1

LI NI U
Qua hn mi nm thc hin ng li i mi ca ng, nn kinh t nc
ta t c nhng thnh tu v bc tin ht sc quan trng. Tuy nhin,
t c mc tiu l n nm 2020 a nc ta v c bn tr thnh mt nc
cng nghip c c s vt cht v k thut hin i, c cu kinh t hp l, m
bo nhp tng trng bnh qun GDP mc 9-10%/nm, thc hin cng
nghip ho hin i ho thnh cng th i hi chng ta phi c vn rt ln. V
vy, p ng yu cu n thng 7/2000 Vit Nam cho ra i trung tm
giao dch chng khon ti Thnh Ph H Ch Minh. Tuy nhin trong giai on
hin nay th trng mi hnh thnh v cn mang tnh cht th nghim nn vic
a ra nhng phn tch v xu hng bin ng gi c phiu cho th trng l rt
c ngha.
Qua mt thi gian nghin cu cc ti liu v chng khon, v m hnh
phn tch v s bin ng ca gi chng khon trn th trng v bng s hiu
bit ca em trong sut qu trnh hc tp em mnh dn chn ti:
S DNG M HNH ARCH V GARCH PHN TCH V D BO
V GI C PHIU TRN TH TRNG CHNG KHON VIT NAM
ti c chia thnh 2 phn chnh:
Phn I: Nhng vn c bn v chng khon v th trng chng khon.
Phn ny gm cc vn v chng khon v th trng chng khon.
Phn II: S dng m hnh ARCH v GARCH phn tch v d bo gi c
phiu trn th trng chng khon Vit Nam.
Trong phn ny s gii thiu v m hnh ARCH v GARCH. Sau l vic
p dng m hnh ARCH v GARCH i vi c phiu REE(C kh in lnh) v
cc nhn xt.
Mc d c nhiu c gng song do tch cht phc tp ca vn nghin cu
v nhng kin thc v th trng chng khon cn hn hp nn kt qu nhn
2
c cn nhiu thiu st, vic a ra nhng phn tch v s bin ng ca gi c
phiu cn rt hn ch. V vy, em rt knh mong s nhn c s gp cu thy
v ti ny.
Trong qu trnh thc hin ti em nhn c s gip nhit tnh ca
cc thy c c bit l s ch bo tn tnh ca thy gio PGS-TS Hong nh
Tun. Qua y, em xin chn thnh cm n thy gip em hon thnh n
ny.



















3
PHN I
NHNG VN C BN V CHNG KHON V TH
TRNG CHNG KHON

A. Nhng vn c bn v chng khon
I. Khi nim chng khon
Chng khon l cc cng c huy ng vn trung v di hn, cc giy t c
gi, c kh nng chuyn i, chuyn nhng nhm xc nhn quyn s hu, quan
h vay n gia ngi nm gi n v ch th pht hnh ra n. i vi mi loi
chng khon thng c cc tnh cht sau:
1. Tnh thanh khon (tnh lng) ca mt chng khon l kh nng chuyn
i gia chng khon sang tin mt. Tnh lng ca chng khon th hin qua
vic chng khon c mua bn, trao i trn th trng.
2. Tnh sinh li: Thu nhp ca nh u t c sinh ra t vic tng gi chng
khon trn th trng, hay cc khon tin li c tr hng nm.
3. Tnh ri ro: y l c trng c bn ca chng khon.Trong qu trnh trao
i, mua i bn li, gi ca chng khon b gim hoc mt hon ton ta gi l ri
ro.
