Phân Tích Tỷ Giá Dựa Vào Mô Hình ARIMA Và Mô Hình GARCH

8/12/2019 Phn Tch T Gi Da Vo M Hnh ARIMA V M Hnh GARCH

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Li m u

T gi l mt trong nh ng vn rt c quan tmtrong m t nn kinh t , c bit l trong n n kinh t ca cc n cang pht tri n, ang t ng b c ho nhp vo nn kinh t thgi i v tham gia v o phn cng lao ng qu c t. B i hot ngth ng m i quc t ca cc n c n y ng y cng pht tri n v ihi phi c s tnh ton so snh v gi c , tin t v i cc n ci tc. Chnh t gi l mt cng c quan tr ng c s ngtrong tnh ton n y.

T! gi h"i #oi c hiu l gi c a mt n v ngoi t tnhth$o ng ni t. chnh l gi c ca ngo i t tr%n th tr ngv c &c nh a tr%n quan h cung c u v ngoi t. c coil mu cht trong qu n l' kinh t v ! m, t! gi h"i #oi c tcng ng c tr li n cc m i quan h kinh t, l%n cn cnthanh ton qu c t, l%n gi c hng ho trong n c v lu thngtin t... Chnh v( th , t gi c nhiu ng i c vn c#ng nh cc nh qun l' th$o )i ch t ch $ v i%n bin v th ng c on th ng &uy%n

*hi m i chuyn &i, m ca, h i nhp, t gi + - /0-

kh cao, c th i gian 1 l%nn 23.444 +- /0- 5v o cui n ' m26627, n ' m 2668 1 gim mnh v sau ch ( t ' ng, gim nh ).Ch( tr n ' m 2669: 266;, o tc ng ca cuc khng ho ng t ichnh : tin t khu vc m t gi t ' ng cao, cn cc n ' m t cho n nay ch ( t ' ng nh ).

+


2/26


En $m #1 nghi%n cFu vG l a chHn #? tGi Phn tch tgi da vo M hnh A !MA v m hnh "A #$%&

Trong khun khI mJt bGi #? n, mKc @ #1 hLt sFc c"

gMng nhng o kh> nNng cn nhi?u hOn chL n%n khng th=trnh khPi nhQng thiLu st. Rm rSt mong nh


3/26


Phn I : Chui li sut ca t gi

'ch tnh ch()i l*i s(+t + lG t! gi h"i #oi cDa + \ /0-

*' hi u ^ + t lG t! gi h"i #oi tOi th i #i=m t t lG l i suSt cDa tV gi h"i #oi tOi th i #i=m tChZng ta c s" li u t! gi h"i #oi, l i suSt cDa t! gi # c

tnh th$o mJt trong hai phWng php sau^

tj5 + t: + t:27 + t:2

foKc tjln5 + t + t:27 Ta tnh # c l i suSt cDa t! gi th$o cng thFc 2 vAi s" li u

cDa t! gi th$o thng t nNm 2669 #Ln 8443 vAi 226 quan st.

,&M-t s. /h0o st s1 l*c v2 2.1.Bi u ! chui "

,

-.04

-.02

.00

.02

.04

.06

.08

25 50 75 100

R


4/26


Yuan st bi=u #] ta thSy t! gi h"i #oi + \ /0- cDa ccth i k ao #Jng trong kho>ng 4.8. th i k #Uu cc ao#Jng c mOnh hWn nhng th i k sau cc ao #Jng lOi kh

#]ng #?u. 0 biLn thi%n th$o th i gian cDa tWng #"i In# nh cho ta ci nh(n tr c quan r ng chu_i l i suSt cDa t! gilG mJt chu_i ng.

2.2.#! th$ h%m m&t ' (% cc th)ng *+ m, t-

0

20

40

60

80

100

-0.025 0.000 0.025 0.050

Series: RSample 1 119Observations 119

Mean 0.003198Me ian 0.001102Ma!im"m 0.070284Minim"m -0.025284St . #ev. 0.010712S$e%ness 4.351422&"rtosis 24.67358

'ar("e-)era 2704.689*robabilit+ 0.000000

+Ai #] th tr%n ta co nhQng th"ng k% m t> cW b>n chu_iti gi

ei tr trung b(nh ^ 4.44 26;

ei tr trung v ^ 4.442248ei tr lAn nhSt ^ 4.4948;ei tr nhP nhSt ^ :4.48 8;\J l ch ti%u chu n^ 4.424928f s" bSt #"i &Fng ^ . 2 88f s" nhHn ^ 8 .39 ;

-


5/26


2. ./i m $nh nghi0m n ($

f 4^ Chu_i khng ng

f 2^ Chu_i ng

,# est Statisti/ -13.28339 1 riti/al al"e -3.4865 5 riti/al al"e -2.8859 10 riti/al al"e -2.5796

Ma/&innon /riti/al val"es or re e/tion o +pot esis o a "nit root.

