I HC QUC GIA H NI

TRNG I HC CNG NGH

Nguyn Ngc Thip


MT S PHNG PHP KHAI PH D LIU QUAN
H TRONG TI CHNH V CHNG KHON
(M HNH ARIMA)




KHA LUN TT NGHIP I HC H CHNH QUY
Ngnh : Cng ngh thng tin






H NI - 2010

I HC QUC GIA H NI
TRNG I HC CNG NGH


Nguyn Ngc Thip


MT S PHNG PHP KHAI PH D LIU QUAN
H TRONG TI CHNH V CHNG KHON
(M HNH ARIMA)




KHA LUN TT NGHIP I HC H CHNH QUY
Ngnh : Cng ngh thng tin


Cn b hng dn : PGS-TS H Quang Thy
Cn b ng hng dn : Th.s Nguyn Th Oanh.



H NI - 2010

LI CM N

Li u tin, em xin by t long bit n ti cc thy, c gio trong
trng i hc Cng Ngh - i hc Quc Gia H ni. Cc thy c dy bo, ch
dn em v lun to iu kin tt nht cho chng em hc tp trong sut qu trnh hc
i hc c bit l trong thi gian lm kha lun tt nghip.
Em xin by t lng bit n su sc ti thy gio PGS.TS H Quang Thy
cng c gio ThS Trn Th Oanh, v cc anh ch trong phng LAB 102 hng
dn em tn tnh trong nm hc va qua.
Ti cng xin cm n nhng ngi bn ca mnh, cc bn lun bn ti,
gip v cho ti nhng kin ng gp qu bu trong hc tp cng nh trong
cuc sng.
Cui cng con xin gi ti b m v ton th gia nh lng bit n v tnh
cm yu thng nht.







H Ni, ngy 10/05/2010

Nguyn Ngc Thip

M U
Bi ton d bo ti chnh ngy cng c nhiu ngi quan tm trong
bi cnh pht trin kinh t x hi. u t vo th trng chng khon i hi nhiu
kinh nghim v hiu bit ca cc nh u t. Cc k thut khai ph d liu c p
dng nhm d bo s ln xung ca th trng l mt gi gip cc nh u t c
th ra quyt nh giao dch.
M hnh ARIMA c xy dng vi chc nng nhn dng m hnh, c
lng cc tham s v a ra kt qu d bo da trn cc tham s c lng c
la chn mt cch ti u.
Kha lun nghin cu, thi hnh m hnh ARIMA (t cc nghin cu ca Box-
Jenkins) v ng dng vo bi ton khai ph d liu chui thi gian trong d bo ti
chnh, chng khon. Kha lun thc nghim trn d liu vnIndex v thu c
kt qu bc u.
Vi ni dung trnh by nhng l thuyt c bn v m hnh ARIMA cho
d liu thi gian thc (time series) v cch p dng vo bi ton thc t - d bo s
ln xung ca th trng chng khon. Kha lun c t chc theo cu trc nh
sau :
Chng 1. GII THIU CHUNG gii thiu s lc v khai ph d
liu ni chung v bi ton d bo ang c quan tm trong khai ph d liu . Bi
ton d bo c p dng di khia cnh s dng m hnh ARIMA cho chui thi
gian thc.
Chng 2. M HNH ARIMA V PHN MM EVIEW trnh by
mt s ni sung c s l thuyt v m hnh ARIMA, cng nh nhng cng c s
c p dng vo trong m hnh m kha lun cp : Hm t tng quan ACF,
hm t tng quan ring phn PACFCc bc pht trin m hnh : xc nh m
hnh, c lng cc tham s, kim nh chnh xc v d bo. M hnh ARIMA l
mt qu tnh th v sai : khi mt kim nh no khng tha mn, phi xc nh
li m hnh. Tip n gii thiu qua v phn mm Eviews 5.1 cho qu trnh thi hnh.
Chng 3. P DNG M HNH ARIMA VO BI TON TI
CHNH, CHNG KHON trnh by thc nghim m hnh ARIMA cho d liu ti
chnh, chng khon. Cc bc trong qu trnh thi hnh chng trnh vi phn mm
Eviews 5.1, a ra kt qu v nh gi vi thc t.
Phn Kt lun tng kt kt qu ca kha lun v phng hng nghin
cu tip theo.

MC LC
M U............................................................................................................................................4
Chng 1. GII THIU CHUNG.....................................................................................................7
1.1. Bi ton d bo 7
1.2. D liu chui thi gian 9
1.2.1. Khi nim chui thi gian thc...............................................................................10
1.2.2. Thnh phn xu hng di hn.................................................................................10
1.2.3. Thnh phn ma......................................................................................................11
1.2.4. Thnh phn chu k..................................................................................................11
1.2.5. Thnh phn bt thng............................................................................................12
CHNG 2. M HNH ARIMA V PHN MM EVIEWS.......................................................13
2.1. M hnh ARIMA 13
2.1.1. Hm t tng quan ACF..........................................................................................13
2.1.2. Hm t tng quan tng phn PACF......................................................................14
2.1.3. M hnh AR(p)........................................................................................................17
2.1.4. M hnh MA(q).......................................................................................................17
2.1.5. Sai phn I(d).............................................................................................................18
2.1.6. M hnh ARIMA......................................................................................................18
2.1.7.Cc bc pht trin m hnh ARIMA.......................................................................22
2.2. Phn mm ng dng Eviews 22
2.2.1. Gii thiu Eviews....................................................................................................22
2.2.2.pdngEviewsthihnhccbcmhnhARIMA.............................................27
Tm tt chng 2 29
Chng 3. P DNG M HNH ARIMA VO BI TON TI CHNH, CHNG KHON...30
3.1. M hnh ARIMA cho d bo ti chnh, chng khon 30
3.1.1. D liu ti chnh......................................................................................................30
3.1.2. M hnh ARIMA cho bi ton d bo ti chnh.....................................................30

3.1.3. Thit k m hnh ARIMA cho d liu...................................................................31

3.2. p dng 33
3.2.1. Mi trng thc nghim........................................................................................33
3.2.2.D liu.......................................................................................................................33
3.2.3.Kim tra tnh dng ca chui chng khon AAM...............................................34
3.2.4.Nhn dng m hnh.................................................................................................35
3.2.5.c lng v kim nh vi m hnh ARIMA.....................................................37
3.2.6Thc hin d bo........................................................................................................38
KT LUN......................................................................................................................................41