II. phn loi chng khon
1. C phiu
L loi chng khon xc nhn quyn s hu v li ch hp php i vi thu
nhp v ti sn ca cng ty c phn. S vn ng gp thnh lp cng ty c
chia ra thnh nhiu phn nh bng nhau gi l c phn. Ngi mua c phn gi
l c ng. C phiu c th c pht hnh di dng chng ch vt cht hoc
bt ton ghi s, ch c cng ty c phn mi c c phiu. Gi tr ban u ghi trn
c phiu l mnh gi ca c phiu. Mnh gi l gi tr danh ngha. S tin nhn
c t khon gp vn gi l c tc.Gi c phiu giao ng qua cc phin giao
4
dch trn th trng chng khon v tch ri so vi mnh gi.C phiu c chia
thnh 2 loi:
a. C phiu thng: L loi c phiu khng c k hn, tn ti cng vi s tn
ti ca cng ty pht hnh ra n, n khng c li sut c nh, s li c chia
vo cui mi nin quyt ton. C ng nm gi c phiu ny c quyn b
phiu, mua c phiu mi, tham gia vo i hi c ng.
b. C phiu u i: Gm 2 loi
* C phiu u i biu quyt: L c phiu dnh cho cc c ng sng lp.
C ng nm gi loi c phiu ny phi nm gi trong mt khong thi gian
nht nh, khng c chuyn nhng, trao i.
* C phiu u i ti chnh: Tong t nh c phiu thng nhng c mt s
hn ch: c ng nm gi c phiu ny khng c tham gia bu c, ng c vo
hi ng qun tr, ban kim sot ca cng ty. Nhng h c hng u i v
ti chnh theo mt mc c tc ring bit, c tnh c nh hng nm, c u tin
chia c tc v phn chia ti sn cn li ca cng ty sau khi thanh l, gii th
trc c phiu thng.
2. Tri phiu
L loi chng khon quy nh ngha v ca ngi pht hnh phi tr cho
ngi nm gi chng khon mt khon tin xc nh vo nhng thi hn c
th v theo nhng iu kin nht nh. y l nhng chng khon n, c pht
hnh di dng chng ch vt cht hoc bt ton ghi s.Tri phiu bao gm cc
loi sau:
a. Tri phiu v danh: Loi ny khng ghi tn tri ch trn c chng ch v s
sch ca cc t chc pht hnh. Vic chuyn nhng loi tri phiu ny rt d
dng nn n thng c giao dch trn th trng chng khon.
b. Tri phiu ghi danh: Ghi tn, a ch ca tri ch trn chng ch v s sch
ca t chc pht hnh.Loi ny t c em trao i trn th trng.
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c. Tri phiu chnh ph: L loi tri phiu do chnh ph pht hnh nhm b
p cho thm ht ngn sch. y l loi chng khon m cc nh u t khng
a mo him rt a thch v n hu nh khng c ri ro thanh ton.
d. Tri phiu cng trnh: L loi tri phiu c pht hnh huy ng vn
xy dng cc cng trnh c s h tng hay cng trnh phc li cng cng.
e. Tri phiu cng ty: Do cng ty pht hnh vay vn trung v di hn. Khi
cng ty bn tri phiu th cng ty l ngi i vay cn ngi mua l ch n.
Cng ty phi cam kt tr c li v gc cho tri ch nh nu trong hp ng.
N bao gm cc loi: Tri phiu c m bo, tri phiu khng c bo m, tri
phiu c th mua li
3. Chng ch qu u t
L chng khon c pht hnh bi cng ty qun l qu huy ng vn t
cc nh u t. Vn c dng mua bn kinh doanh cc loi chng khon
khc kim li, sau chia tin li cho cc nh u t.
C th phn loi chng ch qu u t thnh:
a. Qu u t chung: y l loi qu m tt c mi ngi u c th tham
gia.
b. Qu u t ring: Ch gii hn mt nhm ngi nht nh.
c. Qu u t dng m: L qu u t trong nh u t c quyn bn li
chng ch qu u t cho qu pht hnh chng khon lin tc huy ng vn
v sn sng mua li s chng khon m n pht hnh ra.
d. Qu u t c phiu: Qu chuyn u t vo mt loi c phiu nht nh.
e. Qu u t tri phiu: L qu u t vo mt loi tri phiu no .
g. Qu u t hn hp: Loi qu u t vo bt k loi chng khon no nu
thy c hiu qu.