," mente #i/$e+- "ller est ("ation#epen ent ariable: # RMet o : ;east S("ares#ate: 11 /riterion -6.197894;o li$eli oo 370.4464 -statisti/ 176.4485#"rbin-?atson stat 1.997812 *rob -statisti/ 0.000000

*Lt qu> Ac l ng cho thSy - j2.669;28 cho biLt u t khng ttWng quan.

./ 0 13.28339 1 23* 0 3.4865

./ 0 13.28339 1 2324 0 2.8859

./ 0 13.28339 1 232* 0 2.5796

B ng ti%u chu n - , lG chu_i ng vAi gi tr tAi hOn2 , , 24 .

4


6/26


Phn II: Cc m, h nh *inh t3 lng

'&3*c 45 t1ng 6(an v m hnh A MA 4.i v7i ch()i

1.1.Lc ! t ng 4uan ca chui "

Yuan st l c #] tWng quan ta thSy s thay #Ii cDa l isuSt c ph thuJc vGo cc th i k trAc #.

2 j4.8 9w x valu$ j4.44; 4.4

2 j4. 84 w x valu$ j4.448 4.4

0au # cc kk gi>m Un vG lun n m trong kho>ng6 hay h s" tWng quan trX &Sp &V b ng 4.

5


7/26


+Ai k ta thSy w 2 6 4 5xvalu$ 4.4 7, sau # gi>mUn. h v /riterion -6.189313;o li$eli oo 363.7337 -statisti/ 6.117722#"rbin-?atson stat 2.574612 *rob -statisti/ 0.014858=nverte ,R Roots .61 -.30A.53i -.30 -.53i

7


8/26


~ 8, h nh 7"9= c; h0 s) ch


9/26


~ 8, h nh 8791 c; h0 s) ch /riterion -6.149996;o li$eli oo 363.8302 -statisti/ 3.131103#"rbin-?atson stat 2.573574 *rob -statisti/ 0.047481=nverte ,R Roots .69 -.34A.60i -.34 -.60i=nverte M, Roots .47 -.23 -.41i -.23A.41i

9


10/26


~ 8, h nh 7"9 8791 c; h0 s) ch /riterion -6.493864;o li$eli oo 380.5146 -statisti/ 28.10847#"rbin-?atson stat 1.972086 *rob -statisti/ 0.000000=nverte ,R Roots .72 .00 -.72i .00A.72i -.72=nverte M, Roots .97 -.24i .97A.24i .75 -.66i .75A.66i

.35 -.93i .35A.93i -.12 -.99i -.12A.99i -.57 -.82i -.57A.82i -.88A.46i -.88 -.46i

-1.00

*2


11/26


~ 8, h nh 7"9 7"9= c; h0 s) ch


12/26


#epen ent ariable: RMet o : ;east S("ares#ate: 11 /riterion -6.182894;o li$eli oo 362.6338 -statisti/ 5.629299

#"rbin-?atson stat 2.538316 *rob -statisti/ 0.004682=nverte ,R Roots .69 .00 -.69i .00A.69i -.69=nverte M, Roots .30 -.52i .30A.52i -.60

0au khi tiLn hGnh Ac l ng lUn l t cc m h(nh 5 7, 5 7,d 5 7, d 52 7, ta nhi thch # c nhi?u nhSt s thay #Ii cDabiLn . dKt khc trong m h(nh nGy c> hai ti%u chu n kaik$vG 0char #?u #Ot min. + ki=m # nh cho thSy^ ki=m # nh c x valu$ j4. 3 4 4.4

ki=m # nh 8 c x valu$ j 4.4 82;4.4

*+


13/26


h v?> *h,ng c; h0 s) ch tr%n ta thSy^ i suSt cDa t! gi trong mJt thng c b >nh h ng b i

l i suSt cDa thng trAc # o h s" cDa 5 7 vG d 5 7 th c s

khc 4 5 x valu$ cDa ki=m # nh T #"i vAi h s" 5 7j4.4448 4.4 vG cDa d 5 7j4.4443 4.4 7.ei> thiLt v? hs" cDa 5 7jd 5 7j4 b bc bP.

f s" cDa 5 7 vG d 5 7 4 cho biLt l i suSt cDa t!gi trong mJt thng ch u >nh h ng c@ng chi?u vAi l i suSt cDathng trAc #.