Chng 1. GII THIU CHUNG

1.1. Bi ton d bo
S pht trin ca cng ngh thng tin v vic ng dng cng ngh thng tin
trong nhiu lnh vc ca i sng, kinh t x hi trong nhiu nm qua cng ng ngha
vi lng d liu c cc c quan thu thp v lu tr ngy mt tch ly nhiu ln.
H lu tr cc d liu ny v cho rng trong n n cha nhng gi tr nht nh no .
Tuy nhin, theo thng k th ch c mt lng nh ca nhng d liu ny (khong t
5% n 10% ) l lun c phn tch, s cn li h khng bit s phi lm g hoc c
th lm g vi chng nhng h vn tip tc thu thp rt tn km vi ngh lo s rng
s c ci g quan trng b b qua sau ny c lc cn n n. Mt khc, trong mi
trng cnh tranh, ngi ta ngy cng cn c nhiu thng tin vi tc nhanh tr
gip vic ra quyt nh v ngy cng c nhiu cu hi mang tnh cht nh tnh cn
phi tr li da trn mt khi lng d liu khng l c. Vi nhng l do nh vy,
cc phng php qun tr v khai thc c s d liu truyn thng ngy cng khng p
ng c thc t lm pht trin mt khuynh hng k thut mi l k thut pht
hin tri thc v khai ph d liu (KDD Knowledge Discovery and Data Mining).
K thut pht hin tri thc v khai ph d liu v ang c nghin cu, ng
dng trong nhiu lnh vc khc nhau cc nc trn th gii, ti Vit Nam k thut
ny tng i cn mi m tuy nhin cng ang c nghin cu v dn a vo ng
dng.
T tha xa xa, nhng nh tin tri gi mt v tr quan trng trong cng ng.
Khi vn minh nhn loi pht trin lm gia tng cc mi quan h phc tp ca cc
giai on trong cuc sng, con ngi c nhu cu quan tm n tng lai ca h.
Nh trnh by trong [2, 3], k thut d bo hnh thnh t th k th 19, tuy
nhin d bo c nh hng mnh m khi cng ngh thng tin pht trin v bn cht m
phng ca cc phng php d bo rt cn thit s h tr ca my tnh. n nm
nhng 1950, cc l thuyt v d bo cng vi cc phng php lun c xy dng v
pht trin c h thng.
D bo l mt nhu cu khng th thiu cho nhng hot ng ca con ngi trong
bi cnh bng n thng tin. D bo s cung cp nhng c s cn thit cho cc hoch
nh, v c th ni rng nu khng c khoa hc d bo th nhng d nh tng lai ca
con ngi vch ra s khng c s thuyt phc ng k.
Trong cng tc phn tch d bo, vn quan trng hng u cn t ra l vic
nm bt ti a thng tin v lnh vc d bo. Thng tin y c th hiu mt cch c

th gm : (1) cc s liu qu kh ca lnh vc d bo, (2) din bin tnh hnh hin
trng cng nh ng thi pht trin ca lnh vc d bo v (3) nh gi mt cch y
nht cc nhn t nh hng c v nh lng ln nh tnh.
Cn c vo ni dung phng php v mc ch ca d bo, ngi ta chia d bo
thnh hai loi: Phng php nh tnh v phng php nh lng.
Phng php nh tnh thng ph thuc rt nhiu vo kinh nghim ca mt hay
nhiu chuyn gia trong lnh vc lin quan. Phng php ny thng c p dng, kt
qu d bo s c cc chuyn gian trong lnh vc lin quan nhn xt, nh gi v a
ra kt lun cui.
Phng php nh lng s dng nhng d liu qu kh theo thi gian, da trn
d liu lch s pht hin chiu hng vn ng ca i tng ph hp vi mt m
hnh ton hc no v ng thi s dng m hnh lm m hnh c lng. Tip
cn nh lng da trn gi nh rng gi tr tng lai ca bin s d bo s ph thuc
vo xu th vn ng ca i tng trong qu kh. Phng php d bo theo chui
thi gian l mt phng php nh lng.
Phng php chui thi gian s da trn vic phn tch chui quan st ca mt
bin duy nht theo bin s c lp l thi gian. Gi nh ch yu l bin s d bo s
gi nguyn chiu hng pht trin xy ra trong qu kh v hin ti.
Kha lun tp trung nghin cu m hnh ARIMA thc hin phn tch d liu
chng khon hng ti vic d bo chng khon. M hnh ARIMA (AutoRegressive
Integrate Moving Average) do Box-Jenkins ngh nm 1976 [6, 11, 13], da trn m
hnh t hi quy AR v m hnh trung bnh ng MA. ARIMA l m hnh d bo nh
lng theo thi gian, gi tr tng lai ca bin s d bo s ph thuc vo xu th vn
ng ca i tng trong qu kh. M hnh ARIMA phn tch tnh tng quan gia
cc d liu quan st a ra m hnh d bo thng qua cc giai on nhn dng m
hnh, c lng cc tham s t d liu quan st v kim tra cc tham s c lng
tm ra m hnh thch hp. M hnh kt qu ca qu trnh trn gm cc tham s th hin
mc tng quan trn d liu, v c chn d bo gi tr tng lai. Gii hn
tin cy ca d bo c tnh da trn phng sai ca sai s d bo.

1.2. D liu chui thi gian

Trong cc bi ton d bo ni chung v cc bi ton d bo ti chnh v chng
khon ni ring, d liu thng c biu din di dng chui thi gian. Trong cc
dng d liu c phn tch th d liu chui thi gian lun thuc tp u v tnh
ph bin. Cc bng thng k thm d v cc kiu d liu c phn tch trong 4 nm
2005-2008
1
(Hnh 1) l mt minh chng v iu ny.
http://www.kdnuggets.com/polls/2008/data-
types-analyzed-data-mined.htm
http://www.kdnuggets.com/polls/2007/dat
a_types_analyzed.htm
http://www.kdnuggets.com/polls/2006
/types_data_analyzed_mined.htm
http://www.kdnuggets.com/polls/2005/data_typ
es.htm
Hnh 1. Chui thi gian l kiu d liu c phn tch ph bin

1
http://www.kdnuggets.com/

1.2.1. Khi nim chui thi gian thc

Theo [13, 16], d liu thi gian thc hay chui thi gian l mt chui cc gi tr
ca mt i lng no c ghi nhn l thi gian.
V d : S lng hng ha c bn ra trong 12 thng nm 2009 ca mt cng
ty.
Cc gi tr ca chui thi gian ca i lng X c k hiu l X
1
, X
2
, X
3
,,
X
t
, , X
n
vi

X

l gi tr ca X ti thi im t.
Cc thnh phn ca d liu chui thi gian thc
Cc nh thng k thng chia chui theo thi gian thnh 4 thnh phn:
Thnh phn xu hng di hn (long term trend component)
Thnh phn ma (seasional component)
Thnh phn chu k (cyclical component)
Thnh phn bt thng (irregular component)
1.2.2. Thnh phn xu hng di hn
Thnh phn ny dng ch xu hng tng hay gim ca i lng X trong thi
gian di. V mt th thnh phn ny c th biu din bi mt ng thng hay mt
ng cong trn.




