. 49
3.4 MT S VN LU V CC HNG M RNG NG DNG M
HNH ........................................................................................................................ 50
KT LUN CHNG 3 ................................................................................................ 53
KT LUN ................................................................................................................. 57





DANH MC CC PH LC
Y@Z
PH LC A: NHN NH XU HNG CA TH TRNG C
PHIU NIM YT VIT NAM HIN NAY
PH LC A.1: THNG K 10 C PHIU C S LNG NIM YT
MI NHIU NHT
PH LC A.2: BNG CU HI
PH LC A.3: THNG K M T TM L CA NH U T V
NH GI CA H V CC RI RO NH HNG
N XU HNG TH TRNG SP TI
PH LC 1.1: MT S QU TRNH NGU NHIN N GIN
PH LC 1.2: KIM NH NH HNG CA ARCH
PH LC 2.1: T SUT SINH LI TH TRNG PHT TRIN
PH LC 2.2: T SUT SINH LI TH TRNG MI NI
PH LC 3.1: D BO CHO VN-INDEX
PH LC 3.2: D BO CHO HN-INDEX
PH LC 3.3: D BO CHO r
vn-Indcx

PH LC 3.4. D BO RI RO CHO VN-INDEX
PH LC 3.5. PHN TCH RI RO VN-INDEX
PH LC 3.6. D BO CHO r
Hn-Indcx

PH LC 3.7. PHN TCH RI RO HN-INDEX


DANH MC CC BNG BIU
Y@Z
Bng 2.1 Bng t l % mc vn ha th trng so vi GDP
Bng 3.1 So snh cc ch tiu nh gi m hnh d bo Vn-Index
Bng 3.2 So snh cc ch tiu nh gi m hnh d bo Hn-Index
Bng 3.3 So snh cc ch tiu la chn m hnh d bo r
vn-Indcx




DANH MC CC TH
Y@Z

th 1.1 Gi vng 01/2004 n 05/2009 Chui c xu th tng khng dng
th 1.2 Sut sinh li c phiu SAM giai on t 28/07/2000 n 26/03/2009
Chui dng
th 1.3 Minh ha nhiu trng
th 1.4 Minh ha bc ngu nhin
th 1.5 Minh ha gin tng quan ca mt chui dng
th 1.6 Minh ha gin tng quan ca m hnh ARMA(1,2)
th 2.1 S lng cc cng ty nim yt ti sn Hsx qua cc nm
th 2.2 S lng cc cng ty nim yt ti sn Hnx qua cc nm
th 2.3 T sut sinh li (%) cc th trng pht trin t 2000-2009
th 2.4 T sut sinh li (%) cc th trng mi ni t 2000-2009
th 2.5 Phn tn ca t sut sinh li lch chun cc th trng
th 2.6 Din bin 10 nm th trng c phiu nim yt Vit Nam
th 3.1 Din bin th trng giai on t 11/11/2009 n 11/11/2010
th 3.2 Gin tng quan ca Vn-Index
th 3.3 Gin tng quan sai phn bc mt ca Vn-Index
th 3.4 Gin tng quan ca Hn-Index
th 3.5 Gin tng quan sai p t ca Hn-Index hn bc m
th 3.6 Gin tng quan ca
n-Indcx
r
v
hnh GA
th 3.8 Gin tng quan ca r
Hn-Indcx

th 3.7 Biu din phn d ca m RCH(1,1) v GARCH(0,1)
th 3.9 Biu din phn d ca m hnh GARCH(0,1), GARCH(0,2) v
GARCH(1,1)
th 3.10 Ch s Vn-Index v Vn-Index d bo
th 3.11 Ch s Hn-Index v Hn-Index d bo
th A.1 S lng cng ty nim nim yt mi tnh ti ngy 08/10/2010
th A.2 Chnh lch mua bn c phiu ca nh u t nc ngoi
th A.3 Tnh hnh giao dch ca th trng gn y
th A.4 Lm pht Vit Nam






DANH MC K HIU VIT TT
Y@Z
UBCKNN : y ban Chng khon Nh nc UBCKNN : y ban Chng khon Nh nc
HOSE : S Giao dch Chng khon TP. H Ch Minh HOSE : S Giao dch Chng khon TP. H Ch Minh
SGDCK : S Giao dch Chng khon SGDCK : S Giao dch Chng khon
HASTC : Trung tm Giao dch Chng khon H Ni HASTC : Trung tm Giao dch Chng khon H Ni
TTGDCK : Trung tm Giao dch Chng khon TTGDCK : Trung tm Giao dch Chng khon
CP : C phiu CP : C phiu
Tp. : Thnh ph Tp. : Thnh ph
IMF : Qu tin t quc t IMF : Qu tin t quc t
FED : Cc d tr lin bang M FED : Cc d tr lin bang M
NHNN : Ngn hng Nh nc c NHNN : Ngn hng Nh n









PHN M U
Y@Z

1. S CN THIT CA TI
Th trng c phiu nim yt Vit Nam k nim 10 nm pht trin trong mt khng
kh m m. Mi hm no th trng c phiu nim yt Vit Nam l mt trong nhng
th trng c tc tng trng nht nh trn th gii th lc ny Vit Nam li nm
trong top danh sch cc th trng st gim mnh nht th gii. y l im hp dn
sinh li cao ca th trng chng khon Vit Nam v cng y thch thc cho bt k
nh u t no khng chuyn ln dy dn kinh nghim. Mi quy lut, mi phn tch k
thut v cc l thuyt phn tch u t tin tin ca th gii u c nguy c b ph v
hoc bp mp trong mt mi trng nhiu bin ng v thiu chuyn nghip nh th
trng chng khon Vit Nam. Tht ri ro! hay khng hiu ni! dng nh l cu
ca ming ca cc nh u t dnh cho th trng chng khon Vit Nam.
Cc nh lm chnh sch, t chc t vn v nh u t lun c gng d bo ri ro ca
th trng nhng cc nhn t tc ng vo th trng Vit Nam rt a dng v bin i
kh lng. V th m cc m hnh hi quy c in thng dng phn tch d bo
chui d liu c phiu Vit Nam khng th nhn din ht c cc yu t ri ro v cc
kt qu d bo thng sai so vi thc t. Tm ra mt cng c phn tch d bo tt hn
v ang l nhu cu bc thit cho cc nh lm chnh sch v c bit l cng chng
u t. y chnh l c s cho ti Phn tch d bo gi & ri ro ca th trng c
phiu nim yt Vit Nam c thc hin.
2. MC TIU NGHIN CU
Mc tiu nghin cu ca lun vn l:
ng dng m hnh ARIMA, ARCH/GARCH d bo phn tch ri ro ca th
trng c phiu nim yt Vit Nam giai on hin nay;
nh gi ng dng ca m hnh ARIMA, ARCH/GARCH v cc hng gi m
pht trin cng c phn tch d bo hiu qu ny vo thc t.
3. I TNG, PHM VI NGHIN CU

i tng nghin cu ca lun vn l th trng c phiu nim yt Vit Nam, c bit
giai on t u nm n nay.
1

S d ti gii hn giai on nghin cu i vi th trng c phiu nim yt Vit Nam
l nhm hng ti c cp nht phn nh tnh hnh hin ti ca th trng t c
kh nng ng dng cao vo thc t.
4. PHNG PHP NGHIN CU
Vi s h tr ca phn mm k thut Eviews, M hnh kinh t lng ARIMA v
ARCH/GARCH c s dng x l d liu ch s ca th trng c phiu nim yt,
t tm ra m hnh d bo ph hp cho th trng Vit Nam ng thi phn tch mt
s c im ri ro ca th trng.
5. NHNG IM MI CA TI
Tuy cn nhiu hn ch nhng ti cng c nhng im mi sau:
Mc d m hnh ARIMA v ARCH/GARCH c ng dng v gii thiu n
cng ng nghin cu hc thut Vit Nam nhng rt him ti lin quan n
chng khon c trnh by mt cch h thng v cp nht. Lun vn vi mong
mun m hnh d bo phn tch th trng c phiu nim yt Vit Nam tm c
trong giai on hin nay c th c dng nh l mt cng c tham kho ti cc
cng ty ti chnh.
a ra mt s lu v ng dng m hnh ARIMA, ARCH/GARCH v cc
hng m rng cch ng dng m hnh m trc kia trong cc ti khc khng
cp.
6. KT CU TI
Lun vn c trnh by thnh ba phn:
Phn 1: Tng quan v chui d liu dng, m hnh ARIMA,
ARCH/GARCH
Phn ny gii thiu tng qut v chui d liu dng v l thuyt m hnh
ARIMA, ARCH/GARCH cng nh kinh nghim ng dng m hnh ARIMA,
ARCH/GARCH trn th gii.

Phn 2: Tng quan v th trng c phiu nim yt Vit Nam & Tnh hnh
thc t ng dng m hnh ARIMA, ARCH/GARCH
Th trng c phiu nim yt Vit Nam nh th no, din bin hnh vi ca th
trng qua 10 nm lch s hnh thnh pht trin th trng v tnh hnh ng dng
2


3
m hnh d bo phn tch ri ro ARIMA, ARCH/GARCH ti Vit Nam s cho
thy nhu cu cn thit c mt cng c phn tch d bo da trn m t c hnh
vi th trng. l m hnh ARIMA, ARCH/GARCH.
Phn 3: ng dng m hnh ARIMA, ARCH/GARCH phn tch d bo gi
& ri ro ca th trng c phiu nim yt Vit Nam.
Ging nh ta ca phn 3, tc gi s ln lt s dng m hnh ARIMA,
ARCH/GARCH phn tch d bo gi & ri ro cho th trng c phiu nim yt
Vit Nam giai on hin nay thng qua hai ch s chng khon Vn-Index v Hn-
Index.
Cui cng l mt s vn lu v cc hng m rng ng dng.



















Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
CHNG 1
TNG QUAN V CHUI D LIU DNG
V M HNH ARIMA, ARCH/GARCH
Y@Z
Trc ht, chng ta n li cc khi nim c bn bao gm ch s gi chng khon, t
sut sinh li v ri ro th trng. y l ci yu t u vo cng nh i tng cho m
hnh phn tch d bo s c trnh by phn sau.
D liu ch s gi, t sut sinh li v ri ro th trng l cc chui d liu theo thi
gian. im chung ca ba chui d liu ny l u th hin tm l ca nh u t thng
qua din bin hnh vi v hng i ca d liu.
Trong cng tc phn tch d bo c hai trng phi. Th nht, trng phi c in da
vo cc m hnh kinh t l thuyt c xy dng nn bi cc hc gi, t ta thu
thp d liu thc t xy dng nn cc m hnh theo ng l thuyt ri d bo theo n.
Th hai, trng phi hin i tp trung ci tin cng tc d bo v tin dng vo m
hnh phn tch d bo chui thi gian. Phn tch chui thi gian s nghin cu hnh vi,
khun mu trong qu kh ca mt bin s v s dng thng tin ny d on nhng
thay i trong tng lai. Trong bi nghin cu ny, ti i theo hng ca trng phi
th hai tc l m phng d liu trong qu kh ri ly lm c s d phng cho
tng lai m khng quan tm n vic phn tch cc nhn t tc ng n chui d
liu.
Tuy nhin, d theo trng phi no th d liu chui thi gian u vo cho m hnh d
bo phi l chui dng. Chui dng s cho thy nhng kt qu d bo phn nh c
im trong qu kh hay nhng g din ra qu kh s xy ra hin ti v tng lai
theo ng nh kch bn qu kh ca n. Nhng lm th no xc nh c mt
chui thi gian l dng? Chng ta s ln lt kim nh chui thi gian bng phng
php gin tng quan v phng php kim nh n v.

Sau khi xc nh c chui thi gian l chui dng, ta bt u d bo v phn tch
chui thi gian theo tnh ngu nhin ca n da vo nhng thng tin ca bn thn
chui d liu trong qu kh. Phng php ARIMA v m hnh ARCH/GARCH s ln
lt c gii thiu mt cch c bn cch thc ng dng trong vic phn tch v d
bo mt chui thi gian.
4
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
Ngoi ra kinh nim ng dng m hnh ARIMA, ARCH/GARCH trn th gii cho thy
m hnh v ang pht trin ngy cng su trong cng tc phn tch d bo chui d
liu ti chnh, c bit l th trng chng khon.
1.1 KHI NIM CH S GI, T SUT SINH LI, RI RO TH TRNG
1.1.1 Ch s gi
Ch s gi c phiu l thng tin th hin gi chng khon bnh qun hin ti so vi gi
bnh qun thi k gc chn. Vit Nam c hai ch s chng khon c bn l Vn-
Index v Hn-Index. C hai ch s gi chng khon u c tnh theo phng php
bnh qun gia quyn. Cng thc tnh nh sau:

Trong :
P
1i
: Gi hin hnh ca c phiu i
Q
1i
: Khi lng ang lu hnh ca c phiu i
P
0i
: Gi ca c phiu i thi k gc
Q
0i
: Khi lng ca c phiu i ti thi k gc
Ch s gi c phiu c coi l phong v biu th hin tnh hnh hot ng ca th
trng chng khon. y cng l cn c nh gi hot ng ca nn kinh t.
1.1.2 Sut sinh li ca th trng
Sut sinh li ca th trng l thng tin lm cn c nh gi mc hp dn khi
u t vo th trng. Cng ging nh sut sinh li ca mt c phiu, sut sinh li ca
th trng c tnh ton da vo chui d liu ch s gi. Cng thc tnh t sut sinh
li ca th trng:

T sut sinh li tnh theo nguyn tc li kp vi s ghp li v hn v hot ng u t
v ti u t din ra lin tc nn s l t chnh xc hn nu tnh ton sinh li theo
nguyn tc s k ghp li ri rc.
1.1.3 Ri ro ca th trng c phiu
Theo Harry Markowitz
1.1
, ri ro c phiu c o lng bi phng sai hoc lch
chun ca chui d liu t sut sinh li c phiu.
Phng sai (
2
) = E((R
i
E(R
i
)
2
)