*i=m # nh - #"i vAi phUn ,# est Statisti/ -13.91062 1 riti/al al"e -3.4885

5 riti/al al"e -2.8868 10 riti/al al"e -2.5801

Ma/&innon /riti/al val"es or re e/tion o +pot esis o a "nit root.

," mente #i/$e+- "ller est ("ation#epen ent ariable: # R S=#43

*,


14/26


Met o : ;east S("ares#ate: 11 /riterion -6.285979;o li$eli oo 363.0370 -statisti/ 193.5054#"rbin-?atson stat 1.990658 *rob -statisti/ 0.000000

h(n vGo kLt qu> ki=m # nh ta thSy - j 2.6643 ;, u tkhng t tWng quan

./ 0 13.91062 1 23* 0 3.4885

./ 0 13.91062 1 2324 0 2.8868

./ 0 13.91062 1 232* 0 2.5801

+

l i cho cu hPi mFc ao #Jng trong l i suSt cDa t! gi c

ph thuJc vGo s thay #Ii l i suSt trong qu khF, cZ s"c

*-


15/26


m,cZ s"c Wng,#J l ch chu n,phWng sai vG mFc ao#Jng cDa s thay #Ii nGy hay khng

2.1.8, h nh 7"C@9A

a. c $nh tham s) A T phWng tr(nh d #1 Ac l ng tr%n, ta s ng l c

#] tWng quan b(nh phWng phUn cDa m h(nh #= suyra p.

Th$o l c #] tWng quan ta thSy t]n tOi m h(nh

Cf5 7 cho chu_i l i suSt . +Ai 2 n m ngoGi kho>ng tin

cm Un vG lun n m trongkho>ng tin c


16/26


,R 4 0.223549 0.064117 3.486585 0.0005M, 3 0.263581 0.061318 4.298604 0.0000

arian/e ("ation7.05 -05 3.45 -06 20.45940 0.0000

,R D 1 0.211358 0.067352 3.138094 0.0017 ,R D 2 0.030088 0.002980 10.09676 0.0000 ,R D 3 0.073106 0.023223 3.148025 0.0016R-s("are 0.054005 Mean epen ent var 0.003279

, "ste R-s("are 0.010611 S.#. epen ent var 0.010889S. . o re ression 0.010831 ,$ai$e in o /riterion -6.530847S"m s("are resi 0.012787 S/ %ar> /riterion -6.387633;o li$eli oo 381.5237 #"rbin-?atson stat 2.454543=nverte ,R Roots .69 .00 -.69i -.00A.69i -.69=nverte M, Roots .32 -.56i .32A.56i -.64

Th$o kLt qu> Ac l ng tr%n cho thSy s thay #Ii cDa

ch u >nh h ng Wng cDa #J biLn #Jng cDa l i suSt cDa tygi h"i #oi. f s" cDa Cf527, Cf587, Cf5 7 lG :

Wng th c s o cc x valu$ 4.4 c./i m $nh cc gi- thi3t ca m, h nh 7"C@9 Kim nh

f 4^ c j4

f 2^ c 4?al est:

("ation: B01C"ll D+pot esis: 3 E0

-statisti/ 418.5870 *robabilit+ 0.000000i-s("are 418.5870 *robabilit+ 0.000000

*Lt qu> ki=m # nh cho thSy c 4 o ki=m # nh c

xvalu$ j4.444 4.4 vG ki=m # nh : + c x valu$ j4.444 4.4Kim nh !"#$

,R D est:-statisti/ 0.027572 *robabilit+ 0.868419

Obs R-s("are 0.028057 *robabilit+ 0.866975

est ("ation:#epen ent ariable: S #GR S=#H2Met o : ;east S("ares#ate: 11


17/26


Sample a "ste : 6 119=n/l" e observations: 114 a ter a "stin en points

ariable oe i/ient St . rror t-Statisti/ *rob.1.033371 0.472183 2.188496 0.0307

S #GR S=#H2 -1 -0.015688 0.094479 -0.166047 0.8684R-s("are 0.000246 Mean epen ent var 1.017411

, "ste R-s("are -0.008680 S.#. epen ent var 4.914700S. . o re ression 4.935984 ,$ai$e in o /riterion 6.048369S"m s("are resi 2728.761 S/ %ar> /riterion 6.096373;o li$eli oo -342.7570 -statisti/ 0.027572#"rbin-?atson stat 1.997948 *rob -statisti/ 0.868419