Hnh 1a. Xu hng tng theo thi gian [16]

1.2.3. Thnh phn ma

Thnh phn ny dng ch xu hng tng hay gim ca i lng X tnh theo
ma trong nm (c th tnh theo thng trong nm)
V d : Lng tiu th cht t s tng vo ma ng v gim vo ma h,
ngc li, lng tiu th xng s tng vo ma h v gim vo ma ng.
Lng tiu th dng hc tp s tng vo ma khai trng







Hnh 2. Thnh phn ma [1]
1.2.4. Thnh phn chu k
Thnh phn ny ch s thay i ca i lng X theo chu k. Thnh phn ny
khc thnh phn ma ch chu k ca i lng X ko di hn 1 nm. nh gi
thnh phn ny cc gi tr ca chui thi gian c quan st hng nm.
V d, Lng dng chy n h Tr An t nm 1959 1985







Hnh 3. Thnh phn chu k [1]

Thayi theo
Xuhng tng theo
Q
(m
3
/s)
t

1.2.5. Thnh phn bt thng

Thnh phn ny dng ch s thay i bt thng ca cc gi tr trong chui
thi gian. S thay i ny khng th d on bng cc s liu kinh nghim trong qu
kh, v mt bn cht thnh phn ny khng c tnh chu k.

CHNG 2. M HNH ARIMA V PHN MM EVIEWS

2.1. M hnh ARIMA
2.1.1. Hm t tng quan ACF
Hm t tng quan o lng ph thuc tuyn tnh gia cc cp quan st
y(t) v y(t+k), ng vi thi on k = 1, 2, (k cn gi l tr). Vi mi tr k,
hm t tng quan ti tr k c xc nh qua lch gia cc bin ngu nhin
Y
t
. Y
t+k
so vi cc gi tr trung bnh, v c chun ha qua phng sai.
Di y, gi thit rng cc bin ngu nhin trong chui dng thay i
quanh gi tr trung bnh p vi phng sai hng s o
2
. Hm t tng quan ti cc
tr khc nhau s c gi tr khc nhau.
Trong thc t, ta c th c lng hm t tng quan ti tr th k qua
php bin i trung bnh ca tt c cc cp quan st, phn bit bng cc tr k, vi
gi tr trung bnh mu l p, c chun ha bi phng sai o
2
.Chng hn, cho mi
chui N im, gi tr r
k
ca hm t tng quan ti tr th k c tnh nh sau :
r
k
=
1
N
(
t
- )(
t + k
- )
N - k
t = 1
6
2

(1.1)
vi p =
1
N
(y
t
)
N
t=1
o
2
=
1
N
(y
t
- p)
2 N
t=1
(1.2)

y
t
: chui thi gian dng ti thi im t
y
t+k
: chui thi gian dng ti thi im t +k
p^ : gi tr trung bnh ca chui dng
r
k
: gi tr tng quan gia y
t
v y
t+k
ti tr k
r
k
= 0 th khng c hin tng t tng quan
V mt l thuyt, chui dng khi tt c cc r
k
= 0 hay ch vi r
k
khc khng. Do
chng ta xem xt hm t tng quan mu, do sai s mu s xut hin v vy, hin
tng t tng quan khi r
k
= 0 theo ngha thng k.
Khi hm t tng quan ACF gim t ngt, c ngha r
k
rt ln tr 1, 2 v
c ngha thng k (|t| >2). Nhng r
k
ny c xem l nhng nh v ta ni rng

hm t tng quan ACF gim t ngt sau tr k nu khng c nhng nh

tr k ln hn k. Hu ht hm t tng quan ACF s gim t ngt sau tr 1, 2.
Nu hm t tng quan ACF ca chui thi gian khng dng khng gim t
ngt m tri li gim nhanh nhng u : khng c nh, ta gi chiu hng ny l
tt dn. Xem minh ha trong hnh 4, hm t tng quan ACF c th tt dn
trong vi dng sau :
Dng phn phi mu (hnh 4a v hnh 4b)
Dng sng sin (hnh 4c)
Kt hp c hai dng 1 v 2.
S khc nhau gia hin tng tt dn nhanh v tt dn chm u c
phn bit kh ty tin.
2.1.2. Hm t tng quan tng phn PACF
Song song vi vic xc nh hm t tng quan gia cc cp y(t) v y(t+k), ta
xc nh hm t tng quan tng phn cng c hiu lc trong vic can thip n cc
quan st y(t+1), ..., y(t+k-1). Hm t tng quan tng phn ti tr k C
kk
c c
lng bng h s lin h y(t) trong mi kt hp tuyn tnh bn di. S kt hp
c tnh da trn tm nh hng ca y(t) v cc gi tr trung gian y(t+k).
y(t+k) = C
k1
y(t+k-1) + C
k2
y(t+k-2) + ... + C
kk-1
y(t + 1) + C
kk
y(t) + e(t)
(1.3)
Gii phng trnh hi quy da trn bnh phng ti thiu v h s hi quy C
kj

phi c tnh mi tr k, vi j chy t 1 n k.
Gii php t tn km hn do Durbin [14] pht trin dng xp x quy h s
hi quy cho m hnh ARIMA chui dng, s dng gi tr hm t tng quan ti
tr k r
k
v h s hi quy ca tr trc. Di y l phng php Durbin s dng
cho 3 tr u tin.
tr 1 : Khi to, gi tr ca hm t tng quan tng phn ti tr 1 c
cng gi tr vi hm t tng quan ti tr 1 v khng c trung gian gia cc quan
st kt tip : C11 = r
1
tr 2 : Hai gi tr C
22
v C
21
c tnh da vo hm t tng quan r
2
v r
1
,
cng vi hm t tng quan tng phn trc

C
22
=
r22-C11r1
1-C11r1

C
21
= C
11
C
22
C
11

tr 3 : Tng t, ba gi tr C
33
, C
32
, C
31
c tnh da vo cc hm t
tng quan trc r
3
,r
2
,r
1
cng vi cc h s c tnh tr th 2 : C
22
v C
21.