5
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
lch chun () = E((R

- E(R

)
2
)
Hai ch s Hn-Index v Vn-Index c ngm nh i din cho th trng c phiu
nim yt Vit Nam nn ri ro th trng c phiu Vit Nam s c o lng bi
phng sai hay lch chun ca chui d liu t sut sinh li th trng c phiu.
Lu , vi cng thc tnh trn, ri ro ca c phiu khng phn bit u l ri ro h
thng hay ri ro phi h thng. iu ny khng nh hng n mc tiu ca ti v
nghin cu i theo hng phn tch d bo gi v ri ro cho th trng c phiu nim
yt Vit Nam thng qua m phng v phn tch bin ng ca chui d liu gi v
sut sinh li ca th trng m khng ch trng phn tch cc nhn t tc ng to ra
tnh bin ng .
1.2 TNH DNG CA CHUI THI GIAN
1.2.1 Chui thi gian dng
Khi nim tnh dng rt quan trng trong phn tch chui thi gian. Mt chui thi
gian dng c c im sau:
D liu dao ng xung quanh mt gi tr trung bnh c nh trong di hn,
D liu c gi tr phng sai xc nh khng thay i theo thi gian,
D liu c mt gin tng quan vi cc h s t tng quan s gim dn khi
tr tng ln.
Trc ht, chng ta gii thch khi nim tr. Y
t-k
l chui thi gian Y
t
c k tr
ngha l phi mt k thi gian mi c d liu chui thi gian Y
t
. Khi s dng chui
thi gian c tr, ta s b mt bin quan st. tr cng tng, s bin quan st b mt
cng nhiu. Vn ny s tc ng ng k trong vic cn nhc la chn m hnh.
Quay tr li c im ca mt chui thi gian c xem l dng, din t theo ngn
ng thng k nh sau:
E(Y
t
) l mt hng s cho tt c cc thi im t
E(Y
t
) =
Var(Y
t
) l mt hng s cho tt c cc thi im t
Var(Y
t
) = E(Y
t
- )
2
=
2


Cov(Y
t
,Y
t-k
) l mt hng s cho tt c cc thi im t v k khc 0 ngha l hip
phng sai gia Y
t
v Y
t-k
ch ph thuc vo di ca (k) v thi gian gia t v t-
k, khng ph thuc vo thi im t. Chng hn, Cov(Y
12
,Y
7
) = Cov(Y
13
,Y
8
)=
6
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
Cov(Y
28
,Y
23
)... Ta nn nh Cov(Y
t
,Y
t-6
) khng i nhng Cov(Y
t
,Y
t-6
) c th khc
vi Cov(Y
t
,Y
t-5
).
Cov(Y
t
,Y
t-k
) =
k
= E[(Y
t
- )(Y
t-k
- ]
Gi s khi ta di chuyn li gi tr gc ca Y t Y
t
sang Y
t-k
. Nu Y
t
l mt chui dng
th gi tr trung bnh, phng sai, v hip phng sai ca Y
t-k
phi bng trung bnh,
phng sai v cc hip phng sai ca Y
t
.
Tm li, mt chui thi gian dng nu trung bnh, phng sai ca n khng i theo
thi gian v hip phng sai gia hai thi on ch ph thuc vo khong cch v
tr v thi gian gia hai thi on ny ch khng ph thuc vo thi im thc t m
ng phng sai c tnh.
Nhn mt cch trc quan ta hy xem hnh ca mt chui thi gian nh th no l
dng.


600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
1,800,000
2,000,000
2004 2005 2006 2007 2008 2009
th 1.1 Gi vng t 01/2004 n 05/2009 Chui c xu th tng khng dng

th 1.2 Sut sinh li c phiu SAM giai on t 28/07/2000 n 26/03/2009
Chui dng

-.10
-.08
-.06
-.04
-.02
.00
.02
.04
.06
.08
2001 2003 2004 2005 2006 2007 2008
7
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
th 1.2 th hin mt chui dng v d liu c xu hng hi t xoay quanh mt gi
tr nht nh trong khi th 1.1 biu th xu th tng vi trung bnh tng theo thi gian.
Mt chui d liu dng lun c xu hng tr v gi tr trung bnh v nhng dao ng
xung quanh gi tr trung bnh s l nh nhau. Ta cng c th suy ngc li, mt chui
thi gian khng dng theo cch ta nh ngha v chui dng trn s c gi tr
trung bnh thay i theo thi gian, gi tr phng sai thay i theo thi gian hoc c
hai.
Ti sao chui thi gian dng li quan trng? Gujarati
1.2
(2003) cho rng nu mt chui
thi gian khng dng, chng ta ch c th nghin cu hnh vi ca n trong thi gian
ang xem xt. Mi mt chui d liu theo thi gian s mang mt tnh tit nht nh v
ch th hin nhng hnh vi c th trong khong thi gian . Kt qu l, chng ta
khng th khi qut ha cho cc giai on khc ngha l khng th ly c im ca
chui thi gian giai on ny lm c im ca mt chui thi gian giai on khc.
i vi mc ch d bo, cc chui thi gian khng dng nh vy c th s khng c
gi tr thc tin. V nh chng ta bit, trong d bo chui thi gian, chng ta ngm
nh xu hng vn ng ca d liu trong qu kh v hin ti c duy tr cho cc
giai on trong tng lai. Th nhng, nu bn thn d liu lun thay i th chng ta
khng th d bo c iu g cho tng lai.
Hn na, i vi phn tch hi quy, nu chui thi gian khng dng th tt c cc kt
qu in hnh ca mt phn tch hi quy tuyn tnh c in s khng c gi tr cho vic
d bo, v thng c gi l hin tng hi quy gi mo. Do vy, iu kin c bn
nht cho vic d bo mt chui thi gian l n phi c tnh dng.
1.2.2 Mt s qu trnh ngu nhin n gin (ph lc 1.1)
1.2.3 Kim nh tnh dng
1.2.3.1 Da trn lc tng quan (Correlogram)
Mt cch kim nh n gin tnh dng l dng hm t tng quan (ACF-
Autocorrelation Function). AC tr k, k hi
k
, c xc nh nh sau: F vi u bng
ACF(k) =
k
=
Cov(
t
,
t-k
)
vu(
t
)


Do c hip phng sai v phng sai c tnh bng cng mt n v o, nn
k
l
mt i lng khng c n v o, l trung tnh, l s. N nm trong khong t -1 n
8
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
+1 ging nh bt k mt h s tng quan no. Nu chng ta v th
k
theo k, th
th chng ta c c s l biu tng quan tng th.
Barlett ch ra rng, nu chui l ngu nhin v dng th cc h s tng quan
k
s
c phn phi xp x chun vi k vng ton bng khng v phng sai l 1/n vi n kh
ln. Mt chui thi gian dng khi h s t tng quan gim bng 0 rt nhanh thng
sau 2 n 3 tr.
Cc h s tng quan
k
(k2) phn nh mc kt hp tuyn tnh ca Y
t
v Y
t-k
.
Tuy nhin, mc kt hp gia hai bin cn c th do mt s bin khc gy ra. Trong
trng hp ny, cc bin Y
t-1,
Y
t-2
..., Y
t-k+1
nh hng n mc kt hp ca Y
t
v
Y
t-k
. Do o mc kt hp ring r gia Y
t
v Y
t-k
, ngi ta xy dng mt s
tng quan khc gi l h s tng quan ring p a Y
t
v Y
t-k
, k hiu l
kk
hn c
PACF(k) =
kk
=

k

R-1]

R-]
R-1
]=1
1-
R-1]

]
R-1
]=1

Trong phn tch hi quy bi, nu bin ph thuc c hi quy theo cc bin gii thch
X
2
v X
3
th iu m chng ta quan tm l mun bit X
2
nh hng ln Y nh th no
khi loi tr nh hng ca X
3
ln Y. iu ny c ngha hi quy Y theo X
3
, lu phn
d, ri hi quy phn d theo X
2.
H s tng quan ring phn (PACF-Partial
Correlation Function) cng c ngha tng t. PACF o lng mi quan h gia hai
bin khi tt c nhng bin khng lin quan c gi khng i.

th 1.5 Minh ha gin tng quan ca mt chui dng
1.2.3.2 Kim nh nghim n v (Unit Root Test)
Mt tiu chun khc kim nh tnh dng l kim nh nghim n v (unit root
test). Kim nh n v l mt kim nh c s dng kh ph bin trong nghin cu
khoa hc thay v s dng gin tng quan v loi kim nh ny c tnh hc thut
v chuyn nghip cao hn. Gi s ta c phng trnh t hi quy nh sau:

9
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
Y
t
= Y
t-1
+ U
t
(-1 1) (1.3)
Trong U
t
l nhiu trng. Nu nh = 1, khi Y
t
l mt bc ngu nhin v Y
t
l
mt chui khng dng. Do kim nh tnh dng ca Y
t
ta s kim nh gi thit :
H
0
: = 1(Y
t
l chui khng dng)
H
1
: < 1(Y
t
l chui dng)
Phng trnh 1.3 tng ng vi phng trnh sau y :
Y
t
Y
t-1
= Y
t-1
Y
t-1
+ U
t
= (-1)Y
t-1
+ U
t

Y
t
= Y
t-1
+ U
t

Nh vy cc gii thit trn c th c vit li nh sau :
H
0
: = 0 (Y
t
l chui khng dng)
H
1
: < 0 (Y
t
l chui dng)
Dickey
1.3
v Fuller
1.4
cho rng gi tr t ca h s Y
t-1
s khng theo phn phi student
m thay vo l phn phi xc xut (tau statistic). Kim nh thng k cn c
gi l kim nh Dickey Fuller (DF).
kim nh H
0
ta so snh gi tr thng k tnh ton vi gi tr thng k tra bng
DF. Nu || > |
u
| th bc b gi thit H
0
, ngha l Y
t
l mt chui dng. Tiu chun
DF c p dng cho cc m hnh sau :
Y
t
= Y
t-1
+ U
t

Y
t
=
1
+ Y
t-1
+ U
t

Y
t
=
1
+
2
t + Y
t-1
+ U
t
(1.4)
Nu U
t
t tng quan c ngha l Y
t
ph thuc c cc Y
t-i
trong qu kh nh Y
t-1,
Y
t-2
...th ci bin m hnh (1.4) nh sau :
Y
t
=
1
+
2
t + Y
t-1
+ o

m
=0
Y
t-
+
t
(1.5)
Kim nh DF nh phng trnh 1.5 c gi l kim nh DF m rng (ADF-
Augmented Dickey Fuller Test).
1.3 M HNH ARIMA (Autoregressive Integrated Moving Average)
1.3.1 Qu trnh t hi quy (Autoregressive Process AR)
Nh trnh by trong c ch t hi quy bc nht, bin ph thuc c hi quy theo
cc bin tr ca n. Qu trnh t hi quy bc nht AR (1) c biu din nh sau:

Y
t
= Y
t-1
+ U
t
, U
t
l nhiu trng
10
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
y l m hnh n gin nht ca c ch t hi quy. M hnh tng qut ca qu trnh
t hi quy bc p k hiu AR(p) c dng:
Y
t
=
0
+
1
Y
t-1
+
2
Y
t-2
+...+
p
Y
t-p
+ U
t
, U
t
l nhiu trng
iu kin Y
t
dng l -1<
i
<1
M hnh t hi quy tng qut ch c cc gi tr hin ti v qu kh ca Y c s dng
trong m hnh v khng c bin lm hi quy no khc. Gi tr ca Y tng lai ph
thuc vo gi tr ca n trong qu kh cng vi mt yu t ngu nhin. R rng vi
m hnh t hi quy, d liu t n gii thch cho bn thn n.
Vn l lm cch no ta xc nh s tr p? Lc ny gin tng quan ngoi vic
gip ta nhn dng mt cch trc quan tnh dng ca chui thi gian cn gip ta xy
dng m hnh hi quy, c th xc nh p trong m hnh AR(p). Cch thc nh sau:
ACF s c xu hng bng khng ngay lp tc, trong khi , h s t tng quan ring
phn PACF s c xu hng khc khng mt cch c ngha thng k cho n tr p
v s bng khng ngay sau tr p .
1.3.2 Qu trnh trung bnh trt (Moving Average MA)
Y
t
l qu trnh trung bnh trt bc q k hiu MA(q) nu Y
t
c dng:
Y
t
= U
t
+
1
U
t-1
+
2
U
t-2
+ ... +
q
U
t-q

Trong U
t
l s hng nhiu ngu nhin;
1
,
2
...,
q
l cc h s c lng; U
t-1
l sai
s giai on t-1, U
t-q
l sai s giai on t-q.
Hm ca m hnh MA(q) l Y
t
ph thuc vo gi tr ca sai s hin ti v cc sai s
qu kh, tc ti cc thi im t, t-1, t-2..., t-q. iu ny c ngha Y
t
ph thuc vo gi
tr sai s trc ch khng phi gi tr tr ca Y
t
nh trong m hnh AR. V d, khi
xem gi c phiu ti thi im t, th cc sai s ny c th i din cho nh hng ca
cc thng tin th trng ti thi im t-1, t-2..., t-q ngoi yu t gi ca c phiu trc
.

Tm li, Y ti thi im t khng ch ph thuc vo cc thng tin hin ti m cn ph
thuc vo cc thng tin trong qu kh. Tuy nhin, cc thng tin gn nht c ngha
nhiu hn so vi cc thng tin trc . Nh vy, cc m hnh MA cung cp gi tr d
bo ca Y
t
trn c s kt hp tuyn tnh ca cc gi tr sai s qu kh, trong khi ,
cc m hnh AR d bo Y
t
nh mt hm tuyn tnh ca cc gi tr qu kh ca bn
thn Y
t.
11
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
xc nh tr q ta s dng gin tng quan theo cch sau y: ACF s c xu
hng khc khng mt cch c ngha thng k cho n tr q v s bng khng
ngay sau tr q , trong khi PACF s c xu hng bng khng ngay lp tc.
Thng thng, t c chui thi gian no tha mn cc iu kin ca m hnh AR(p)
hoc MA(q), m thng l kt hp ca hai m hnh ny, c ngha l mt chui dng
th c th tun theo m hnh tng qut l ARMA(p,q).
1.3.3 Qu trnh t hi quy v trung bnh trt (ARMA)
Nu kt hp m hnh AR(p) vi m hnh MA(q) ta c m hnh ARMA(p,q) c dng
nh sau:
Y
i
=
0
+
1
Y
t-1
+
2
Y
t-2
+...+
p
Y
t-p
+ U
t
+
1
U
t-1
+
2
U
t-2
+ ... +
q
U
t-q

Dng rt gn ca ARMA(p,q) nh u : sa
Y
t
=
0
+

p
=1
Y
t-1
+ U
t
+
]
q
]=1
U
t-j

Tng t nh cc m hnh AR(p) v MA(q), cc m hnh ARMA(p,q) ch thch hp
cho cc chui dng. Trong trng hp ny, ta cn phi xc nh tr p v q thch
hp theo cch sau y:

th 1.6 Minh ha gin tng quan ca m hnh ARMA(1,2)
Nhn vo gin ct Partial Correlation sau 1 tr (dy s gia Partial Correlation
v AC), PAC tin v 0 (biu th khi hnh nm ngang rt ngn li v nm trong phm
vi hai ng gch t) trong khi AC bng khng k t 2 tr. Ta xc nh c d
liu c dng m hnh ARMA(1,2).
1.3.4 Qu trnh trung bnh trt kt hp t hi quy (ARIMA)
Trc ht, tr li biu thc Y
t
= Y
t
Y
t-1
. l ton t sai phn. Sai phn bc 1 c
nh ngha bng Y
t
= Y
t
Y
t-1.