*Lt qu> b>ng tr%n cho thSy khng t]n tOi Cf cho mh(nh Cf5 7

eHi lG h s" cDa 0T- R0 -85:27

Th$o ki=m # nh f 4^ j4

f 2^ 6 4

*i=m # nh c x valu$ j4.;3; 26 4.4

*i=m # nh : + c x valu$ j4.;3369 4.4

*i=m # nh T c x valu$ j4.;3; 4.4f s" j4 mJt cch c ' ngha. d h(nh Cf5 7 lG

m h(nh t"t.2.2.8, h nh D7"C@ a.8, h nh D7"C@9E>m

d h(nh # c s ng #= #nh gi mFc #J rDi rocDa l i suSt t! gi h"i #oi

ei> thiLt^ t lG chu_i ng t j t { u t

/ t j ; t| t t #Jc l


18/26


{ B2| ; 8t:2 { B8| ; 8t:8 { @{ Bs| ; 8t:s ^

f s" Cf527^ j8.; 2 9 x valu$ j4.44 4.4

f s" Cf587^ j . 294 9 x valu$ j4.444 4.4

f s" Cf5 7^ j2.;69293 x valu$ j4.449; 4.4

f s" e Cf527^ j . 62 9 x valu$ j4.4449 4.4

+ thiLt h s" cDa Cf vG e Cf j4 lG b bc bP.

*8


19/26


20/26


+ i l c tr%n ta thy ph n ca m h(nh e Cf5 ,27

ca chu Gi l i sut l nhi%u tr Hng o cc kk u n Im trong

khong tin c y 6 . iu ny cho ta k t lun gi thit >t t t u =

c tha m1n o t l nhi%u tr Hng

Kim nh !"#$ cho m h nh

!"#$ 3 1

,R D est:-statisti/ 0.008920 *robabilit+ 0.924923

Obs R-s("are 0.009079 *robabilit+ 0.924091

est ("ation:#epen ent ariable: S #GR S=#H2Met o : ;east S("ares#ate: 11


21/26


S. . o re ression 5.449687 ,$ai$e in o /riterion 6.246382S"m s("are resi 3326.298 S/ %ar> /riterion 6.294385;o li$eli oo -354.0437 -statisti/ 0.008920#"rbin-?atson stat 1.998894 *rob -statisti/ 0.924923

eHi lG h s" cDa 0T- R0 -85:27

Th$o ki=m # nh f 4^ j4

f 2^ 6 4

*i=m # nh c x valu$ j4.68 68 4.4

*i=m # nh : + c x valu$ j4.68 462 4.4

*i=m # nh T c x valu$ j4.68 6 4.4

ei> thiLt f 4 b bc bP,h s" j4 mJt cch c ' ngha khng t]n tOi Cf cho m h(nh e Cf5 ,27

Yua cc ki=m # nh tr%n ta thSy m h(nh e Cf5 ,27thPa m1n cc gi> thiLt cDa m h(nh. +


22/26


suSt 5 h s" Cf527j4. 632 6, Ch587j4.2 43 3,Cf5 7j4. 38 4 #?u khc 47 lOi v a ph thuJc vGo mFc

ao #Jng cDa thay #Ii nGy5 o h s" cDa

e Cf527j4.894398 khc 47-o #y cc h s" #?u khc 4 hay Wng mJt cch c '

ngha n%n nLu c s thay #Ii trong t! gi h"i #oi cGng lAnth( s ao #Jng cGng lAn, hay khi t! gi tNng 5gi>m7 vAi mFc#J lAn th( &u hAng nGy s c tc #Jng ko Gi #Ln cc th ik tiLp th$o

2. .8, h nh D7"C@F8

Trong phn tch, l i suSt cDa t! gi c th= ph thuJc vGo#J rDi ro cDa t! gi. Di ro cGng lAn th( l i suSt cDa t! gi cGngcao. g i ta t(m cch #a #J rDi ro vGo phWng tr(nh Ac l ng

: \a phWng sai vGo m h(nh Ac l ng #epen ent ariable: RMet o : M; - ,R D Mar("ar t#ate: 12


23/26


T kLt qu> Ac l ng vAi th"ng k% , gi tr xvalu$j4.28834.4 cho thSy h s" cDa e Cfj4. +-Statisti/ *rob.