C
33
=
r3-C21r2-C22r1
1-C22r2-C21r1

C
32
= C
21
-C
33
C
22

C
31
= C
22
- C
33
C
21
Tng quan, hm t tng quan tng phn c tnh theo Durbin :
C
kk
=
r
R
-((C
R-1,]
)r
R-]
1- (C
R-1,]
)r
]
(1.4)
Trong :
r
k
: Hm t tng quan ti tr k
v : Phng sai
C
kj
: Hm t tng quan tng phn cho tr k, loi b nhng nh hng ca
cc tr can thip.
C
kj
= C
k-1
,
j
(C
kk
).C(
k-1
,
k-j
) k = 2,, j = 1,2,, k-1
C
22
= (r
2
-r
1
2
)/(1-r
1
2
)
C
11
= r
1
Khi tr tng, s cc h s tng theo. Phng php ca Durbin cho php vic
tnh quy da vo vic s dng kt qu trc .
Tm li, hm t tng quan ACF v hm t tng quan tng phn PACF ca
chui thi gian c cc c tnh khc nhau. Hm t tng quan ACF o mc ph
thuc tuyn tnh gia cc cp quan st. Hm t tng quan tng phn PACF o mc
ph thuc tuyn tnh tng phn. ARIMA khai thc nhng im khc bit ny
xc nh cu trc m hnh cho chui thi gian.
Xu hng vn ng ca hm t tng quan tng phn PACF c th gim t
ngt (thng sau tr 1 hoc 2) hay c th gim u. Cng nh hm t tng quan

ACF, xu hng gim u ca hm t tng quan tng phn PACF cng c cc dng
phn phi m, dng sng hnh sin hoc kt hp c 2 dng ny (hnh 1-4)




Hnh 4 : V d v chiu hng gim u khc nhau [2]
a) Dao ng hm m tt dn (Damped Exponential)
b) Dao ng tt dn theo quy lut s m (Damped exponential oscillation)
c) Dao ng sng tt dn theo quy lut hnh sin (Damped sine wave)
Hnh 4 a) dao ng m tt dn
Hnh 4 b) Dao ng m tt dn theo
lut s m
Hnh 4 c) Dao ng song tt dn theo
hnh sin

2.1.3. M hnh AR(p)

Theo [6, 11, 16], tng chnh ca m hnh AR(p) l hi quy trn chnh s
liu qu kh nhng chu k trc.
Y(t) = a
0
+ a
1
y(t-1) + a
2
y(t-2) +a
p
y(t-p) + e(t) (1.5)
Trong :
y(t) : quan st dng hin ti
y(t-1), y(t-2), ... : quan st dng qu kh (thng s dng khng qu 2 bin
ny)
a
0
, a
1
, a
2
,

: cc tham s phn tch hi quy.
e
t
: sai s d bo ngu nhin ca giai on hin ti. Gi tr trung bnh c
mong i bng 0.
Y(t) l mt hm tuyn tnh ca nhng quan st dng qu kh y(t-1). y(t-2),
Ni cch khc khi s dng phn tch hi quy y(t) theo cc gi tr chui thi gian
dng c tr, chng ta s c m hnh AR (yu t xu th c tch khi yu
t thi gian, chng ta s m hnh ha nhng yu t cn li l sai s).
S quan st dng qu kh s dng trong m hnh hm t tng quan l bc p
ca m hnh AR. Nu ta s dng hai quan st dng qu kh, ta c m hnh tng
quan bc hai AR(2).
iu kin dng l tng cc tham s phn tch hi quy nh hn 1 :
a
1
+ a
2
+ + a
p
< 1
M hnh AR(1) : y(t) = a
0
+ a
1
y(t-1) + e(t)
M hnh AR(2) : y(t) = a
0
+ a
1
y(t-1) + a
2
y(t-2) +e(t)
2.1.4. M hnh MA(q)
Quan st dng hin ti y(t) l mt hm tuyn tnh ph thuc cc bin sai s d
bo qu kh v hin ti. M hnh bnh qun di ng l mt trung bnh trng s ca
nhng sai s mi nht.
y(t) = b
0
+ e(t) +b
1
e(t-1) + b
2
e(t-2) + ... +b
q
e(t-q)
(1.6)
Trong :

y(t) : quan st dng hin ti

e(t) : sai s d bo ngu nhin, gi tr ca n khng c bit v gi tr trung
bnh ca n l 0.
e(t-1), e(t-2), ... : sai s d bo qu kh (thng thng m hnh s s dng
khng qu 2 bin ny)
b
0
, b
1
, b
2
, ... : gi tr trung bnh ca y(t) v cc h s bnh qun di ng.
q : sai s qu kh c dng trong m hnh bnh qun di ng, nu ta s dng
hai sai s qu kh th s c m hnh bnh qun di ng bc 2 l MA(2).
iu kin cn l tng cc h s bnh qun di ng phi nh hn 1 :
b
1
+ b
2
+ ... + b
q
< 1
M hnh MA(1) : y(t) = b
0
+ e(t) + b
1
e(t-1)
M hnh MA(2) : y(t) = b
0
+ e(t) + b
1
e(t-1) + b
2
e(t-2)
2.1.5. Sai phn I(d)
Chui dng : Chui thi gian c coi l dng nu nh trung bnh v
phng sai ca n khng i theo thi gian v gi tr ca ng 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.
Sai phn ch s khc nhau gia gi tr hin ti v gi tr trc . Phn
tch sai phn nhm lm cho n nh gi tr trung bnh ca chui d liu, gip cho
vic chuyn i chui thnh mt chui dng.
Sai phn ln 1 (I(1)) : z(t) = y(t) y(t-1)
Sai phn ln 2 (I(2)) : h(t) = z(t) z(t-1)
2.1.6. M hnh ARIMA
M hnh ARMA(p,q) : l m hnh hn hp ca AR v MA. Hm tuyn tnh s
bao gm nhng quan st dng qu kh v nhng sai s d bo qu kh v hin ti :
y(t) = a
0
+ a
1
y(t-1) + a
2
y(t-2) +... + a
p
y(t-p) + e(t)
+ b
1
e(t-1) +b
2
e(t-2) + ... + b
q
e(t-q)
(1.7)
Trong :