12
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
Sai phn bc 2: (Y
t
) = Y
t
Y
t-1

= (Y
t
Y
t-1
) (Y
t-1
Y
t-2
)
= Y
t
2Y
t-1
+ Y
t-2

Cc m hnh ARMA ch c th thc hin c khi chui Y
t
l chui dng. Tuy nhin,
hu ht cc chui d liu kinh t theo thi gian v ti chnh u l chui c yu t xu
th, ngha l, gi tr trung bnh ca Y
t
trong nm ny c th khc nm kia. Ni cch
khc, cc chui thi gian trong kinh t v ti chnh thng l chui khng dng. Chnh
v th, suy ra cc chui dng chng ta phi kh yu t xu th trong cc chui d
liu gc thng qua quy trnh ly sai phai. Nu ly sai phn bc 1 ta c c chui dng
th c gi l dng sai phn bc 1 (hay ng lin kt bc 1) v k hiu l I(1). M
rng ra, nu mt chui dng sai phn bc d ta k hiu l I(d). Nh vy, nu chui Y
t
dng sai phn bc d, p dng m hnh ARMA(p,q) cho chui sai phn bc d th chng
ta c qu trnh ARIMA(p,k,q), trong , p l bc t hi quy, d l s ln ly sai phn
Y
t
dng, q l bc trung bnh trt.
AR(p), MA(q) ln lt chnh l m hnh ARIMA(p,0,0), ARIMA(0,0,q). Ta c th
biu din m hnh ARIMA(p,k,q) nh sau :
Y
t
= o +
1
Y
t-1
+
2
Y
t-2
+...+
p
Y
t-p
+ U
t
+
1
U
t-1
+
2
U
t-2
+ ... +
q
U
t-q

1.3.5 Quy trnh la chn m hnh ARIMA(p,d,q)
Quy trnh la chn m hnh ARIMA thng thng qua ba bc: nhn dng, c lng
v kim tra chn on.
Nhn dng
9 Kim tra tnh dng ca d liu thng qua gin tng quan hay kim nh
nghim n v. Nu khng dng th ta lm cho d liu dng bng cch ly sai
phn bc 1;
9 Xc nh p, q cho m hnh ARMA da vo gin tng quan.
M hnh ACF PACF
MA(1) C ngha tr th nht Bng khng ngay lp tc
AR(1) Bng khng ngay lp tc C ngha tr th nht
ARMA(1,1) Bng khng sau tr th nht Bng khng sau tr th nht
ARMA(p,q) Bng khng sau tr th q Bng khng sau tr th p


13
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
c lng
9 Chn m hnh ph hp bng cc ch tiu AIC, SBC, tiu chun Schwarz
9 Kim tra du v thng k t ca tng h s.
Phn tch chn on
9 V th phn d theo thi gian
9 Quan st v so snh th gi tr d bo v gi tr thc t
9 Kim nh tnh ngu nhin ca phn d.
1.4 M HNH ARCH/GARCH
1.4.1 M hnh ARCH (Autoregressive Conditional Heteroskedasticity)
K t nm 1982 khi Robert Engle
1.5
vit tc phm ni ting ca mnh D on ri ro
lm pht Anh Quc bng m hnh hi quy t tng quan phng sai c iu kin,
m hnh ARCH c pht trin thnh nhng m hnh phn tch ri ro c s dng
nhiu nht. M hnh ARCH cho rng phng sai ca cc hng nhiu ti thi im t
ph thuc vo cc s hng nhiu bnh phng cc giai on trc hay phng sai
thay i qua thi gian. Engle cho rng tt nht chng ta nn m hnh ha ng thi gi
tr trung bnh v phng sai ca chui d liu khi nghi ng rng gi tr phng sai
thay i theo thi gian. Biu din m hnh ARCH(q) nh sau:
Y
t

1
+
2
X
t
+ u
t
(1.6) =
U
t
~ N(0 ) trong h
t
chnh l
t
2
, h
t
h
t
=
0
+
]
u
t-]
2
q
]=1
(1.7)
Cc h s
]
phi c du dng v phng sai lun dng. V d ta c m hnh
ARCH(1), phng trnh biu din ca m hnh nh sau:
Y
t

1
+
2
X
t
+ u
t
=
U
t
~ N(0, h
t
)
h
t
=
0
+
1
u
t-1
2


Kim nh nh hng ca ARCH (ph lc 1.2)
1.4.2 M hnh GARCH

M hnh GARCH (Generalised Autoregressive Conditional Heteroskedasticity) l m
hnh tng qut ha cao hn m hnh ARCH. M hnh ARCH c v ging dng m
14
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
hnh MA(q). V vy, mt tng c Tim Bollerslev
1.6
xut l chng ta thm cc
bin tr ca phng sai c iu kin vo phng trnh phng sai 1.7 theo dng t hi
quy. M hnh GARCH(p,q) c dng sau y:
Y
t

1
+
2
X
t
+ u
t
=
U
t
~ N(0 ) , h
t
h
t
=
0
+ o

b
t-
p
=1
+
]
u
t-]
2
q
]=1
(1.8)

Phng trnh 1.8 ni ln rng phng sai h
t
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 h
t
i din bi cc bin h
t-i
. Dng n gin nht ca m hnh
GARCH l GARCH(1,1), c biu din nh sau:
Y
t

1
+
2
X
t
+ u
t
=
U
t
~ N(0 h ,
t
)
h
t
=
0
+ o
1
b
t-1
+
1
u
t-1
2


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 cc nh hng ARCH c qu nhiu tr ngha
l q ln th c th s nh hng n kt qu c lng do gim ng k s bc t do
trong m hnh. Ta nh li phn trnh by trn, mt chui d liu cng nhiu tr s
c nhiu bin b mt. Trng hp gi c phiu mi lu hnh trn th trng th nh
hng ny cng nghim trng.
1.4.3 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 s ri
ro v v th h c xu hng i hi thm mt mc ph b ri ro nh mt phn n b
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 Y
t
. Theo cch ny, m
hnh GARCH-M s c d g sau:

n
Y
t
=
1
+
2
X
t
+ 0b
t
+ u
t
(1.9)
15
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
U
t
~ N(0 ) , h
t
h
t
=
0
+ o

b
t-
p
=1
+
]
u
t-]
2
q
]=1
(1.10)

1.4.4 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 c 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
1.7
(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. Cc hc gi a vo m hnh phng trnh 1.10 mt
bin gi tng tc gia hng nhiu bnh phng. M hnh hnh TGARCH c biu
din nh sau:
h
t
=
0
+ o

b
t-
p
=1
+
]
u
t-]
2
q
]=1
+
]
u
t-]
2
q
]=1
d
t-j

hoc
h
t
=
0
+ o

b
t-
p
=1
+ (
]
+
]
J
t-]
)u
t-]
2
q
]=1

Trong , d
t
l b i
J
t
= _
1, u
t
< u
u, u
t
u

in g c gi tr:

Nu
]
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
]
, trong khi , tin tc xu
c nh hng (
]
+
]
). Nu
]
>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
]
= 0 th tc ng ca tin tc
c tnh cht cn xng.
16
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
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
.
1.5 KINH NGHIM S DNG M HNH ARIMA, ARCH/GARCH TRN
TH GII TRONG LNH VC CHNG KHON
1.5.1 ng dng m hnh ARIMA
K t khi xut bn cun sch Time Series Analysis: Forecasting and Control (Phn
tch chui thi gian: D bo v kim sot) nm 1970, mt k nguyn mi ca cc cng
c d bo c m ra c bit khi phn tch d liu chui thi gian, trong phng
php lun ARIMA c bit rng ri v c tm nh hng nht
Ti hi ngh quc t IEEE t ngy 03 n ngy 06 thng 6 nm 1996 din ra ti M,
hai hc gi Jung-Hua Wang v Jia-Yann Leu thuc trng i hc i dng quc gia
i Loan cng b kt qu d bo xu hng ch s gi TSEWSI ca th trng
chng khon i Loan trong trung hn theo m hnh ARIMA (1,2,1). Vi kt qu ny
vic d bo cho th trng chng khon i Loan cho 6 tun ti vi chnh xc chp
nhn c v tt hn cc m hnh d bo khc.

Hoc gn y 06/2010, gio s Emenike Kalu O. cng tc ti khoa Ti chnh Ngn
hng thuc trng i hc Nigeria, bang Enugu th xy dng m hnh ARIMA
(1,1,1) d bo th trng c phiu Nigeria cho giai on t 01/1985 n 12/2009 th
kt qu cho thy d bo ARIMA c v tng thch vi thc t giai on 01/1985 n
12/2008 nhng li vt tri so vi kt qu thc t trong giai on th trng chu tc
ng ca khng hong kinh t ton cu nm 2009. Nh vy, khng hong kinh t
ph hy mi tng quan gia hin ti vi qu kh, chnh v vy kt qu d bo s
dng m hnh ARIMA li t ra sai lch khi gp mt c sc ln i vi th trng.
17
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
y l nghin cu c lp m hnh ARIMA, ta cng thy c v nh ARIMA khng
phi lun ng trong mi trng hp, n ph thuc vo giai on ly mu ca chui
d liu. Thng tin tc ng trong mi thi on y khc nhau s tc ng tng ng
n hiu qu d bo ca m hnh ARIMA.
Mt nhm cc hc gi ngi cng nhau phn tch d bo th trng chng khon
s dng ng thi m hnh ARIMA v m hnh a nhn t APT
1.8
. Kt qu cho thy
c hai u tt v c tin cy nht nh khi d bo v thng tin ca th trng chng
khon tht s l yu t quyt nh n gi tng lai ngay c khi n c tnh cht ch
quan trong qu trnh truyn t thng tin.
Tuy nhin khi so snh ARIMA vi m hnh FFNN (Feed Forward Neutral Networks
M hnh mng li thn kinh tin tip), tc gi Ashish Gajanan Lahane 08/2008 khi d
bo cc ch s chng khon n li cho thy ARIMA mc d d on v hng i
ca th trng tt hn nhng d bo v gi tr th km hn m hnh FFNN.
M hnh FFNN l mt nhnh ca l thuyt m phng b no con ngi da trn s di
chuyn cc lung thng tin truyn qua cc nron. M hnh ANN (Artificial Neural
Network M hnh mng thn kinh nhn to) cng l mt hnh thc nh vy. Nhng
nghin cu gn y xut kt hp m hnh ANN v ARIMA cho ra m hnh
SARIMABP (Tseng nm 2002) hay nh m hnh GRANN_ARIMA (Temizel v
Ahemad nm 2005). Cc nh nghin cu Nitin Merh, Vinod P.Saxena v Kamal Raj
Pardasani trong tc phm so snh nhng m hnh kt hp ANN vi ARIMA trong vic
d bo xu hng ca th trng chng khon n nm 2010 thc hin ng dng
trn cc ch s BSE IT, BSE 100, S&P CNX Nifty.
1.5.2 ng dng m hnh ARCH/GARCH
Thut ng ARCH/GARCH xut hin vo thp nin 90 nhng ch tht s ph bin chc
nm tr li y, cc nghin cu ARCH/GARCH hin ang trong qu trnh pht trin
c bit ng dng cao trong phn tch ri ro. Ring lnh vc chng khon, ti c th k
ra mt s tc phm ng dng nh sau:

Trong tc phm ng dng m hnh GARCH d bo s bin ng ca th trng
chng khon Malaysia, cc hc gi trng i hc Putra s dng d liu ch s gi
18
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH
t S giao dch chng khon Kuala Lumpur phn tch v d bo ri ro ca th
trng.
Nm 2006, tp th nhng gio s trng i hc Wollongong c cng b kt qu
nghin cu tc ng qua li gia th trng chng khon Thi Lan v cc th trng
khc, trong h s dng m hnh GARCH-M phn tch trn d liu thng t
01/1988 n 12/2004.
Ngoi ra, m hnh GARCH c th c s dng phn tch vn thao tng gi
hoc thng tin bt cn xng trn th trng chng khon bi cc nh nghin cu i
Loan nm 2007. H cng ng dng ARCH(3)-M chng minh chnh gim pht k
vng l nguyn nhn gy ra s bin ng ca th trng chng khon thi k khng
hong kinh t 1997-1998 trong khi phn b ri ro tng ng li khng i.
M hnh GARCH cn c dng phn tch ri ro cho cc c hi u t quc t theo
nghin cu sinh Marius Matei thuc Vin nghin cu kinh t quc gia Ty Ban Nha
nm 2010. Trong bi nghin cu, nhng ci tin ca m hnh cng c xut.
Cn rt rt nhiu cc nghin khc trn th gii v mt ng dng ln ci tin m hnh
ARIMA v ARCH/GARCH trong lnh vc chng khon m ti cha th trnh by ht.
iu ti mun ni y l trong th gii hc thut ngy nay, cc nghin cu l thuyt
ngy cng kt hp cht ch vi cng ngh ton tin hc. V vy kh nng ng dng v
trin khai vo thc t cng nhanh chng.