SBR I,R D 0.376770 0.341585 1.103005 0.0200 ,R 4 0.025370 0.212115 0.119604 0.0048M, 3 0.083939 0.440953 0.190359 0.0490

arian/e ("ation3.47 -05 1.86 -05 1.862177 0.0026

,R D 1 0.168586 0.080914 2.083513 0.0372 ,R D 2 0.127988 0.086820 1.474177 0.0404 ,R D 3 0.218712 0.221540 0.987232 0.0235I,R D 1 0.462570 0.273802 1.689428 0.0011R-s("are 0.046136 Mean epen ent var 0.003279

, "ste R-s("are 0.016267 S.#. epen ent var 0.010889S. . o re ression 0.010977 ,$ai$e in o /riterion -6.720380

S"m s("are resi 0.012893 S/ %ar> /riterion -6.529428;o li$eli oo 394.4219 #"rbin-?atson stat 2.663622=nverte ,R Roots .40 .00 -.40i .00A.40i -.40=nverte M, Roots .22 -.38i .22A.38i -.44

+Ai b>ng kLt qu> Ac l ng, ta thSy th"ng k% c xvalu$j4.4844 4.4 n%n h s" cDa 0Y 5e Cf7 khc 4. +nh h ng cDa rDi ro t! gi.

+,


24/26


2.=.GH Ah ng sai ca m, h nh D7"C@

-.04

-.03

-.02

-.01

.00

.01

.02

.03

.04

25 50 75 100

R

ore/ast: R ,/t"al: R

ore/ast sample: 1 121 , "ste sample: 5 121=n/l" e observations: 115

Root Mean S("are rror 0.011326Mean ,bsol"te rror 0.003819Mean ,bs. *er/ent rror 93.84339

eil =ne("alit+ oe i/ient 0.996940 )ias *roportion 0.083486 arian/e *roportion 0.910675 ovarian/e *roportion 0.005840

.00008

.00012

.00016

.00020

.00024

.00028

.00032

25 50 75 100

ore/ast o arian/e

Phn III : /3t lu&n

Yua phWng php s ng cc m h(nh kinh t% l ngvG nghi%n cFu th c t% #"i vAi chu_i l i suSt cDa t! gi, ta thSyt! gi + \ /0- c &u hAng gi>m th$o th i gian vG ch u tc#Jng cDa t! gi th i k trAc.C ba nguy%n nhn chnh gi>ithch cho th c tL tr%n^

ThF nhSt, kinh t +it am t ' ng tr ng li%n tc v i

tc cao h n l tin quan tr ng ng tin l%n gi so v i

+-


25/26


cc ng tin khc. *hi c t c t ' ng tr ng kinh t cao h nth( ng tin l%n gi l tt yu .

ThF hai, c@ng v i t ' ng tr ng kinh t cao v li%n tc,

v i ch tr ng ch ng m ca, hi nhp, hin c m t l ngngoi t l n chy vo n c ta t nhiu ngu n5 - ,- J 7

ThF ba, ng /0- gi m gi so v i cc ng tin chcht tr%n th gi i, nh 2 /0- hi n ch ( &i c i 4,93 Rur,4, 2 Bng nh gim gi so v i mt s ng bn t ca cc n c,nh 2 /0- hi n ch ( &i c 9,98 C 5 hn n t 7, 6,

on f n Yuc, ,3 Baht ThPi an,...h(n chung, Tef bin ng t ' ng ho c gim l o tc ng

ca nhiu yu t khc nhau nh^ quan h cung cUu v? ngoOi t ,#J l ch cDa l1i suSt, lOm pht, yLu t" tm l', chnh schChnh phD, uy tn #]ng ti?n... -o , c m t m Kc t gi ph@ h p cho t ng th i kL, chZng ta c n phi &cnh c cc y u t

ch quan, khch quan tr c tip v gin ti p tc ng l%n t gi. Tr%n c s , m a ra nh ng quy t nh chnh sch Zng Hntrong vi c iu hnh t gi nh Im t cc m c ti%u kinh t c th.

+4


26/26


-anh m c tGi li u tham kh>o2.eio tr(nh *inh tL l ng xe0.T0 guyXn Yuang -ong8.TOp ch *inh tL vG pht tri=n thng 24:8443

.Th i bo *inh tL

.Bo co th ng ni%n 2669:8443 cDa gn hGng hG nAc+i t am

.Cc vSn #? v? th tr ng ngoOi h"i: xe0.T0 guyXn*hMc dinh

3. nt$rn$t

Phân Tích Tỷ Giá Dựa Vào Mô Hình ARIMA Và Mô Hình GARCH

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