y(t) : quan st dng hin ti

y(t-p), v e(t-q) : quan st dng v sai s d bo qu kh.
a
0
, a
1
, a
2
, ..., b
1
, b
2
, ... : cc h s phn tch hi quy
V d : ARMA(1,2) l m hnh hn hp ca AR(1) v MA(2)
i vi m hnh hn hp th dng (p,q) = (1,1) l ph bin. Tuy nhin, gi tr p
v q c xem l nhng tr cho ACF v PACF quan trng sau cng. C hai iu
kin bnh qun di ng v iu kin dng phi c tha mn trong m hnh hn
hp ARMA.
M hnh ARIMA(p,d,q) : Do m hnh Box-Jenkins ch m t chui dng
hoc nhng chui sai phn ha, nn m hnh ARIMA(p,d,q) th hin nhng chui
d liu khng dng, c sai phn ( y, d ch mc sai phn).
Khi chui thi gian dng c la chn (hm t tng quan ACF gim t
ngt hoc gim u nhanh), chng ta c th ch ra mt m hnh d nh bng cch
nghin cu xu hng ca hm t tng quan ACF v hm t tng quan tng phn
PACF. Theo l thuyt, nu hm t tng quan ACF gim t bin v hm t tng
quan tng phn PACF gim mnh th chng ta c m hnh t tng quan. Nu hm
t tng quan ACF v hm t tng quan tng phn PACF u gim t ngt th
chng ta c m hnh hn hp.
V mt l thuyt, khng c trng hp hm t tng quan ACF v hm t
tng quan tng phn cng gim t ngt. Trong thc t, hm t tng quan ACF
v hm t tng quan tng phn PACF gim t bin kh nhanh. Trong trng hp
ny, chng ta nn phn bit hm no gim t bin nhanh hn, hm cn li c
xem l gim u. Do i lc s c trng hp gim t bin ng thi khi quan st
biu hm t tng quan ACF v hm t tng quan tng phn PACF, bin php
khc phc l tm vi dng hm d nh khc nhau cho chui thi gian dng. Sau ,
kim tra chnh xc m hnh tt nht.
M hnh ARIMA (1, 1, 1) : y(t) y(t-1) = a
0
+ a1(y(t-1) y(t-2) + e(t) + b
1
e(t-
1))
Hoc z(t) = a
0
+ a
1
z(t-1) + e(t) + b
1
e(t-1),
Vi z(t) = y(t) y(t-1) sai phn u tin : d = 1.
Tng t ARIMA(1,2,1) : h(t) = a
0
+ a
1
z(t-1) + e(t) + b
1
e(t-1),

Vi h(t) = z(t) z(t-1) sai phn th hai : d = 2.

Theo [6], trong thc hnh d ln hn 2 rt t c s dng.

Hnh 5. S m phng m hnh Box-Jenkins [3].
Tnh cc hm t tng
quan v t tng quan tng
phn nhn dng mt m
hnh d nh
Chn la mt m hnh
c lng cc gi tr cho
cc tham s m hnh
Kim tra
chnh xc
ca m hnh
S dng m hnh d bo
Kh

2.1.7. Cc bc pht trin m hnh ARIMA

Theo [3, 6], phng php Box Jenkins bao gm cc bc chung:
Xc nh m hnh
c lng tham s
Kim nh chnh xc
D bo.
Xc nh m hnh : M hnh ARIMA ch c p dng i vi chui dng
M hnh c th trnh by theo dng AR, MA hay ARMA. Phng php xc
nh m hnh thng c thc hin qua nghin cu chiu hng bin i ca
hm t tng quan ACF hay hm t tng quan tng phn PACF.
o Chui ARIMA khng dng : cn phi c chuyn i thnh chui
dng trc khi tnh c lng tham s bnh phng ti thiu. Vic
chuyn i ny c thc hin bng cch tnh sai phn gia cc gi tr
quan st da vo gi nh cc phn khc nhau ca cc chui thi gian
u c xem xt tng t, ngoi tr cc khc bit gi tr trung bnh.
Nu vic chuyn i ny khng thnh cng, s p dng tip cc kiu
chuyn i khc (chuyn i logarithm chng hn).
c lng tham s : tnh nhng c lng khi u cho cc tham s a
0
, a
1
,
, a
p
, b
1
, , b
q
ca m hnh d nh. Sau xy dng nhng c lng sau
cng bng mt qu trnh lp.
Kim nh chnh xc : Sau khi cc tham s ca m hnh tng qut xy
dng, ta kim tra mc chnh xc v ph hp ca m hnh vi d liu. Chng
ta kim nh phn d (Y
t
Y^
t
) v c ngha cng nh mi quan h cc tham
s. Nu bt c kim nh no khng tha mn, m hnh s nhn dng li cc
bc trn c thc hin li.
D bo : Khi m hnh thch hp vi d liu tm c, ta s thc hin d bo
ti thi im tip theo t. Do , m hnh ARMA(p,q) :
y(t+1) = a
0
+ a
1
y(t) + + a
p
y(t p + 1) + e(t+1) + b
1
e(t) + + b
q
e( t q + 1)
(X)
2.2. Phn mm ng dng Eviews
2.2.1. Gii thiu Eviews

Eviews l mt gi phn mm thng k cho Windows, c s dng chnh vo

phn tch kinh t hng i tng chui thi gian. N do Quantitative Micro Software
(QMS) ph trin. Bn 1.0 c ra i vo thng 3 nm 1994 [].
Phng Thanh Bnh [5] gii thiu tng i c th v Eviews v cc tnh
hung s dng Eviews. Eviews cung cp cc cng c phn tch d liu phc tp, hi
quy v d bo chy trn Windows. Vi Eviews, chng ta c th nhanh chng xy dng
mi quan h kinh t lng t d liu c sn v s dng mi quan h ny d bo cc
gi tr tng lai. Eviews c th hu ch trong tt c cc loi nghin cu nh nh gi
v phn tch d liu khoa hc, phn tch ti chnh, m phng v d bo v m, d bo
doanh s, v phn tch chi ph. c bit, Eviews l mt phn mm rt mnh cho phn
tch d liu thi gian.
Eview a ra nhiu cch nhp d liu rt thng dng v d s dng nh nhp
bng tay, t cc file c di dng excel hay text, d dng m rng file d liu c sn.
Eviews trnh by cc biu , kt qu n tng v c th in trc tip hoc chuyn quan
cc loi nh dng vn bn khc nhau. Eviews gip ngi s dng d dng c lng
v kim nh cc m hnh kinh t lng. Ngoi ra, Eviews cn gip ngi nghin cu
c th xy dng cc file chng trnh cho d n nghin cu ca mnh.
Khi khi ng chng trnh c dng :





Hnh 6. Eviews 5 Users Guide.
To mt tp tin Eviews
Mai Command
Work
Status

C nhiu cch to mt tp tin mi.

Eviews s to ra mt tp tin mi ta nhp d liu vo mt cch th cng t
bn phm hoc copy v paste
File/ New Workfilet thc n chnh m hp thoi Workfile
Create. gc bn tri m t cu trc c bn ca d liu. Ta c th chn gia
Dated-Regular Frequency, Unstructured, Balanced Panel. Vi d liu thi
gian ta chn Dated-Regular Frequency, nu d liu n gin ta chn
Balanced Panel, cc trng hp khc chn Unstructured.

Hnh 7. La chn cu trc c bn ca qu trnh to Workfile
Nu l d liu nm, th Frequency ta chn Annual; cc Start date v
Ende date ta nhp nm bt u v nm kt thc ca chui d liu. Nu d liu l qu,
th Frequency ta chn Quarrterly
M v c d liu t mt ngun bn ngoi (khng thuc nh dng ca Eviews)
nh Text, Excel, Stata
File/open/Foreign Data as Workfile, n hp thoi Open, chn
Files of type

Hnh 8. M mt file c sn vi Eviews 5

Sau khi to mt tp tin Eviews, ta lu li di nh dng Eviews bng
cch hn File/Save As hay File/Save...
Trnh by d liu
Trnh by d liu ca mt chui
xem ni dung ca mt bin no , v d giadongcua trong tp tin. Ta
kch p vo.