KT LUN CHNG 1
Ch s Vn-Index v Hn-Index l hai i tng nghin cu trong vic phn tch d bo
gi v ri ro cho th trng c phiu nim yt Vit Nam. Sut sinh li ca th trng
c tnh theo nguyn tc li kp vi s ghp li v hn v ri ro th trng c o
lng bi phng sai hay lch chun ca chui d liu sut sinh li th trng.

cng tc d bo tin cy cao v chun xc th chui d liu phi dng. Chui dng
l chui m trung bnh, phng sai ca n khng i theo thi gian v hip phng sai
gia hai thi on ch ph thuc vo khong cch v tr v thi gian gia hai thi
on ny ch khng ph thuc vo thi im thc t m ng phng sai c tnh.
Ta kim tra tnh dng da trn lc tng quan hay kim nh n v. Sau khi c
d liu dng ta xy dng m hnh ARIMA d bo cho chui d liu. M hnh kt
19
Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH

20
hp qu trnh t tng quan v trung bnh trt m phng din bin chui d liu
trong qu kh d bo cho tng lai vi gi nh tng lai lp li nh nhng g
trong qu kh.
Mt c im ca m hnh ARIMA l phng sai khng i nhng trong thc t
phng sai c bin i. M hnh ARCH/GARCH khc phc iu khi m t phng
sai ph thuc vo gi tr ca n trong qu kh. V vy n c dng phn tch v
d bo ri ro.
M hnh ARIMA, ARCH/GARCH ch mi c khi xng t vi chc nm tr li
y, nhng vi s pht trin ca khoa hc cng ngh, th gii v ang nghin cu
m hnh ARIMA, ARCH/GARCH mc ngy cng su, tin ti kt hp vi nhng
m hnh phn tch d bo tin tin khc nh m hnh mng li thn kinh tin tip
(FFNN), m hnh mng thn kinh nhn to (ANN)...
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

CHNG 2
TNG QUAN TH TRNG C PHIU NIM YT VIT NAM & TNH
HNH THC T NG DNG M HNH ARIMA, ARCH/GARCH
Y@Z
Chng 1 khi qut mt s kin thc nn v m hnh d bo phn tch ri ro ca
mt chui d liu theo thi gian v kinh nghim s dng m hnh trn th gii trong
lnh vc chng khon. y l c s cho vic ng dng vo th trng c phiu nim
yt Vit Nam v d liu t th trng ny hu ht l d liu ti chnh bin ng cao
theo thi gian nn rt thch hp cho p dng m hnh ARIMA, ARCH/GARCH.
Trc khi i vo phn ng dng, chng ny s cp n tng quan th trng c
phiu nim yt Vit Nam, bao gm cc vn sau:
Gii thiu khi qut c im ca mt th trng c phiu nim yt l nh th
no.
Thng k t sut sinh li v ri ro ca th trng c phiu nim yt Vit Nam
trong mi tng quan so snh vi th gii.
Nhn li lch s bin ng ca th trng c phiu nim yt Vit Nam nhn
nh c bn v din bin tm l ca th trng. y l l do ta cao vai tr
ca vic m phng hnh vi chui d liu trong qu kh khi phn tch d bo gi
v ri ro ca th trng c phiu nim yt Vit Nam.
Kt thc chng l phn trnh by lin quan n tnh trng thc t cng tc phn tch
d bo gi & ri ro th trng chng khon ca cc chuyn gia ti chnh ti th trng
c phiu nim yt Vit Nam. T nu bt tm quan trng ca vic ng dng trin
khai m hnh ARIMA, ARCH/GARCH i vo hot ng t vn u t trn th trng
c phiu nim yt Vit Nam.
2.1 TNG QUAN V TH TRNG C PHIU NIM YT VIT NAM
2.1.1 c im ca mt th trng c phiu nim yt Vit Nam
Th trng c phiu nim yt Vit Nam chnh thc thnh lp v i vo vn hnh vo
ngy 28/07/2000 vi 02 c phiu REE (Cng ty C phn C in Lnh) v SAM
(Cng ty C phn Cp v Vt liu Vin thng) giao dch trn Trung tm giao dch
21
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

Chng khon Thnh ph H Ch Minh. Tri qua hn 10 nm hot ng, th trng
tht s tr thnh mt knh huy ng vn trung v di hn hiu qu gp phn to ng
lc pht trin kinh t. Sn giao dch chng khon pht trin thnh hai sn giao dch
c qun l kim sot bi hai c quan qun l l S Giao dch Chng khon Thnh
ph H Ch Minh v S Giao dch Chng khon H Ni. Mi sn giao dch c nhng
khc nhau v quy m, cc tiu chun nim yt v quy nh qun l.
Vic xy dng v pht trin mt m hnh qun l hot ng giao dch chng khon
phn tng nh vy khng nhng to ra mt c ch thng thong, linh hot cho cc
cng ty i chng mun qung b hnh nh ca mnh n gn vi cng chng u t
m cn lm tng kh nng kim sot qun l hot ng ca cc cng ty i chng
nhm bo v cc li ch chnh ng ca cc nh u t.
Mt s nt chnh ca hai sn giao dch chng khon nim yt.
2.1.1.1 S Giao dch Chng khon Thnh ph H Ch Minh (Hsx)
S Giao dch Chng khon Thnh ph H Ch Minh tin thn l Trung tm Giao dch
Chng khon Thnh ph H Ch Minh, c chuyn i theo Quyt nh 599/Q-
TTg ngy 11/05/2007 ca Th tng Chnh ph. Nhng cng ty c c phiu c
nim yt ti S giao dch Thnh ph H Ch Minh phi tha mn cc tiu chun sau:
L cng ty c phn c vn iu l gp ti thi im ng k nim yt t 80
t ng Vit Nam tr ln tnh theo gi tr ghi trn s k ton;
Hot ng kinh doanh hai nm lin trc nm ng k nim yt phi c li,
khng c l lu k tnh n nm ng k nim yt v khng c cc khon n
qu hn cha c d phng theo quy nh ca php lut;
Ti thiu 20% c phiu c quyn biu quyt ca cng ty do t nht 100 c ng
nm gi;
...
Nh vy, S Giao dch Chng khon Thnh ph H Ch Minh ging mt b lc chn
ra nhng c phiu tt nht hoc nhng i tng u t ng tin cy cho cng chng.
Vi chc nng gim st v qun l hot ng giao dch cc c phiu tiu chun
nim yt, S Giao dch Chng khon Thnh ph H Ch Minh gp phn lm tng
22
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

tnh minh bch th trng m bo hot ng th trng c tin hnh cng khai,
cng bng, trt t v hiu qu.

th 2.1 S lng cc cng ty nim yt ti sn Hsx qua cc nm
Ngun Hsx
2.1.1.2 S Giao dch Chng khon H Ni (Hnx)
S Giao dch Chng khon H Ni (Hnx) c thnh lp theo Quyt nh s
01/2009/Q-Ttg ngy 2/1/2009 ca Th tng Chnh ph trn c s chuyn i, t
chc li Trung tm Giao dch Chng khon H Ni. y l ni giao dch cc c phiu
ca cc cng ty i chng c hot ng kinh doanh tt nhng cha t chun nim yt
ti S Giao dch Chng khon Thnh ph H Ch Minh. Nhng iu kin c bn bt
buc i vi mt cng ty nim yt trn SGDCK H Ni bao gm:
L cng ty c phn c vn iu l gp ti thi im ng k nim yt t 10
t ng Vit Nam tr ln tnh theo gi tr ghi trn s k ton;
Hot ng kinh doanh ca nm lin trc nm ng k nim yt phi c li,
khng c cc khon n phi tr qu hn trn mt nm v hon thnh cc ngha
v ti chnh vi Nh nc;
C phiu c quyn biu quyt ca cng ty do t nht 100 c ng nm gi;
Vi nhng tiu chun nim yt nh trn cho ta thy cc cng ty nim yt ti SGDCK
Tp. H Ch Minh ln hn v quy m, i chng ho hn v phi tun th cc yu cu
kht khe hn v cht lng hot ng kinh doanh so vi cc cng ty nim yt ti
SGDCK H Ni.
0
50
100
150
200
250
300
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010*
5
10
20 22
27
33
108
141
174
200
271
S

n
g
Nm
23
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH


th 2.2 S lng cc cng ty nim yt ti sn Hnx qua cc nm
Ngun Hnx
Ch cn nhn vo biu s lng cc cng ty nim yt ti hai sn Hsx v Hnx qua
cc nm ta cng thy c c bn s pht trin v quy m ca th trng c phiu
nim yt Vit Nam. c bit 2006 c xt l ct mc quan trng nh du s pht
trin vt bt ca th trng c phiu Vit Nam khng ch ring g th trng nim yt
m cn th trng OTC
2.1
. Trc nm 2006 c th xem l giai on th nghim vn
hnh th trng c phiu cn rt mi m Vit Nam. K t thi im t ph nm
2006 th th trng vn ni chung v th trng c phiu nim yt Vit Nam ni ring
mi tht s ha mnh vo qu trnh pht trin kinh t t nc, tr thnh phong v
biu cho nn kinh t ang pht trin nh Vit Nam.
2.1.2 Thng k t sut sinh li v ri ro ca th trng c phiu nim yt Vit
Nam trong mi tng quan so snh vi th gii
Vit Nam l nc ang pht trin nn c xp vo nhm cc nc c nn kinh t mi
ni. Mc khc, th trng c phiu nim yt Vit Nam ch mi tri qua hn mi nm
hnh thnh v pht trin cn rt non tr so vi cc th trng trn th gii. V vy, s
bin ng ca th trng c phiu nim yt Vit Nam s cao hn cc th trng khc,
nhng b li t sut sinh li s thu c kh hp dn cho cc nh u t.


0
50
100
150
200
250
300
350
2005 2006 2007 2008 2009 2010*
5
77
103
160
255
349
S

n
g
Nm
24
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH


th 2.3 T sut sinh li (%) cc th trng pht trin t 2000-2009
(ph lc 2.1)
Ngun: International Monetary Fund, Global Financial Stability Report, Responding
to the Financial Crisis and measuring Systemic Risk, April 2009 (IMF ly t MSCI),
ct s liu ca 2009 thu thp t http://www.mscibarra.com
V d t sut sinh li cc th trng pht trin ca giai on 2000 n 2009 cao nht
l 82,5% tht nht l -72,7%, trong khi ti cc th trng mi ni c t sut sinh li
cao nht ln ti 154,5% v thp nht l -75,4%.
Ngoi ra, i chiu th 2.3 vi th 2.4 cho thy th trng cc nc pht trin
c xu hng t sut sinh li kh ng nht hn cc th trng mi ni. Kh nng tm
kim li nhun ti cc th trng cc nc ang pht trin b phn ha nhiu.
60
40
20
0
20
40
60
80
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
T


s
u

t

s
i
n
h

l

i

(
%
)
France
Germany
HongKong
Italy
Japan
Singapore
U.K
US
25
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH


th 2.4 T sut sinh li (%) cc th trng mi ni t 2000-2009
(ph lc 2.2)
Ngun: International Monetary Fund, Global Financial Stability Report, Responding
to the Financial Crisis and measuring Systemic Risk, April 2009 (IMF ly t MSCI),
ct s liu ca 2009 thu thp t http://www.mscibarra.com
Trong , Vit Nam ni ln t nm 2006 tr thnh mt th trng kim li nhiu nht
t 144,4% sau khi Ai Cp t v tr qun qun cho th trng hp dn nht vo nm
2005 t n 154%. Tuy nhin thi gian t nm 2008 2009, Vit Nam l mt trong
th trng km hp dn nht khi t sut sinh li gim mnh xung gn mc thp nht
-65,9% v phc hi ch t mc trung bnh so vi th gii 56,8%. Nh vy th trng
c phiu nim yt Vit Nam ri ro kh cao trong mi tng quan vi cc th trng
khc. th 2.5 cng cho thy r iu ny.
100
50
0
50
100
150
200
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
T


s
u

t

s
i
n
h

l

i

(
%
)
Word
EM
La.America
Asia
E,Md.East
Egypt
VietNam
26
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH


th 2.5 Phn tn ca t sut sinh li lch chun cc th trng
(d liu nm ha t 08/2000 n 12/2008)
Ngun: http://www.mscibarra.com v tnh ton tc gi
Mt ln na ta thy cc nc ang pht trin tr nn thu ht cc nh u t bi kh
nng kim li t cao hn cc nc pht trin nhng ng thi ri ro mang li cao
tng ng. Vit Nam xem ra l nc th hin c tnh ny r nht.
L do chnh lm ri ro ca th trng c phiu nim yt Vit Nam cao l hnh vi u
t theo cm tnh ca nh u t trn th trng. Nhn li lch s bin ng th trng
c phiu nim yt Vit Nam qua phn tch hnh vi ca nh u t s th hin iu .
2.1.3 Nhn li din bin hnh vi ca th trng c phiu nim yt Vit Nam trong
10 nm qua
China
India
Indonesia
Korea
Malaysia
Pakistan
Philippines
Taiwan
Thailand Russia
Vietnam
Australia
Germany
HongKong
Japan
Singapore
UK
US
0.1
0.05
0
0.05
0.1
0.15
0.2
0.25
0 0.1 0.2 0.3 0.4 0.5

c
h

c
h
u

n

Sut sinh li
27
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH


th 2.6 Din bin 10 nm th trng c phiu nim yt Vit Nam
Ngun Hnx & Hsx
Giai on 2000-2005 - Giai on khi s
S ra i ca th trng c phiu nim yt Vit Nam c nh du bng vic a vo
vn hnh Trung tm giao dch chng khon TP.H Ch Minh ngy 20/07/2000 v thc
hin phin giao dch u tin vo ngy 28/07/2000. thi im lc by gi, ch c hai
doanh nghip nim yt hai loi c phiu (REE v SAM) vi s vn 270 t ng.
Ging nh nhng bc i chp chng ca mt a b, th trng ho hc vi ch s
VN-Index tng tin thng n mc 571,04 im ri vp ng rt gi mt cch thng
tut xung khong 200 im. K t nm 2001 n nm 2005, th trng din bin theo
trng thi g gt tri st trong bin 130-300 im. Nguyn nhn chnh l th trng
giao dch vi t hng ho ca cc doanh nghip nim yt quy m nh, thng hiu
khng thu ht cc nh u t trong khi room cho nh u t nc ngoi ht. Giai
on ny ging nh th trng ng ng, chng khon hay c phiu vn cn l nhng
t ng, khi nim xa l i vi cng chng.
Mc khc, tc ng kinh t x hi ca th trng l khng ng k. Th trng cha
th hin ng tm mc quan trng ca n trong th trng vn hay th trng ti chnh
Vit Nam. Ta c th thy iu ny thng qua t l phn trm mc vn ha th trng
so vi GDP nh sau:

Khi s
Tng tc
Lao dc
28
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

Bng 2.1 Bng t l % mc vn ha th trng so vi GDP

Nm T l %
2000 0,28%
2001 0,34%
2002 0,48%
2003 0,39%
2004 0,65%
2005 1,21%
Ngun Hnx & Hsx
Do tnh i din ca th trng c phiu nim yt cho nn kinh t rt thp nn th
trng bin ng hon ton c lp vi cc bin kinh t v m. V th, din bin ca
th trng phn ln theo hnh vi u t ca nh u t c nhn l c im ch yu
cho giai on ny.
Ngy 8/3/2005, Trung tm giao dch chng khon H Ni (TTGDCK HN) chnh thc
i vo hot ng v quy nh nng t l nm gi ca nh u t nc ngoi t 30% ln
49% tr lnh vc ngn hng) dn lm tnh ng th trng c phiu nim yt ni
ring v th trng chng khon ni chung.
Giai on nm 2006: Bc pht trin t ph
Mc thi gian k t u nm 2006 c coi l mang tnh cht pht trin t ph, to
cho th trng chng khon Vit Nam mt din mo hon ton mi vi hot ng giao
dch si ng v nh hng tch cc n c th trng OTC.
Vi mc tng trng t ti 60% t u n gia nm 2006, th trng c phiu Vit
Nam tr thnh tm "im" c tc tng trng nhanh th hai th gii, ch sau
Zimbabwe. Cc nh u t trong ln ngoi nc bt u b li cun vo mc sinh li
khng th tt hn t u t c phiu. Ngy cng c nhiu nh u t tham gia th
trng, tnh n thng 12 nm 2006 c trn 120.000 ti khon giao dch chng khon
c m, trong gn 2.000 ti khon ca nh u t nc ngoi, iu ny kch
thch cho th trng c phiu nim yt Vit Nam c s pht trin vt bc. Cui nm,
29
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

ch s Vn-Index ti sn giao dch TP. H Ch Minh tng 146,3% trong khi ti sn giao
dch H Ni ch s Hastc-Index tng 152,4%, tng gi tr vn ha t 13,8 t USD
chim 22,7% GDP.
Giai on nm 2006 c th c xem l thi im vng thm ch mt s b phn nh
u t cho rng y l c hi ngn nm c mt ca th trng c phiu nim yt Vit
Nam. Thi k tng tc ca mt th trng cn ht sc s khai m ngi ta hay ni l
giai on tranh ti tranh sng, lp lp cc nh u t mi xut hin lin tc hng ngy,
nh nh u t khng chuyn nghip ln chuyn nghip u kim bi tin mt cch d
dng. T m ng hiu k n m ng thi c tr thnh m ng i gia trn th
trng c phiu nim yt Vit Nam l mt hin tng c bit trong lch s pht trin
th trng c phiu Vit Nam.
Cc nh u t trong giai on m ti tm gi l hn lon ny a phn u t theo
tin tc, h tn dng cc giao dch ni gin v sn lng cc c phiu c k hoch nim
yt trong nm 2006 khi m h thng gim st qun l th trng c phiu Vit Nam
mi ch bt u xy dng. Lng vn vo th trng lin tc, c phiu tr thnh
mt loi hng ha c t sut sinh li v ch th vic u t thua l trong giai on ny
s l rt k l trong cng ng u t. Hin tng ny ko di sang nm 2007 nh cn
men say tip tc lm ht hn cc nh u t hng hi cm c nh ca t ai, s dng
n by ti chnh dn vn vo th trng c phiu sinh li v cng hp dn.
Thc t cho thy th trng c phiu nim yt Vit Nam c mi tng quan nht
nh vi cc bin ng ca nn kinh t v m nhng tm l u t by n lm mo
m mi quan h , dn n th trng tng trng qu nng vt khi tm kim sot.
Giai on nm 2007: Bng n v iu chnh
Bc sang nm 2007, cc nh u t ca nm 2006 tr thnh nhng i gia giu c
n r nh nm sau cn ma ro. Th trng c phiu Vit Nam tr nn qu hp dn
mt cch bt bnh thng. Mt s cnh bo v hin tng bong bng ca th trng t
cc hc gi vn khng lm chn bc tm l u t theo by n ang hng hc tin
ln nh. H khng ngh rng sau nh ni s l dc ni m a phn u hy vng sau
nh s l mt nh khc do h t thit lp. Qu t tin v phn ng thi qu vi cc tin
tc kinh t chnh l hnh vi chi phi s tng tc mnh m ca th trng. V ri k lc
30
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

vi ch s VN-Index 1.170,67 im sau 7 nm hot ng v Hastc-Index 459,36 im
sau 2 nm hot ng c thit lp nh l mt kt cc tt yu.
T k lc ch s dn n hng lot cc ch tiu k lc v th trng m hm nay ta
nm m cng khng th ngh ti. Tng trng vi tc ln nht khi t mc tng
126% ch trong vng 3 thng giao dch. Nh , tng gi tr vn ha ca th trng
trong giai on ny ln n con s 398.000 t ng chim 80% tng gi tr vn ha
492.900 t ng ca c nm 2007. n tng mnh nht giai on ny l hu ht gi
cc c phiu tng trng vi tc phi m, ng lot cc c phiu t Bluechip, Penny
stock , cc c phiu mi nim yt trn sn tt c u t mc tng trng trn 50%
gi tr so vi mc gi giao dch u nm, trong c nhng c phiu t mc tng
trng trn 100% nh: STB (113,57%), REE (122,66%), ACB (197%)... Rt nhiu m
CP thit lp mc gi nh k t khi ln sn trong giai on ny nh: SJS (728.000
/CP), FPT (665.000 /CP), DHG (394.000 /CP), REE (285.000 /CP), SSI (255.000
/CP), SAM (250.000 /CP), KDC (246.000 /CP), VNM (212.000 /CP), ACB
(292.000 /CP)
Trc ni lo s v mt th trng bong bng, cc c quan qun l nh nc cng
nh Chnh ph vo cuc gim nhit th trng bng cc bin php kim sot th
trng cht ch, ban hnh nhng thit ch gim s tng trng qu nng ca th
trng nh ch th 03
2.2
, lut thu thu nhp c nhn

v cc thng t ngh nh hng
dn thi hnh lut chng khon. Th trng c nhng t iu chnh dao ng mnh
vo nm thng gia nm, tip n l mt t phc hi trc khi i vo thoi tro trong
bn thng cui nm. Kt thc phin giao dch cui nm, Vn-Index t 927,02 im,
Hastc-Index dng mc 323,55 im. Nh vy sau 1 nm hot ng Vn-Index t
c mc tng trng l 23,3%; Hastc-Index tng 33,2% so vi mc im thit lp
vo cui nm 2006.
Giai on 2008: Lao dc
Nu nh t iu chnh gia v cui nm 2007 ch l bi tc ng ch quan ca c
quan qun l nh nc nhm hng s pht trin ca th trng c phiu nim yt Vit
Nam theo hng bn vng th t gim mnh gi c phiu nm 2008 li bc l hu
qu giai on tng nng thiu kim sot ca th trng nm 2006-2007. Hu qu y l
31
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

Index gim im, th gi cc loi c phiu st mnh (nhiu m c phiu ri xung di
mnh gi), tnh thanh khon km, s thoi vn ca khi ngoi, s can thip ca cc c
quan iu hnh v s m m trong tm l cc nh u t. Nhng nguyn nhn chnh
y th trng lao dc c th k ra y nh sau:
Cung vt cu
Hin tng cung vt cu l do trong nm 2008, lng cung tip tc c b sung
ng k thng qua vic chnh ph y mnh c phn ho doanh nghip nh nc, c
bit l cc doanh nghip quy m ln, kinh doanh hiu qu v bn bt vn nh nc
trong cc doanh nghip c phn ha, cha k hng lot ngn hng, cng ty chng
khon, doanh nghip... pht hnh c phiu tng vn iu l v tn dng thi c ly
thng d vn dn n tnh trng th trng chng khon tha "hng" trong khi cu
h nhit.
Tc ng t nhng tn hiu xu ca nn kinh t v m
Cc thng tin tc ng xu ti tm l nh u t xut pht t ni ti nn kinh t bao
gm s gia tng lm pht, chnh sch tht cht tin t ca ngn hng nh nc, s leo
dc ca gi xng du v sc p gii chp t pha ngn hng i vi cc khon u t
vo th trng chng khon.
Khng hong ti chnh ton cu
Nguyn nhn tc ng ln nht ti th trng c phiu trong giai on ny chnh l s
lan ta mnh ca cuc khng hong ti chnh trn ton th gii. Cuc khng hong
ny gy ra v hng lot h thng ngn hng, nhn chm gi chng khon v tin t
nhiu nc trn th gii.
Trc thc trng kh khn c th dn ti v th trng, cc c quan iu hnh bt
u a ra nhng ch trng v bin php h tr:
y ban chng khon nh nc thu hp bin giao dch;
Tng cng ty u t v kinh doanh vn nh nc (SCIC) tham gia mua vo c
phiu;
Ngn hng thng mi c vn ng ngng gii chp;
T chc nim yt c khuyn khch mua vo c phiu qu.
32
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

Tuy nhin, th trng c phiu nim yt Vit Nam vn kt thc nm 2008 vi kt qu
ti t ca mt th trng gim im mnh nht th gii. Vn-Index mt im 66% cn
315 im v Hastc-Index cng gim ti 67,5% trong khi ch s chng khon ln trn
th gii ch gim 35%-45%.
Mt ln na hnh vi phn ng thi qu nhng l phn ng ngc dn th trng gim
mnh vi tc ngang bng nh thi k tng trng nng 2006-2007.
Giao on nm 2009 - nay: hi phc v sideways (th trng i ngang)
Nm 2008 nh mt ci dc trt di khng c im dng th nm 2009 xc lp mc
hi phc ca th trng. cng chnh l im y 235,50 im ca ch s VN-Index.
Nh s hi phc ca nn kinh t th gii, ch s chng khon v chnh sch kch cu
ca Chnh ph, th trng o chiu tng mnh. Tnh n ngy 31/12/2009 th VN-
Index tng 58% t mc 312,49 im n 494,77 im v HNX-Index hi phc
60,9%.
Bc sang nm 2010, tm l thn trng v ngn hn (tham kho Ph lc A) v nn
hnh sideways cho th trng c phiu nim yt Vit Nam.
Nh vy, chng ta n li nhng im c bn ca din bin th trng c phiu nim
yt trong 10 nm qua. Mt chng ng khng phi l di i vi lch s ca mt th
trng c phiu nu ta em so snh vi cc th trng c phiu tin tin khc. Tuy
nhin, khng bit c phi l iu ngu nhin hay do tnh cht ca s pht trin ca mt
th trng thi k s khai m din tin th trng c phiu nim yt Vit Nam nh
cun phim quay chm c y cc c im ca lch s pht trin ca mt th trng
c phiu nim yt: tng tc, tng trng bong bng, lao dc khng phanh, khng
hong, sideway... u c . Th trng c phiu nim yt Vit Nam tr thnh mt th
trng y th thch i vi bt k mt nh u t ti chnh no mun kim li t th
trng Vit Nam.
Ring ti, c th kt lun th trng c phiu nim yt Vit Nam c mt iu chc
chn l khng c g l chc chn. y chnh l yu t bt nh, mt khi nim cng l
mt i tng nghin cu ca cc hc gi nhm bin n thnh yu t ri ro c th
kim sot c. V vy, tm c mt cng c no c th o lng v phn tch
c ri ro tr thnh thch thc y hu ch cho ai tm ra n.
33
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

Tr li th trng c phiu nim yt Vit Nam, sut chiu di lch s pht trin ca th
trng, yu t hnh vi chi phi phn ln bin ng th trng nn to ri ro cao tng
i so vi th trng th gii. Phn tch v d bo ri ro da vo kim sot mi tng
quan gia cc bin kinh t v m v bin ng th trng dng nh khng my hiu
qu v thng to ra kt qu sai lch so vi thc t. Mt cng c hu ch c cc nh
nghin cu kinh t th gii p dng trong d bo v phn tch ri ro cho th trng c
phiu nim yt hin nay s h tr gii quyt vn . y chnh l m hnh ARIMA
v m hnh ARCH/GARCH dng phn tch d bo gi & ri ro cho th trng
chng khon da trn hnh vi ca din bin th trng hn l nhn din cc nhn t
kinh t tc ng n th trng.
Trc khi i vo k thut ng dng m hnh, ti s trnh by tng quan v tnh hnh
thc t ng dng m hnh ARIMA, ARCH/GARCH, t nu bt nhu cu cn thit
a m hnh vo cng tc phn tch d bo th trng c phiu nim yt Vit Nam.
2.2 TNH HNH THC T NG DNG M HNH ARIMA, ARCH/GARCH
Ti thc hin kho st cc m hnh phn tch d bo m cc chuyn gia ti chnh
hin nay s dng d bo v phn tch ri ro cho th trng c phiu nim yt Vit
Nam (tham kho Bng cu hi ph lc A.2). Quy m mu kho st l 91 ngi lm
vic ti cc cng ty chng khon Vit Nam nh BSC, SSI, TLS, u Vit, Beta,
ACBS..., trong 79 ngi l chuyn vin chim 86,8% mu kho st, phn ln lm
vic trong cc phng phn tch u t v t vn ti chnh doanh nghip, cn li 12 cn
b qun l phng. Nh vy tng hp cc cu tr li ca 91 chuyn gia chng khon
ny gn nh l xu hng chung ca th trng c phiu nim yt.
Kt qu (ph lc A.3) cho bit phng php d bo phn tch ri ro m cc chuyn gia
ti chnh c s dng l phn tch k thut v phng php hi kin chuyn gia trong
khi m hnh hi quy nhn qu
2.3
, VAR
2.4
c

nghe bit, mt s t c quan tm nhng
khng bit cch s dng. Cn m hnh ARIMA, ARCH/GARCH hu nh l cc khi
nim hon ton mi i vi cc nh lm ti chnh thc t. Ngay c phng php phn
tch k thut v hi kin chuyn gia c s dng nhng cng khng thng xuyn.
y l kt qu tht bt ng, n cho thy tnh khng chuyn nghip ca th trng
chng khon Vit Nam v cc nh u t c nhn nh khng c chuyn mn
kin thc cng nh cng ngh s dng cc m hnh hc thut vo thc t th c cc
34
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

chuyn gia t vn u t t vn ti chnh cng bit rt s si v cc m hnh phn tch
d bo gi & ri ro. Phng php phn tch k thut c xem l c ng dng nhiu
nht trong nghin cu, t vn v phng php hi kin chuyn gia cng c mc
s dng ngang bng vi phng php phn tch k thut.
Vn t ra l phi chng cc nghin cu v t vn ti chnh ca cc chuyn gia ti
chnh thc t hin nay phn ln l cc kin ch quan khng c c s khoa hc. Cc
nh u t da trn thng tin t cc chuyn gia. Cc chuyn gia li s dng kin ca
cc chuyn gia khc th v hnh trung th trng c iu khin bi mt m hn n
cc kin ch quan thiu c s. Gi s cc chuyn gia ti chnh thc t hi kin t
cc hc gi, cc nh lm nghin cu th lm sao h hiu c v tin c khi h hiu
bit rt t v cc m hnh phn tch d bo gi & ri ro c c s khoa hc. T trc ti
nay, chng ta thng li cho tnh tm l by n ca th trng chng khon Vit
Nam l nguyn nhn lm cho cc m hnh l thuyt khng p dng c nhng qua
cuc kho st, tnh thiu chuyn nghip ca cc nh t vn ti chnh Vit Nam c l l
mt trong nhng nguyn nhn lm trm trng hn tnh by n ca th trng thin v
cm xc hn l l tr nh th trng Vit Nam.
Mt minh chng cho vic cc nh u t t vn ti chnh chuyn nghip nu p dng
cc m hnh l thuyt vo thc tin thng xuyn v cc nh u t hiu bit hn
th th trng hon ton c th c d bo v phn tch tt l giai on sideways
hin nay. Cc chuyn ti ti chnh dng phn tch k thut nh lt sng nh kho
st (tham kho Ph lc A) v tht s v nn hnh cho th trng ng nh giai
on sideways.
Kt qu kho st cho ra mt kt qu th v khi m nh u t thng thng v nh t
vn ti chnh th trng chng khon Vit Nam khng khc nhau l my. Phi chng
y l nguyn nhn ti sao gi tr ca cc li t vn thng chung chung v khng hu
ch cho nh u t nh by lu vn tn ti Vit Nam.
Thc t ng dng m hnh d bo v phn tch ri ro trong cc cng ty ti chnh Vit
Nam l th, cn gii hc thut Vit Nam th sao?
Nhng nm gn y, vi ng dng m hnh ARIMA gii hc thut Vit Nam tip
cn v ng dng d bo cho nhiu ch tiu kinh t nh hai nh nghin cu Nguyn
35
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

