Modeling Stock Price Volatility

• 발행기관: 한국유통과학회
• 저자명: Cuong Thanh NGUYEN Manh Huu NGUYEN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 6 No.3, 19~26쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2019.07.31

영문 초록

The paper aims to measure stock price volatility on Ho Chi Minh stock exchange (HSX). We apply symmetric models (GARCH, GARCH-M) and asymmetry (EGARCH and TGARCH) to measure stock price volatility on HSX. We used time series data including the daily closed price of VN-Index during 1/03/2001–1/03/2019 with 4375 observations. The results show that GARCH (1,1) and EGARCH (1,1) models are the most suitable models to measure both symmetry and asymmetry volatility level of VN-Index. The study also provides evidence for the existence of asymmetric effects (leverage) through the parameters of TGARCH model (1,1), showing that positive shocks have a significant effect on the conditional variance (volatility). This result implies that the volatility of stock returns has a big impact on future market movements under the impact of shocks, while asymmetric volatility increase market risk, thus increase the attractiveness of the stock market. The research results are useful reference information to help investors in forecasting the expected profit rate of the HSX, and also the risks along with market fluctuations in order to take appropriate adjust to the portfolios. From this study’s results, we can see risk prediction models such as GARCH can be better used in risk forecasting especially.

목차

1. Introduction

2. Literature Reviews

3. Data and Research Methodology

4. Results

5. Conclusions

References

키워드

Volatility GARCH (1 1) EGARCH GARCH-M TGARCH VN-index