Hnh 9. Miu t chui d liu
V th
C hai cch biu hin th dng Line ca bin. Th nht, t chui(ly
chui giadongcua lm v d) ta chn View/Graph/Line. Th 2, t ca s

Workfile trn thanh Main menu ta chn Quick/Graph/Line Graph, ri nhp

tn bin giadongcua

Hnh 10: th ca chui GIADONGCUA
n gin copy th ra word ta ch cn Ctrl + C v paste sang word.
To mt bin mi
Eviews h tr chuyn i to bin mi bng cch click Genr ri g
hm chuyn i. Thng thng : loggiadongcua = log(giadongcua).
Bin tr, ti, sai phn v ma v
Bin tr , ti mt giai on (x
t-1
) : x(-1), (x
t+1
) : x(+1)
Bin tr k giai on (x
t-k
) : x(-k), (x
t+k
) : x(+k)
Sai phn bc mt (d(x) = x
t
x
t-1
)
Sai phn bck k (d(x,k) = x
t
x
t-k
)
Biu tng quan.
View/Correlogram

Hnh 11. Biu hm t tng quan, t tng quan tng phn.
Hm v cc php ton trong Eviews
- Cc php ton s hc : +,-,*,/
- Cc php ton chui
Eviews cho php tnh ton hoc to mt chui mi t mt hoc nhiu
chui c sn bng cc ton t thng thng nh trn. V d :
2*y +3, x/y +z
-Cc hm chui : Hu ht cc hm Eviews u bt u bng k hiu @, v
d @mean(y) : Gi tr trung bnh ca chui y
@abs(x) : Hm gi tr tuyt i
@sqrt(x) : Hm cn bc hai
2.2.2. p dng Eviews thi hnh cc bc m hnh ARIMA
2.2.2.1. Xc nh m hnh
a d liu vo : Do d liu trong qu trnh d bo s dng m hnh ARIMA
l ln, d liu u vo c xut : M v c d liu t mt ngun bn
ngoi (khng thuc nh dng ca Eviews) nh Text, Excel, Stata
File/open/Foreign Data as Workfile, n hp thoi Open, chn
Files of type (xem thm 2.2.1)
Kim tra tnh dng ca chui d liu : kch p vo bin GiaDongCua,

View/Graph/line : a ra tng v mt chui thi gian l dng hay

khng.
View/Correlogram : Xc nh cc thnh phn p,d,q ca m hnh.
2.2.2.2. c lng m hnh, kim tra m hnh
T biu tng quan, xc nh c cc thnh phn p,d,q cho m hnh. Tip
theo ta xy dng m hnh theo cc bc :
Chn Quick/estimate Equation g vo mc Equation Specification m hnh
c xc nh 2.2.2.1.
Type : giadongcua c ar(1) ma(2), giadongcua c ar(1), giadongcua c
ma(2) (Ty thuc vo m hnh c xc nh)

Hnh12. c lng m hnh.

Hnh 13. Kt qu qu trnh c lng
Chn View/Residual tests/correlogram-Q-Statistic : Dng xc nh tnh nhiu
trng ca m hnh.

M hnh c gi l nhiu trng(white noise) c trung bnh v phng sai khng

i theo thi gian hay hm t tng quan v t tng quan ring phn dao ng quanh
mt v tr trung bnh ca chui [17].
Khi mt mt m hnh c xc nh l nhiu trng, ta c th dng m hnh
m khng cn n m hnh tip theo.
Cc tiu chun nh gi mt m hnh l tt nht [18] :
o BIC nh (Schwarz criterion c xc nh bi : n.Log(SEE) + K.Log(n))
o SEE nh
o R
2
ln
o Q-statistics v th tng quan ch ra phn d l nhiu trng.
Sau c th th vi cc m hnh khc v so snh kt qu theo cc tiu chun nh
gi.
2.2.2.3. D bo
Ti ca s Equation ca phng trnh, bm nt forecast

Hnh 14. Chn cc yu cu thch hp cho d bo
Tm tt chng 2
Chng ny nhm gii thiu v m hnh ARIMA: (1) hm t tng quan
ACF, (2) hm t tng quan tng phn PACF, (3) m hnh thnh phn AR(p), (4)
m hnh MA(q), sai phn I(d), cc bc trong qu trnh xy dng m hnh ARIMA.
Gii thiu s b v phn mm ng dng Eviews 5.1 phc v cho bi ton d bo
bng m hnh ARIMA.

Chng 3. P DNG M HNH ARIMA VO BI TON TI CHNH,

CHNG KHON
3.1. M hnh ARIMA cho d bo ti chnh, chng khon
3.1.1. D liu ti chnh
D liu chng ta s dng l d liu chui thi gian. c im chnh phn
bit gia d liu c phi l thi gian thc hay khng chnh l s tn ti ca ct
thi gian c nh km trong i tng quan st. Ni cch khc, d liu thi gian
thc l mt chui cc gi tr quan st ca bin Y :
Y = {y
1
, y
2
, y
3
,, y
t-1
, y
t
, y
t+1
, , yn} vi y
t
l gi tr ca bin Y ti thi im
t.
Mc ch chnh ca vic phn tch chui thi gian thc l thu c mt m
hnh da trn cc gi tr trong qu kh ca bin quan st y
1
, y
2
, y
3
,, y
t-1
, y
t
cho
php ta d on c gi tr ca bin Y trong tng lai, tc l c th d on c
cc gi tr y
t+1
, y
t+2
,y
n.
Trong bi ton ca chng ta, d liu chng khon c bit ti nh mt chui
thi gian a dng bi c nhiu thuc tnh cng c ghi ti mt thi im no .
Vi d liu ang xt, cc thuc tnh l : Open, High, Low, Close, Volume
Open : Gi c phiu ti thi im m ca trong ngy.
High : Gi c phiu cao nht trong ngy
Low : Gi c phiu thp nht trong ngy
Close : Gi c phiu c nim yt ti thi im ng ca sn giao dch
Volume : Khi lng giao dch c phiu (bn, mua) trong ngy.
3.1.2. M hnh ARIMA cho bi ton d bo ti chnh
Da vo trnh t c bn ca phng php lun (phn 1.7) cng cu trc v hot
ng ca m hnh ARIMA trong chng 2. p dng m hnh ARIMA vo bi
ton d bo ti chnh, ta xy dng m hnh d bo.
M hnh gm 3 qu trnh chnh :