Chng (thuc Trng i hc kinh t, Nng) v V Th Tho Bnh (khoa Ton
kinh t, Trng i hc kinh t quc dn) d bo lm pht bng m hnh ARIMA.
Tin s Cao Ho Thi (khoa Qun l Cng nghip, Trng i hc Bch khoa Thnh
ph H Ch Minh) d bo gi c sng ti Tp. H Ch Minh bng m hnh cc qu trnh
ngu nhin m hnh ARIMA. Ngoi ra, Thc s Trn Anh Tun cng s dng m
hnh ARIMA d bo nhu cu tn dng trung v di hn trn a bn Thnh ph H
Ch Minh (nm 2004) hay nh Tin s Nghim Tin Lam ng dng m hnh ARIMA
d bo dng chy phc v qun l v iu hnh h thng ti Thch Nham (nm
1999). M hnh ARIMA cn c ng dng phn tch d bo gi vng, gi du, gi
chng khon...
Nhn chung m hnh ARIMA v ang ngy cng c chn thc hin cc ti
nghin cu hc thut cc lnh vc. Cn vi m hnh ARCH/GARCH th mc tip
cn v ng dng cn rt hn ch. Hai ti ln m ti c bit l ti Xy dng
m hnh Markov-switching GARCH ci tin cho Vn-Index ca tin s Trn Vit H
(Khoa kinh t v qun l, i hc Bch khoa H Ni) v nh nghin cu ng Hu
Mn (Trng i hc kinh t Nng) vi ti Nghin cu cht lng d bo ca
nhng m hnh qun tr ri ro th trng vn. ARCH/GARCH l m hnh pht trin
cao hn ARIMA v cn kh mi m trong lnh vc nghin cu.
Tuy nhin vi nhng tc phm, lun vn v cc bi bo c cng b ca cc nh
nghin cu Vit Nam phn no cho thy chng ta ang tch cc tip cn v c n
lc gii thiu cc ng dng ca m hnh ARIMA v ARCH/GARCH n cng chng.
Thnh cng th nh chng ta thy cn rt hn ch v thng c mt tr rt ln t
nghin cu hc thut i vo thc tin ng dng rng ri. Trong khi , cc ti
nghin cu ng dng m hnh vo lnh vc chng khon rt t, nu c ch l ng dng
cc k thut d bo m cha c phn tch su. V vy, cng l iu d hiu khi kt
qu kho st ca cc chuyn gia thc t lm vic trong cc cng ty ti chnh hu ht
khng ng dng cc m hnh ARIMA, ARCH/GARCH vo trong cng tc t vn ca
mnh. C th phc tp ca m hnh lm nn ch cc nh ng dng thc t hoc nhu
cu ca mt th trng c phiu cn kh non tr v thiu chuyn nghip nh Vit Nam
cha cn dng ti.
36
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

Vit Nam l nc cn rt lc hu trong mi trng hc thut ln k nng ng dng l
thuyt vo thc t. C ngi mi ta dng nh l mnh lun ng. Tuy nhin, tr
cn hn khng, chng ta phi ch ng tip cn nhng kin thc mi nht ca th gii
t nht chng ta khng phi l k b b ri ngoi cuc m l mt thnh vin tham
gia d lc cn rt yu trong dng chy pht trin kin thc nhn loi. Nghin cu v
ng dng m hnh ARIMA v ARCH/GARCH cng ch nhm gii thiu mt trong
nhng kin thc kinh t ng dng rt c ph bin hin nay vo lnh vc chng
khon mc ci nga xem hoa. C th c mt s ti nghin cu ng dng
m hnh ARIMA v ARCH/GARCH vo th trng chng khon Vit Nam m ti
cha c bit nhng vi nhng g tip thu v thu thp c, ti mun trnh by quan
im cng nh hiu bit ca mnh v m hnh ARIMA, ARCH/GARCH mt cch
tip cn vi mc ng dng cho giai on th trng chng khon hin nay ca mt
ngi lm thc t.
Sau y, hy cng ti s dng nhng kin thc nn c trnh by Chng I v
Chng II vo vic phn tch d bo gi & ri ro ca th trng nim yt c phiu Vit
Nam hin nay.

KT LUN CHNG 2
Th trng c phiu nim yt Vit Nam c i din bi hai sn giao dch c phiu
bao gm S Giao dch Chng khon Thnh ph H Ch Minh (HSX) v S Giao dch
Chng khon H Ni (HNX), trong HSX a phn bao gm nhng c phiu cht
lng hn v tiu chun nim yt kht khe hn.
Lch s pht trin th trng c phiu nim yt Vit Nam tri qua hn 10 nm vi
nhiu thng trm. Nu nh giai on t khi khi s n nm 2005 th trng Vit Nam
hu nh tch bit vi nn kinh t chung ca t nc bi quy m th trng nh b v
mi quan tm ca nh u t vi th trng khng ng k th t 2006 n nay th
trng c phiu nim yt Vit Nam tht s c bc t ph v gn nh tr thnh
phong v biu o lng nhp p ca nn kinh t ni chung. Th trng c phiu nim
yt Vit Nam tr thnh mt trong th trng hp dn nhng cng ri ro nht th gii.
37
Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng
m hnh ARIMA, ARCH/GARCH

38
Tuy nhin d bo v phn tch ri ro ca th trng c phu nim yt Vit Nam l
v cng kh khn do yu t hnh vi bt nh rt cao ca nh u t ti Vit Nam lm
cho cc m hnh d bo phn tch th trng da trn mi tng quan gia th trng
v cc bin s kinh t v m sai lch nhiu so vi thc t. M hnh ARIMA,
ARCH/GARCH s khc phc c nhc im ny khi n m phng hnh vi ca din
bin th trng m khng quan tm n cc yu t tc ng.
Th trng c phiu nim yt Vit Nam vn l th trng tm l cao do kin thc trnh
phn tch d bo gi & ri ro th trng ca cc nh u t (phn ln l c nhn)
cha cao. Tuy nhin mt iu ng ngc nhin l ngay c cc chuyn gia chng khon
cng khng khc g my so vi nh u t v tnh chuyn nghip nh trong cuc kho
st v thc t s dng m hnh phn tch d bo ca cc chuyn gia chng khon hin
nay ti Vit Nam. Kt qu l m hnh ARIMA, ARCH/GARCH hu nh l khi nim
hon ton mi i vi cc chuyn gia chng khon lm thc t.
Ring cc nh hc thut Vit Nam th m hnh ARIMA c s dng cho nhiu
lnh vc, c lnh vc chng khon trong khi m hnh ARCH/GARCH li c s
dng rt hn ch. iu ny chng t Vit Nam c phn tt hu trong vic tip cn
cng ngh v kin thc mi.

Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
CHNG 3
PHN TCH D BO GI V RI RO THNG QUA M HNH
ARIMA, ARCH/GARCH CHO TH TRNG C PHIU NIM YT TI
VIT NAM
Y@Z
Chng ba c xem l chng ng dng m hnh ARIMA, ARCH/GARCH d
bo phn tch gi v ri ro cho th trng c phiu nim yt Vit Nam giai on hin
nay. M hnh ARIMA u tin s m t hnh vi ca th trng trong qu kh v nu
nh hnh ca kt qu m phng gn khp vi hnh ca d liu thc t th m
hnh ARIMA tm c t ra thch hp d bo cc kt qu trong tng lai.
Ngoi ra, chng ta s phn tch d bo ri ro ca th trng bng m hnh
ARCH/GARCH. M hnh ny s cho ta thy th trng c tnh trng bt cn xng
thng tin hay khng v mi quan h gia ri ro v sut sinh li ca th trng.
Cui cng l mt s vn lu v cc hng m rng ng dng m hnh.
3.1 KHI QUT DIN BIN CA TH TRNG C PHIU NIM YT
VIT NAM GIAI ON HIN NAY

ng nt dy l Vn-Index, ng nt mnh l Hn-Index
th 3.1 Din bin th trng giai on t 11/11/2009 n 11/11/2010
Ngun Hnx & Hsx
T cui nm 2009 n nay, th trng c phiu nim yt ti S giao dch chng khon
thnh ph H Ch Minh dng nh bng quang vi mi thng tin d tt hay xu v tc

39
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
ng thng tin n th trng khng cn khin cho gi chng khon dao ng mnh
na, thay vo th trng lc ny mang hnh ging nh giai on 2001-2005 tri
st vi bin hp vi ba t sng dao ng. t sng th nht kt thc vo ngy
07/01/2010 vi mc nh ca Vn-Index t c l 543,46 im, sau li su v
mc 477,59 im vo ngy 22/01. t sng th 2, th trng phc hi ln 531.86 im
vo ngy 15/03, sau li v 499,21 im vo ngy 31/03. t sng th 3 a Vn-
Index ln mc im cao nht trong 9 thng nm 2010 vi s im l 549,12 vo ngy
04/05. K t mc im cao nht ca t sng th 3 th trng gim mnh v 423,89
ri xoay quanh mc 450. Ngy 30/09/2010, Vn-Index ng ca mc 454,52 im,
mt 40,25 im so vi phin ng ca cui nm 2009, tng ng 8,14%.
Trong khi , Hn-Index ng ca mc 127,29 im, mt n 40,88 im so vi u
nm 2010, tng ng 24,31%. Nh vy c v nh th trng c phiu nim yt H
Ni nhy cm hn vi tin tc v c xu hng gim mnh hn.
Tng quan v din bin ca th trng c phiu nim yt Vit Nam giai on hin nay
theo hnh 3.1 nh trn. Sau y, ti s ng dng m hnh ARIMA m phng li
lch s bin ng gi ca th trng c phiu nim yt Vit Nam t lm c s cho
cc d bo trong tng lai.
3.2 NG DNG M HNH ARIMA D BO CH S VN-INDEX, HA-
INDEX
3.2.1 ng dng m hnh ARIMA d bo cho Vn-Index (ph lc 3.1)
Ngun s liu
S liu Vn-Index ly t S giao dch chng khon thnh ph H Ch Minh trong
khon thi gian t 11/11/2009 n 11/11/2010. Giai on ny tuy c bin ng ln
xung to ra cc t sng nhng khng qu ln m c xu hng sideways.
Mu quan st v khung thi gian
Mu ly gm 251 quan st i din cho 251 ch s gi Vn-Index theo ngy trong
khong thi gian t 11/11/2009 n 11/11/2010 tng ng mt nm giao dch.

Kim tra tnh dng ca chui d liu
40
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam

th 3.2 - Gin tng quan ca Vn-Index

th 3.3 - Gin tng quan sai phn bc mt ca Vn-Index
T biu 3.2, 3.3 v kim nh ADF cho thy chui Vn-Index l chui khng dng
nhng sai phn bc mt ca n li l mt chui dng. Nh vy chui d liu x l
d bo s l chui sai phn thay v chui Vn-Index ngha l Vn-Index s c d bo
theo m hnh gin tip thng qua chui sai phn bc mt ca n.
Xc nh m hnh ARIMA
Da vo quy tc kinh nghim, cn c mt s c im ca gin tng quan 3.2 v
3.3 sau y:
PACF ca chui Vn-Index sau 1 hoc 2 tr th nhanh chng tin v 0 ngay
lp tc trong khi ACF th c xu hng gim dn;
ACF, PACF ca chui sai phn Vn-Index sau 1 tr th nhanh chng bng 0
ngay lp tc.
Ta thy cc m hnh c th ph hp d bo Vn-Index bao gm ARMA(1,0),
ARMA(2,0), ARMA(1,1), ARIMA(1,1,1). Trong m hnh ARIMA(1,1,1) c cc h

41
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
s khng c ngha thng k nn loi ra u tin. Ba m hnh cn li ta tip tc da
vo gin tng quan phn d (sai s d bo) ca ba m hnh xem phn d ca
mi m hnh c phi l mt chui ngu nhin khng. M hnh ARMA(2,0) khng c
chui sai s ngu nhin nn khng tt cho d bo.
Hai m hnh cn li l ARMA(1,0) v ARMA(1,1), ta da vo mt s ch tiu o
lng chnh xc v ph hp ca m hnh. Kt qu nh sau:
Bng 3.1 So snh cc ch tiu nh gi m hnh
Ch tiu ARMA (1,0) ARMA (1,1)
AIC 6,81933 6,781591
SBC 6,847502 6,823849
HQ 6,830668 6,798599
RMSE 7,262517 7,098313
MAPE 1,10 1,08
Ngun: Tnh ton ca tc gi
Vi hu ht cc ch tiu trong bng 3.1 ca m hnh ARMA(1,1) u nh hn so vi
m hnh ARMA(1,0). Vy m hnh ARMA(1,1) l m hnh ph hp nht d bo
ch s Vn-Index.
Nh vy mt iu lu khi xc nh m hnh d bo ARMA l kinh nghim ca
ngi lm d bo rt quan trng. Khi la chn ra cc m hnh ph hp cho chui d
liu, ngi lm cng tc d bo phi linh ng. Nh bc kim nh tnh dng trn,
chui d liu sai phn bc mt c chn lm chui d bo v n dng nhng kt qu
m hnh d bo c chn li l m hnh ARMA(1,1) khng c yu t sai phn.
Ngoi ra vn ny cn c gii thch do tnh n nh ca chui d liu Vn-Index
th hin giai on hin nay ca th trng c phiu nim yt sn thnh ph H Ch
Minh ang trng thi sideways nn kim nh ADF cho thy chui Vn-Index rt c
th dng tin cy 80-90%.
Phng trnh d din nh sau: bo biu
VnIndex
t

= 482,84(1-0,96) + 0,96VnIndex
t-1
+ 0,22e
t-1
Vit li:

42
VnIndex
t

= 19,3136 + 0,96VnIndex
t-1
+ 0,22e
t-1

Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
3.2.2 ng dng m hnh ARIMA d bo cho Hn-Index (ph lc 3.2)
Ngun s liu
S liu Hn-Index ly t S giao dch chng khon H Ni trong khon thi gian t
11/11/2009 n 11/11/2010. Giai on ny Hn-Index mc d cng c xu hng
sideways nhng gn cui c xu hng gim u.
Mu quan st v khung thi gian
Mu ly gm 251 quan st i din cho 251 ch s gi Hn-Index theo ngy trong
khong thi gian t 11/11/2009 n 11/11/2010 tng ng mt nm giao dch.
Kim tra tnh dng ca chui d liu

th 3.4 - Gin tng quan ca Hn-Index

th 3.5 - Gin tng quan sai phn bc mt ca Hn-Index

43
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
T biu 3.4, 3.5 v kim nh ADF cho thy chui Hn-Index l chui khng dng
nhng sai phn bc mt ca n li l mt chui dng. Nh vy chui d liu x l
d bo s l chui sai phn.
Xc nh m hnh ARIMA
Da vo quy tc kinh nghim, cn c mt s c im ca gin tng quan 3.4 v
3.5 sau y:
PACF ca chui Hn-Index sau 1 tr th nhanh chng tin v 0 ngay lp tc
trong khi ACF th c xu hng gim dn;
ACF, PACF ca chui sai phn Hn-Index sau 1 tr hoc gn nh nhanh
chng bng 0 ngay lp tc.
Ta thy cc m hnh c th ph hp d bo Hn-Index bao gm ARMA(1,0),
ARMA(1,1), ARIMA(0,1,0), ARIMA(1,1,0) ARIMA(0,1,1), ARIMA(1,1,1). Trong
m hnh ARMA(1,1), ARIMA(1,1,0) ARIMA(0,1,1), ARIMA(1,1,1) c cc h s
khng c ngha thng k nn cn loi ra. Hai m hnh cn li ta tip tc da vo gin
tng quan phn d (sai s d bo) xem phn d ca mi m hnh c phi l
mt chui ngu nhin khng. Hai m hnh u c phn d l chui ngu nhin.
Ta tip tc da vo mt s ch tiu o lng chnh xc v ph hp ca m hnh.
Kt qu nh sau:
Bng 3.2 So snh cc ch tiu nh gi m hnh
Ch tiu ARMA (1,0) ARIMA (0,1,0)
AIC 5,1633 5,156206
SBC 5,191472 5,170292
HQ 5,174638 5,161875
RMSE 3,173108 3,174545
MAPE 1,539986 1,537286
Ngun: Tnh ton ca tc gi

Vi hu ht cc ch tiu trong bng 3.2 ca m hnh ARIMA(0,1,0) u nh hn so
vi m hnh ARMA(1,0). Vy m hnh ARIMA(0,1,0) l m hnh ph hp nht d
44
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
bo ch s Hn-Index. Nh vy Hn-Index s c d bo theo m hnh gin tip thng
qua chui sai phn bc mt ng trnh d bo biu din nh sau: ca n. Ph
HnIndex
t

= - 0,311 (3.1)
Vit li phng trnh 3.1 nh sau:
HnIndex
t

= HnIndex
t-1
- 0,311
3.3 NG DNG M HNH ARIMA V ARCH/GARCH PHN TCH D
BO RI RO
3.3.1 ng dng m hnh ARIMA v ARCH/GARCH phn tch d bo ri ro
cho sn nim yt Tp. H Ch Minh
3.3.1.1 ng dng m hnh ARIMA d bo sut sinh li cho ch s Vn-Index (ph
lc 3.3)
Ngun s liu
Da vo d liu Vn-Index ly t S giao dch chng khon thnh ph H Ch Minh
trong khon thi gian t 11/11/2009 n 11/11/2010, ta to ra chui d liu sut sinh
li vi 250 quan st, trong sut sinh li ca ch s Vn-Index c tnh theo cng
thc
r
vn-Indcx,t
= ln _
P
vn-Indcx,t
P
vn-Indcx,t-1
]
Mu quan st v khung thi gian
Mu ly gm 250 quan st i din cho 250 sut sinh li ca Vn-Index theo ngy trong
khong thi gian t 11/11/2009 n 11/11/2010 tng ng mt nm giao dch.
Kim tra tnh dng ca chui d liu


th 3.6 - Gin tng quan ca r
Vn-Index

45
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
T biu 3.6 v kim nh ADF cho thy chui sut sinh li Vn-Index l chui
dng. Nh vy chui d liu x l phn tch ri ro s l chui sut sinh li Vn-
Index.
Xc nh m hnh ARIMA
Gin tng quan 3.6 c c im ACF, PACF sau 1 tr th nhanh chng bng 0
ngay lp tc. Do cc m hnh c th ph hp d bo i
vn-Indcx
bao gm
ARMA(1,0), ARMA(0,1), ARMA(1,1). C ba m hnh u c phn d l chui ngu
nhin nhng m hnh ARMA(1,1) c cc h s khng c ngha thng k nn cn loi
ra. Hai m hnh cn li ta tip tc da vo mt s ch tiu sau y chn ra m hnh
ph hp nht.
Bng 3.3 So snh cc ch tiu la chn m hnh d bo r
Fn-Index

Ch tiu ARMA (0,1) ARMA (1,0)
AIC -5,59339 -5,58976
SBC -5,57931 -5,57563
HQ -5,58773 -5,58407
RMSE 0,014704 0,014731
Ngun: Tnh ton ca tc gi
Vi hu ht cc ch tiu trong bng 3.3 ca m hnh ARMA(0,1) u nh hn so vi
m hnh ARMA(1,0). Vy m hnh ARMA(0,1) l m hnh ph hp nht d bo
i
vn-Indcx
.
3.3.1.2 S dng m hnh ARCH/GARCH phn tch d bo ri ro ca Vn-
Index
D bo ri ro Vn-Index (ph lc 3.4)
T m hnh ARMA(0,1), ta i kim nh nh hng ca ARCH(q) v sau khi ta tng
tr q ln 2 th ta thy ch c m hnh ARCH(1) l c ngha d bo ri ro Vn-Index
vi q=1.

M hnh ARCH(1) chnh l m hnh GARCH(0,1).Ta tip tc th kim nh vi cc
m hnh GARCH(1,1), GARCH(2,1), GARCH(2,2). Vi hai m hnh GARCH(2,1),
GARCH(2,2) th cc h s d bo khng c ngha thng k, ch c m hnh
GARCH(1,1) l c ngha thng k d bo ri ro Vn-Index.
46
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
Ta c hai m hnh ARCH(1) hay GARCH(0,1) v GARCH(1,1) d bo ri ro ca Vn-
Index. la chn m hnh no l ph hp nht ta da vo th biu din phn d
ca hai m hnh.

th 3.7 biu din phn d ca m hnh GARCH(1,1) v GARCH(0,1)
So snh hai m hnh, ta thy phn d c lng ca m hnh GARCH(1,1) c v
nhn v r rng hn m hnh GARCH(0,1) nn ta chn m hnh GARCH(1,1) d
bo ph ng sai ca Vn-Index hay ri ro ca Vn-Index. Kt qu d bo:
i
vn ndcx,t
= 0,164 e
t-1
+ e
t
(3.2)
-I
U
t
~ N(0, h
t
)
h
t
= 0.00000952 + 0,8h
t-1
+ 0,16c
t-1
2
(3.3)
Phng trnh 3.2 l phng trnh c lng t sut sinh li Vn-Index v phng trnh
3.3 l phng trnh d bo ri ro Vn-Index. Vi m hnh GARCH(1,1) cho ta thy ri
ro ca Vn-Index ph thuc vo ri ro xy ra giai on t-1 hay khi c mt c sc ln
hay nh xy ra trc th ri ro theo sau cng s ln hay nh.
c im ri ro (ph lc 3.5)
Th nht vi m hnh GARCH(1,1)-M, ta a bin phng sai tc l ri ro nh l mt
bin vo trong phng trnh 3.2, phng trnh sut sinh li. iu ny c ngha ri ro l
mt tc nhn tc ng n sut sinh li thng qua phn b ri ro l tch ca mt h s
vi phng sai nh trong phng trnh 1.9. iu ny c ng vi ch s Vn-Index
khng?
Kim nh m hnh GARCH(1,1)-M cho thy h s ca phng sai trong phng trnh
trung bnh khng c ngha thng k, vy m hnh GARCH-M khng ph hp trong
trng hp ny.

47
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
Th hai, tnh cht cn xng thng tin hay ri ro bt cn xng thng tin c c lng
thng qua m hnh TGARCH(1,1). Kt qu c lng cho thy h s
1
khng c
ngha thng k. Nh vy, khng c s khc bit gia tin tc tt v tin tc xu. Ni
cch khc, nh hng ca tin tc c tnh cht cn xng trn sn nim yt thnh ph H
Ch Minh.
3.3.2 ng dng m hnh ARIMA v ARCH/GARCH phn tch d bo ri ro
cho sn nim yt H Ni
3.3.2.1 ng dng m hnh ARIMA d bo sut sinh li cho ch s Hn-Index (ph
lc 3.6)
Ngun s liu
Da vo d liu Hn-Index ly t S giao dch chng khon H Ni trong khon thi
gian t 11/11/2009 n 11/11/2010, ta to ra chui d liu sut sinh li vi 250 quan
st, trong sut sinh li c ch s Hn-In c tnh theo cng thc a dex
r
Hn-Indcx,t
= ln _
P
Hn-Indcx,t
P
Hn-Indcx,t-1
]
Mu quan st v khung thi gian
Mu ly gm 250 quan st i din cho 250 sut sinh li ca Hn-Index theo ngy trong
khong thi gian t 11/11/2009 n 11/11/2010 tng ng mt nm giao dch.
Kim tra tnh dng ca chui d liu
th 3.8 - Gin tng quan ca r
Hn-Index,t


T biu 3.8 v kim nh ADF cho thy chui sut sinh li Hn-Index l chui
dng.
Xc nh m hnh ARIMA

48
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
Gin tng quan 3.8 c c im ACF, PACF bng 0 ngay lp tc tr u tin
nn chui r
Hn-Indcx,t
c dng mt chui ngu nhin. Do m hnh c th ph hp
d bo r
Hn-Indcx,t
ch c th l ARMA(0,0).
3.3.2.2 S dng m hnh ARCH/GARCH d bo phn tch ri ro ca ch s
Hn-Index
D bo ri ro Hn-Index (ph lc 3.7)
T m hnh ARMA(0,0), ta i kim nh nh hng ca ARCH(q) v sau khi ta tng
tr q ln 3 th ta thy ch c m hnh ARCH(1) v ARCH(2) l c ngha d bo
ri ro Hn-Index.
Ta tip tc th kim nh vi cc m hnh GARCH(1,1), GARCH(2,1), GARCH(1,2).
Vi hai m hnh GARCH(2,1), GARCH(1,2) th cc h s d bo khng c ngha
thng k, ch c m hnh GARCH(1,1) l c ngha thng k d bo ri ro Hn-
Index.
Ta c ba m hnh ARCH(1) hay GARCH(0,1), ARCH(2) hoc GARCH(0,2) v
GARCH(1,1) d bo ri ro ca Vn-Index. la chn m hnh no l ph hp nht ta
da vo th biu din phn d ca ba m hnh.

th 3.9 biu din phn d ca m hnh GARCH(0,1), GARCH(0,2) v
GARCH(1,1)

So snh ba m hnh, ta thy phn d c lng ca m hnh GARCH(1,1) c v
nhn v r rng hn hai m hnh GARCH(0,1) v GARCH(0,2) nn ta chn m hnh
49
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
GARCH(1,1) d bo phng sai ca Hn-Index hay ri ro ca Hn-Index. Kt qu
phng trnh d bo ri ro cho Hn-Index c biu din nh sau:
h
t
= 0.00000251 + 0,79h
t-1
+ 0,16c
t-1
2

c im ri ro
Kim nh m hnh GARCH(1,1)-M cho thy h s ca phng sai trong phng trnh
trung bnh khng c ngha thng k, vy m hnh GARCH-M khng ph hp trong
trng hp ny.
Th hai, tnh cht cn xng thng tin hay ri ro bt cn xng thng tin c c lng
thng qua m hnh TGARCH(1,1). Kt qu c lng cho thy h s
1
c ngha
thng k. Nh vy, c s khc bit gia tin tc tt v tin tc xu. Ni cch khc, nh
hng ca tin tc xu tc ng mnh n th trng hn l thng tin tt ti sn nim
yt H Ni.
3.4 MT S VN LU V CC HNG M RNG NG DNG M
HNH
3.4.1 Mt s vn lu

Bi lun ch dng mc gii thiu mt cng c k thut ang c s dng
rng ri trong gii hc thut ln ng dng thc tin khi phn tch d bo gi v ri
ro cho th trng chng khon Vit Nam. chnh l m hnh ARIMA v
ARCH/GARCH. Cc ng dng cao v su hn cha c nghin cu. V d nh
bi lun ch a ra cc m hnh c bn ca ARCH/GARCH, cha cp nht so snh
y cc m hnh ARCH/GARCH chn ra m hnh tt nht.
Xc nh cc dng m hnh ARIMA, ARCH/GARCH c th da vo gin
tng quan gn nh l mt ngh thut, v vy kinh nghim v linh ng ca ngi
ng dng m hnh rt quan trng trnh tnh trng b st cc m hnh c ngha
khc.