Xc nh m hnh : Vi u vo l tp d liu chui thi gian trong ti chnh

gip cho vic xc nh ban u cc thnh phn trong m hnh p, d, q, S.
c lng, kim tra : M hnh ARIMA l phng php lp, sau khi xc nh
cc thnh phn, m hnh s c lng cc tham s, sau th kim tra chnh
xc ca m hnh : Nu hp l, tip bc sau, nu khng hp l, quay tr li
bc xc nh
D bo : Sau khi xc nh cc tham s, m hnh s a ra d bo cho ngy
tip theo.
3.1.3. Thit k m hnh ARIMA cho d liu
Vic thit k thnh cng m hnh ARIMA ph thuc vo s hiu bit r
rng v vn , v m hnh, c th da vo kinh nghim ca cc chuyn gia d
bo
Trong qu trnh tm hiu, kha lun s a ra cc bc xy dng mt
m hnh nh sau :
1. Chn tham bin
2. Chun b d liu
Xc nh tnh dng ca chui d liu
Xc nh yu t ma v
Xc nh yu t xu th
3. Xc nh cc thnh phn p, q trong m hnh ARMA
4. c lng cc tham s v chn on m hnh ph hp nht
5. D bo ngn hn
3.1.3.1 Chn tham bin
Hng tip cn ph bin trong d liu ti chnh l tp trung xy dng m hnh
d bo gi c phiu ng ca sau khi kt thc mi phin giao dch (Close).
3.1.3.2 Chun b d liu
Xc nh tnh dng ca chui d liu : Da vo th ca chui v th ca
hm t tng quan.
Nu th ca chui Y = f(t) mt cch trc quan nu chui c coi l dng
khi th ca chui cho trung bnh hoc phng sai khng i theo thi gian
(chui dao ng quanh gi tr trung bnh ca chui)

Da vo th ca hm t tng quan ACF nu th cho ta mt chui gim

mnh v tt dn v 0 sau q tr.
Xc nh yu t ma v cho chui d liu : Da vo th ca chui d liu Y
= f(t). (Xem phn chng 1.1)
Xc nh yu t xu th cho chui d liu : Xem li phn 2.1.2 (Trong gii hn
ca kha lun)
3.1.3.3 Xc nh thnh phn p, q trong m hnh ARMA
Sau khi loi b cc thnh phn : Xu th, ma v, tnh dng th d liu tr
thnh dng thun c th p dng m hnh ARMA cho qu trnh d bo. Vic xc
nh 2 thnh phn p v q.
Chn m hnh AR(p) nu th PACF c gi tr cao ti tr 1, 2, , p v
gim nhiu sau p v dng hm ACF gim dn
Chn m hnh MA(q) nu th ACF c gi tr cao ti tr 1, 2, , q v gim
nhiu sau q v dng hm PACF gim dn.
3.1.3.4 c lng cc thng s ca m hnh v kim nh m hnh ph hp nht
C nhiu phng php khc nhau c lng. y, kha lun tp trung
vo : Khi chn c m hnh, cc h s ca m hnh s c c lng theo
phng php ti thiu tng bnh phng cc sai s. Kim nh cc h s a, b ca m
hnh bng thng k t. c lng sai s bnh phng trung bnh ca phn d S
2
:
S
2
=
c
t
2 n
t-1
n-
=
(t-^t)
2 n
t-1
n-

Trong : et = Yt Y^t = phn d ti thi im t
n = s phn d
r = tng s h s c lng
Tuy nhin : cng thc ch a ra tham kho...Hin nay phng php c
lng c hu ht trong cc phn mm thng k : ET, MICRO TSP va SHAZAM,
Eviews...
Nu phn d l nhiu trng th c th dng v dng m hnh d bo.
3.1.3.5 . Kim tra m hnh ph hp nht
Da vo cc kim nh nh

BIC nh (Schwarz criterion c xc nh bi : n.Log(SEE) + K.Log(n))[]

SEE nh [19]

R
2
ln : R-squared = (TSS-RSS)/TSS [19]
,
3.1.3.6 D bo ngn hn m hnh
Da vo m hnh c chn l tt nht, vi d liu qu kh ti thi im t, ta
s dng d bo cho thi im k tip t+1.
3.2. p dng
ng dng m hnh ARIMA vo bi ton d bo chng khon ca ca Cng ty
c phn Thy sn Mekong(M CK : AAM)
S dng Phn mm EVIEWS 5.1 d on (ng dng ca m hnh ARIMA
cho bi ton d on chui thi gian).
Quy trnh thc nghim c tin hnh nh m t 2.2.2.
3.2.1. Mi trng thc nghim
Mi trng thc nghim Eview 5.1 chy trn h iu hnh Window XP SP2,
my tnh tc 2*2.0 GHz, b nh 1GB RAM.

3.2.2. D liu
Chn loi d liu d bo: D liu c ly t
http://www.cophieu68.com/datametastock.php
Trong ta chn C phiu c m MMA d on, v s dng ring Gi ng
ca.
D liu u vo l file.CSV or .dat c ly t website xung.
D liu y c dng nh sau :
MaCK Ngay GiaDongCua
AAM 5/14/2010 33.4

AAM 5/13/2010 33.2

AAM 5/12/2010 33.2
AAM 5/11/2010 34.4
AAM 5/10/2010 34.9
AAM 5/7/2010 36.5

Bng 1. D liu u vo

D liu cho qu trnh d bo c bt u t ngy 24/9/2009 n ngy
14/5/2010. y kha lun ch tp trung vo GiaDongCua, v qu trnh d bo s
gip ta xc nh c Gi ng ca ca ngy k tip ngay sau .


Hnh 15. Chn GIADONGCUA lm mc tiu d bo
3.2.3. Kim tra tnh dng ca chui chng khon AAM

Hnh 16. Biu ng ca
3.2.4. Nhn dng m hnh
Xc nh cc tham s p, d, q trong ARIMA


Hnh 17. xc nh d = 0,1,2 ?

Hnh 18. Biu ca SAC v SPAC ca chui GIATHAMCHIEU
Nhn vo hnh 3.7, ta thy biu hm t tng quan ACF gim dn mt cch
t t v 0. Chui cha dng, ta phi sai phn ln 1.
Kim tra th Correlogram ca chui sai phn bc 1.