Giai on sideways hin nay ca th trng c phiu nim yt ti sn Tp. H Ch
Minh hay xu hng gim u ca th trng c phiu nim yt H Ni gip ta d
dng xc nh m hnh ARIMA d bo bi tnh n nh ca chui d liu lm cho
n c xu hng dng ngay sai phn bc mt v cc yu t t tng quan, trung
bnh trt ch xy ra tr th nht. Tuy nhin khi th trng bin ng cao th
liu c im ca m hnh ARIMA lun ng nh vy khng li cha c xem
xt.
50
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
M hnh ARIMA v ARCH/GARCH vi ngha m phng li hnh vi din bin
trong qu kh, t lm c s cho d bo k tip. Nhng th trng ti chnh vn
bin ng cao, cc tc ng ca cc yu t thi tng lai cha c xem xt nn
d bo s dng m hnh ARIMA, ARCH/GARCH thng phi km theo gi nh
l kch bn ca tng lai s hon ton ging nh nhng g m hnh m phng qu
kh. Do m hnh ARIMA v ARCH/GARCH c v ch ph hp d bo cc
im tng lai rt gn vi thi im cui cng ca chui d liu. Tnh d bo ngn
ca m hnh ARIMA v ARCH/GARCH th hin c im ny.
Ngoi ra, phn tch d bo gi & ri ro cho Vn-Index, ngi ta thng hi quy
cc nhn t tc ng n Vn-Index nh li sut, tng trng GDP, bin ng gi
chng khon th gii, bin ng th trng vng, ngoi hi... to ra m hnh hi
quy trong bin ph thuc l Vn-Index v cc bin c lp l cc nhn t tc
ng. Phn tch d bo gi & ri ro Vn-Index da vo m hnh hi quy kiu nh
vy vi cc iu chnh c th t nhn nh xu hng bin ng sp ti. Trong khi
, m hnh ARIMA v ARCH/GARCH cha cp v o lng tc ng ca
cc nhn t khc nhau i vi th trng nn s khng ph hp cho cc nh lm
chnh sch tin dng.
3.4.2 Hng m rng ng dng m hnh
ti nghin cu ng dng m hnh ARIMA, ARCH/GARCH d bo gi cho
ch s gi chng khon. M rng ra, m hnh c th c tip tc nghin cu p
dng d bo gi cho tng c phiu ring l.
M hnh ARIMA d bo cho giai on ngn hn v hu nh n m phng kh tt
qu trnh din bin d liu ca gi chng khon cng nh hnh vi ca nh u t
trn th trng. Tuy nhin tng lai c mt iu chc chn l khng c g l chc
chn nn mt c sc ln c kh nng lm gi chng khon i chch khi qu o
ng l n phi i theo hnh m m hnh v ra. V vy cn phi c iu chnh
kt qu d bo sao cho ph hp vi tnh hnh thc t. iu ny cn kinh nghim,
nhy bn ca ngi phn tch. M hnh ARIMA gi y tr thnh mt cng c
d bo mang tnh tham kho rt hu ch c bit khi kt hp vi phn tch k thut
a ra chin lc lt sng ngn hn cho nh u t lm bc cc.

Th trng c phiu nim yt Vit Nam thuc dng bin ng cao, m hnh
ARIMA, ARCH/GARCH tm c ch ph hp cho giai on hin nay, giai on
51
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
nghing v sideways hoc c xu hng gim u. tng m rng ti nghin
cu c th l xem xt c im ca m hnh ARIMA, ARCH/GARCH thay i
nh th no khi ta thay i khong thi gian xem xt v tnh cht thi gian ca
chui d liu theo tun, thng thay v theo ngy nh trong ti.
Nh ni trn, m hnh ARCH/GARCH c s dng trong bi lun ch d
bo v phn tch ri ro ca th trng da trn qu trnh t tng quan v trung
bnh trt ca chui d liu hay ni cch khc n da trn din bin hnh vi trong
qu kh d bo v phn tch hnh vi trong tng lai c ngha l m hnh xem
nh cc c sc ca thi tng lai. Mc khc trong iu hnh chnh sch, m hnh
tr nn khng c ngha ng k v nh lm chnh sch khng bit tc ng th
trng t u bi khng nhn din r mc quan trng ca cc nhn t. V vy,
rt cn thit xy dng mt m hnh ARCH/GARCH mi c th kt hp vi m
hnh d bo nhn qu nhn din, phn loi, v o lng tc ng ca cc nhn
t khc nhau n th trng. T cc nh lm chnh sch c th tc ng n th
trng vi liu lng cc gii php chnh sch tng ng t trng nh hng ca
nhn t tc ng n th trng. Ngoi ra trong cng tc d bo, kt qu truy xut
t m hnh ARIMA v ARCH/GARCH c th c iu chnh a ra d bo
ph hp hn trong mt mi trng bin ng (tham kho Ph lc A).
So snh m hnh ARIMA, ARCH/GARCH vi cc m hnh d bo c bit
nh m hnh nhn qu, m hnh chui thi gian n gin...trong vic d bo gi
chng khon.

Trong cc loi m hnh ARCH/GARCH th m hnh GARCH-M thng c s
dng nh gi tnh hp l ca gi thuyt ri ro cao, li nhun cao c ng
khng tc l ta kim chng c mt nh u t u t vo th trng ri ro nhng
phn b ri ro c yu cu c tng xng vi mc chp nhn ri ro ca nh
u t khng. Bi lun cho thy sut sinh li ca th trng c phiu nim yt
Vit Nam mang li khng tng thch vi ri ro hoc mnh li nhun cao, ri
ro cng cao khng ng vi th trng Vit Nam hin nay. ng dng tng t
cho tt c cc ngnh hoc tng c phiu hon ton c th lm c. iu ny v
cng c ch trong cng tc nh gi khi m ta hon ton c th kim chng c
gi thit c im ngi ri ro ca nh u t khi u t vo mt c phiu hoc
ngnh no . M hnh nh gi CAPM
3.1
hay APT u da trn gi nh ny. T
52
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
y, m hnh GARCH-M c th c dng lm c s cho vic la chn phng
php nh gi thch hp trong phn tch c bn c phiu v d m hnh CAPM hoc
APT c cn thit s dng khng khi m thc t d liu chng minh ri ro ca c
phiu hoc ngnh no khng c tc ng no n t sut sinh li ca c phiu
hoc ngnh.
Trn c s nh vy, ta c th da vo m hnh ARCH/GARCH xy dng mt b
quy chun nh gi c th ri ro ca tng ngnh, tng c phiu cho tng giai on
lm cn c h tr cho quyt nh u t.
Mt ng dng khc t m hnh ARIMA, ARCH/GARCH trong nh gi l ta hon
ton c th dng m hnh d bo cc ch tiu ti chnh trong bng d phng cc
s liu ti chnh lm c s cho vic chit khu dng tin xc nh gi tr hin ti
ca c phiu. Thc t hin nay, cc phng php nh gi c phiu FCFE
3.2
,
FCFF
3.3
, DCF
3.4
... thng c s dng nh gi gi tr thc ca c phiu mt
cch khoa hc nhng cc phng php tng chng l mang nhiu ngha nht v
n phn nh gi tr ni ti ca c phiu th li thiu chnh xc nht v d liu u
vo cho m hnh hu ht l cc d bo ty tin v thiu c s. Ngay c khi dng
cc phng php m hnh thng k nh m hnh nhn qu hay m hnh chui thi
gian ta cng gp mt s vn kh khn. l vi m hnh nhn qu ta khng th
c lng ht c cc nhn t tc ng hoc kt qu c lng l trung bnh c
sai s trong khi sai s li khng c lng c. Cn dng m hnh d bo chui
thi gian n gin th ta li gp phi vn tp qun ra k hoch nm sau cao
hn nm trc... V vy nu ta s dng m hnh ARIMA, ARCH/GARCH xy
dng nn bng k hoch kinh doanh, bng bo co ti chnh...th ta c c nhng
d liu d phng khoa hc v ng tin cy hn t lm tng tnh thuyt phc cho
kt qu nh gi c bit l t cc phng php chit khu dng tin.

KT LUN CHNG 3

C nhiu cch d bo xu hng ca th trng nhng d bo ch s gi c th th
rt kh khn v gn nh chng ta khng th d bo c ht cc bin ri ro cng nh
cc nhn t tc ng n th trng. M hnh ARIMA t ra thch hp hn khi khc
phc c kh khn .
53
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
Bng vic m phng hnh vi ca chui d liu trong qu kh, t n xy dng nn
hng i cho tng lai. Theo cch lm nh vy chng ta tm c m hnh d bo
ARIMA(1,0,1), ARMA(0,1,0) tng ng cho ch s Vn-Index v Hn-Index. Phng
trnh biu din ca hai m hnh nh sau:
Phng trnh d b n-Index: o ch s V
VnIndex
t

= 19,3136 + 0,96VnIndex
t-1
+ 0,22e
t-1
Phng trnh d bo ch s : Hn-Index
HnIndex
t

= HnIndex
t-1
- 0,311
Hai phng trnh cho thy Vn-Index ph thuc n hai yu t l gi tr Vn-Index
ngy hm qua v c sai s trc trong khi Hn-Index ang c xu hng gim u.
Ta cng c th thy iu qua hnh sau:

th 3.10 Ch s Vn-Index v Vn-Index d bo

th 3.11 Ch s Hn-Index v Hn-Index d bo

54
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam
R rng th trng c phiu nim yt Thnh ph H Ch Minh gn y ang sideways
trong khi th trng nim yt H Ni li gim u. C hai m hnh d bo u m
phng kh tt din bin th trng trong giai on t 11/11/2009 n 11/11/2010. Gi
s khng c yu t tc ng bt ng th ta d dng d on c ch s ca ngy hm
sau theo nh hai phng trnh trn.
M hnh ARIMA cn c s dng xy dng m hnh d bo cho sut sinh li th
trng. Chng ta cng tm c m hnh ARMA(0,1) cho r
vn-Indcx
v ARMA(0,0)
cho r
Hn-Indcx
. Mt nh u t quan tm n th trng khng ch v gi c phiu, sut
sinh li m cn d bo c mc dao ng ca th trng c ngha l ri ro th
trng. M hnh ARMA d bo bng phng php bnh phng b nht (OLS) vi gi
nh phng sai khng thay i hay c gi l trng hp phng sai khng c iu
kin. Tuy nhin, cc chui d liu chng khon thng c xu hng dao ng cao vo
mt s giai on theo sau mt s giai on tng i t bin ng. S dao ng nh
vy l do tc ng ca yu t thng tin v hnh vi m ng ca nh u t trn th
trng. Gi nh phng sai khng thay i theo thi gian thng khng ph hp na.
Thay vo , m hnh ARCH/GARCH c s dng phn tch d bo ri ro ca th
trng chng khon. Chng ta xy dng m hnh d bo ri ro cho hai th trng
theo phng trnh:
h
t
=
0
+ o
1
b
t-1
+
1
u
t-1
2

Ri ro ca th trng ph thuc vo bin ng ca th trng trc .
Ngoi ra, m hnh ARCH/GARCH cn chng minh c c s hai c im ri ro ca
th trng c phiu nim yt Vit Nam bao gm:
Sut sinh li mang li ca th trng c phiu nim yt Vit Nam khng tng
thch vi ri ro hoc mnh li nhun cao, ri ro cng cao khng ng vi
th trng Vit Nam hin nay.

Th trng nim yt thnh ph H Ni ang tn ti tnh trng bt cn xng
thng tin khi tin xu tc ng n th trng mnh hn l tin tt, trong khi
tin tt v tin xu tc ng n th trng nim yt thnh ph H Ch Minh nh
nhau. iu ny cng gii thch cho din bin th trng hin nay khi ch s Vn-
Index ang sideways v cc tin tc tt v xu gn nh bo ha tc ng n th
trng nhng Hn-Index li ang gim u do tin xu gn y xut hin nhiu
hn v tc ng mnh hn l tin tt.
55
Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam

56
Tuy nhin, m hnh ng dng trong bi lun ch dng mc tip cn mt phng
php, mt cng c phn tch d bo ri ro mi. Cn nhiu vn cn lu c th nu
ra nh sau: Cn cp nht nhiu m hnh khc lm i trng so snh; Xc nh m
hnh ARIMA, ARCH/GARCH l mt ngh thut nn ngi phn tch phi linh ng
v c kinh nghim; M hnh ARIMA, ARCH/GARCH c v ph hp cho d bo ngn
hn v khng ph hp cho cc nh lm chnh sch tin dng. Cc hng nghin cu
ng dng m hnh ARIMA, ARCH/GARCH m rng tip theo bao gm: thay i
khung thi gian v tnh cht thi gian xem xt, ng dng m hnh cho tng c phiu
ring l hoc ngnh c th, kt hp vi cc m hnh khc nh m hnh d bo nhn
qu iu chnh kt qu phn tch d bo ph hp vi tnh hnh thc t...

KT LUN
Y@Z
Chng ta ln lt tip cn nhng im c bn ca vic ng dng m hnh ARIMA,
ARCH/GARCH trong phn tch d bo gi & ri ro cho th trng c phiu nim yt
Vit Nam. Kt qu ng dng cho thy m hnh ARIMA m phng kh tt din bin
hnh vi ca th trng trong qu kh nn n c c s lm tt chc nng ca mnh
trong vic d bo cho tng lai c bit trong giai on sideways hay gim u hin
nay. Vi m hnh ARCH/GARCH cho ta bit sut sinh li ca th trng chng khon
nim yt Vit Nam c c im khng tng thch vi ri ro ca th trng. Mc khc
tnh trng bt cn xng thng tin ca hai th trng nim yt Tp. H Ch Minh v H
Ni l khc nhau. Tin xu tc ng mnh hn n th trng nim yt H Ni hn l
tin tt trong khi th trng nim yt Tp. H Ch Minh c xu hng cn xng gia tin
tt vi tin xu.
Tuy nhin m hnh ARIMA, ARCH/GARCH c v nh ch ph hp cho d bo ngn
hn v tng lai lun tim n cc c sc khng th bit trc trong khi cc yu t tc
ng n th trng li khng c nhn din trong m hnh. M hnh khng c
ngha ln i vi cc nh lm chnh sch v nu s dng m hnh h khng th o
lng c cc yu t tc ng n th trng t thc hin cc chnh sch iu
tit th trng ph hp.
Ta khng th ph nhn m hnh nhn qu rt c ch cho cc nh lm chnh sch khi
phn tch mc tc ng ca cc ri ro i vi th trng c phiu nim yt Vit
Nam. Kt hp v m rng m hnh ARIMA, ARCH/GARCH vi m hnh nhn qu s
l cng c hiu qu trong phn tch d bo gi & ri ro ca th trng cho mi nh u
t ln nh lm chnh sch.

Nh vy, tm quan trng ca ng dng m hnh ARIMA, ARCH/GARCH r rng
nhng c th do tnh chuyn nghip ca th trng chng khon Vit Nam cha cao
nn hu ht cc chuyn gia trong lnh vc ti chnh t vn u t khng bit cch s
dng m hnh cng nh khng thc c tm quan trng ca k thut phn tch ny.
Th trng c phiu nim yt Vit Nam, mt th trng thiu chuyn nghip ngay t
cc chuyn gia, cc nhn nh th trng thng mang yu t nh tnh cao hoc da
trn k thut d bo thiu c s th yu t tm l thng tr trong hot ng u t ca
cng chng l iu d hiu.
57


58
Hy vng trong tng lai, ngy cng c nhiu nh nghin cu thuc lnh vc ti chnh
xc tin a ng dng cc k thut tin tin v khoa hc nht ca th gii vo trong
hot ng thc tin, trong , m hnh ARIMA, ARCH/GARCH c k vng l k
thut phn tch d bo c ngha v gp phn tng tnh chuyn nghip cho th trng
ti chnh Vit Nam ni chung v cho th trng c phiu nim yt ni ring vy.

You might also like