Hnh 19. Biu ca SPAC v SAC ng vi d=1
Nh vy sau khi ly sai phn bc 1 chui dng: d=1, ACF tt nhanh v 0
sau 1 tr q=1, PAC gim nhanh v 0 sau 1 tr: p=1

3.2.5. c lng v kim nh vi m hnh ARIMA

Xy dng m hnh ARIMA(1,1,1)
Chn Quick/Estimate Equation, sau g"dgiathamchieu c ar(1) ma(1)",

Hnh 20. c lng m hnh ARIMA(1,1,1)
Click OK, kt qu l :

Hnh 21. Kt qu m hnh ARIMA(1,1,1)
Chn View/Residual tests/Correlogram-Q- Statistic

Hnh 22 : Kim tra phn d c nhiu trng

Nh vy, sai s ca m hnh ARIMA(1,1,1) l mt chui dng v n c phn

phi chun. Sai s ny l nhiu trng.
Ta c bng xc nh cc tiu chun nh gi sau khi th vi mt vi m
hnh khc nhau :
M hnh ARIMA BIC Adjusted R
2
SEE
ARIMA(1,0,0) 4.24 0.97 1.967
ARIMA(2,1,1) 4.26 0.004 1.96
ARIMA(1,1,1) 4.20 0.57 1.909
ARIMA(4,2,1) 4.26 0.44 1.957
Bng 2 : Tiu chun nh gi cc m hnh ARIMA
3.2.6 Thc hin d bo
Ti ca s Equation n nt Forecast


Hnh 23. D bo
Ti Forecast sample : ta chnh ngy d bo : 14/5/2010 20/5/2010

Kt qu l :

Hnh 24. Kt qu ca bng thng k d bo.
Ta c kt qu d bo ca 3 ngy 14/5/2010 20/5/2010
Ngy Gi thc t Gi d bo nh gi
17/05/2010 33.5 32.94174 -0.55826
18/05/2010 33.2 32.89932 -0.30068
19/05/2010 32.5 32.86322 0.36322
20/05/2010 33.2 32.83250 -0.3675
Bng 3. nh gi d bo
Qua thc nghim d bo c 4 ngy t ngy 17/05 20/05/2010, chng ta
nhn thy kt qu a ra kh chnh xc so vi gi thc t ca m chng khon
AAM.
Tuy s lng ngy d bo th nghim cha nhiu song c th nhn nh rng
m hnh ARIMA(1,1,1) l kh ph hp d bo m CK AAM.
Tm tt chng 3
Chng 3 gii thiu v mi trng thc nghim phn mm, d liu u vo l
gi chng khon ca cng ty vi m AAM (chn GiaDongCua lm bin d bo).
Kha lun tin hnh tng bc qu trnh thi hnh d bo twf d liu nh nu

chng 2. nh gi s b thnh cng ca m hnh c chn : M hnh c chn

d bo kh chnh xc.

KT LUN
Qua thi gian nghin cu thc hin kha lun tt nghip, em nm c
quy trnh xy dng m hnh ARIMA cho d liu ti chnh v p dng m hnh ny
vo bi ton thc t - bi ton d bo ti chnh. Nhng kt qu chnh m kha lun
t c c th tng kt nh sau :
Nghin cu mt s ni dung l thuyt c bn v chui thi gian, v m hnh
ARIMA, v cng c Eviews c th p dng c Eviews thi hnh m hnh
ARIMA trong d bo ti chnh, chng khon.
Nm c quy trnh dng phn mm Eviews thi hnh m hnh ARIMA cho d
liu thi gian thc (vi 4 bc c bn) tnh ton gi tr d bo d liu ti chnh,
chng khon.
Thc hin quy trnh s dng phn mm Eviews thi hnh m hnh ARIMA cho
d liu m c phiu m CK AAM d bo ngn hn gi c phiu.

Bn cnh nhng kt qu t c, cn c nhng vn m thi im ny,
kha lun cha gii quyt c:
p dng vi chui d liu c tnh xu th.
Thut ton c lng cng nh nh gi cn nhiu hn ch.
y ch l m hnh phn tch k thut, cha th d bo mt cch chnh sch, bi
ch ph thuc vo mt bin Thi gian, trong khi qu trnh d bo ph thuc
vo nhiu yu t.
Nhng ni dung cn nghin cu pht trin tip tc ni dung kha lun:
Xy dng m hnh ARIMA a bin : ch s ca gi chng khon ph thuc vo
nhiu bin khc nhau.
Gii quyt yu t xu th cho chui d liu

TI LIU THAM KHO

Ti liu tham kho ting Vit
[1].ng Th nh Tuyt. Tm hiu v ng dng mt s thut ton khai ph d liu
time series p dng trong bi ton d bo ti chnh. Kha lun tt nghip i hc
h chnh quy, khoa Cng ngh thng tin i hc Cng Ngh - i hc Quc Gia
H ni, 2009.
[2]. Nguyn Th Hin Nh. S dng m hnh ARIMA cho vic gii quyt bi ton d
bo t gi. Lun vn thc s tin hc, i hc Khoa Hc T Nhin i Hc Quc
Gia TP.HCM, 2002.
[3]. Nguyn Th Thanh Huyn, Nguyn Vn Hun, V Xun Nam. Phn tch v d
bo kinh t, i Hc Thi Nguyn, http://ictu.edu.vn/LinkClick.aspx?fileticket=
EKrjb8h5MaQ%3D&tabid=212&mid=910.
[4]. Damodar N Gujarati. Kinh t lng cn bn. Chng 21, 22
[5]. Phng Thanh Bnh. Hng dn s dng Eviews 5.1

Ti liu tham kho ting Anh
[6] Boris Kovalerchuk and Evgenii Vityaev (2001). Data Mining in Finance:
Advances in Relational and Hybrid Methods, Kluwer Academic Publishers,
Boston, Dordrecht - London, 2001.
[7] Jamie Monogan. ARIMA Estimation adapting Maximum Likehood to the special
Issues of Time Series.
[8] Cao Hao Thi, Pham Phu, Pham Ngoc Thuy. Application of ARIMA model for
testing serial independence of stock prices at the HSEC, The Joint 14th Annual
PBFEA and 2006 Annual FeAT Conference, Taipei, Taiwan, July, 2006.
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[10] Box G E P & Jenkins G M. Time series analysis : Forecasting and control. San
Francisco, CA: Holden-day, 1970.
[11] Roy Batchelor. Box-Jenkins Analysis. Cass Business School, City of Lodon
[12]. http://en.wikipedia.org/wiki/Time_series. Time series

[13] Ramasubramanian V.I.A.S.R.I. Time series analysis, Library Avenue, New Delhi-
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[14]. http://www.pstat.ucsb.edu/faculty/feldman/174-03/lectures/l13.pdf. Sample
PACF; Durbin - Levinson algorithm.
[15]. http://adt.curtin.edu.au/theses/available/adt-
WCU20030818.095457/unrestricted/07Chapter6.pdf. Chapter six Univariate
ARIMA models
[16]. Ross Ihaka. Time Series Analysis, Lecture Notes for 475.726, Statistics
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ARIMA models.
[19]. http://www.stata.com/statalist/archive/2006-06/msg00554.html. R-Squared with
ARIMA
[20]. http://en.wikipedia.org/wiki/Autoregressive_integrated_moving_average:
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