Ngoi ra, cn c mt s loi chng khon khc (thng gi l cng c phi sinh)
nh: Giy bo m quyn mua c phiu, cc hp ng k hn, chng quyn

6
B. Tng quan v th trng chng khon
I. Khi nim th trng chng khon
thc hin qu trnh sn xut, chng ta cn phi c cc yu t: lao ng,
vn, t ai, khoa hc k thut. Trong vn ngy cng ng mt vai tr quan
trng, nhng c mt lng vn ln th khng mt c nhn no c th m
nhim c. Trong khi nhng ngi c c hi u t sinh li th thiu vn
cn nhng ngi c vn th li t c c hi u t. Thc t i hi cn phi
c nhng t chc trung gian ni lin gia ngi tha vn v nhng ngi thiu
vn. H thng ngn hng ra i p ng c phn no yu cu . Tuy
nhin, thu ht c cc ngun tin t nhn ri ca x hi v mt s ngun vn
u t trc tip vo sn xut kim li tn gc th th trng chng khon ra
i. Th trng chng khon l ni giao dch cc loi chng khon theo cc mc
ch khc nhau ca cc ch th tham gia vo th trng chng khon.
II. Vai tr ca th trng chng khon trong pht trin kinh t.
Xu th hi nhp kinh t quc t v khu vc vi s ra i ca t chc thng
mi th gii (WTO), ca lin minh Chu u, ca khi th trng chung i hi
cc quc gia phi thc y pht trin kinh t vi tc v hiu qu cao.Thc t
pht trin kinh t cc quc gia trn th gii khng nh vai tr ca th trng
chng khon trong pht trin kinh t.
1. th nht, th trng chng khon vi vic to ra cc cng c c tnh thanh
khon cao, c th tch t, tp trung v phn phi vn, chuyn thi hn ca vn
ph hp vi yu cu pht trin kinh t.
Hn Quc, th trng chng khon ng vai tr khng nh trong s tng
trng kinh t trong hn ba mi nm, cho ti thp k 90 th trng chng
khon nc ny ln mnh v ng hng th 13 trn th gii gp phn to
mc tng trng kinh t t bnh qun 9% nm, thu nhp quc dn bnh qun
u ngi nm 1995 l trn 10.000USD.
7
Yu t thng tin l yu t cnh tranh trn th trng s m bo cho vic phn
phi vn mt cch hiu qu. Th trng ti chnh l ni tin phong p dng cng
ngh mi v nhy cm vi mi trng thng xuyn thay i. Trn th trng
chng khon, tt c cc thng tin c cp nht v c chuyn ti ti tt c cc
nh u t h c th phn tch v nh gi cho cc chng khon.
Th trng chng khon to ra mt s cnh tranh c hiu qu trn th trng
ti chnh, do cc ngn hng thng mi v cc t chc ti chnh phi quan
tm ti hot ng ti chnh ca h v lm gim chi ph ti chnh.
Vic huy ng vn trn th trng chng khon c th lm tng vn t c ca
cc cng ty v gip h trnh cc khon vay c chi ph cao cng nh s kim sot
cht ch ca cc ngn hng thng mi. Th trng chng khon khuyn khch
tnh cnh tranh ca cc cng ty trn th trng.S tn ti ca cc th trng
chng khon cng l yu t quyt nh thu ht vn u t nc ngoi. y l
yu t m bo cho s phn b c hiu qu cc ngun lc trong mt quc gia
cng nh trong phm vi quc t.
2. Th hai, th trng chng khon gp phn thc hin ti phn phi cng
bng hn, gii to s tp trung quyn lc kinh t ca cc tp on, huy ng tng
lp trung lu trong x hi, tng cng s gim st ca x hi i vi qu trnh
phn phi. T , to ra s cnh tranh cng bng hn qua thc y pht trin
kinh t, to ra hiu qu, tin ti xy dng mt x hi cng bng v dn ch.
3. Th ba, th trng chng khon to iu kin cho vic tch bit gia s
hu v qun l doanh nghip. Khi quy m ca doanh nghip tng ln th nhu
cu v qun l chuyn trch cng tng theo. Th trng chng khon to iu
kin cho tit kim vn v cht xm thc y qu trnh c phn ho doanh
nghip nh nc, gim tiu cc trong qun l, to iu kin kt hp hi ho li
ch ca ch s hu, nh qun l v nhng ngi lm cng.
4. Th t, hiu qu ca quc t ho th trng chng khon. Vic m ca th
trng chng khon lm tng tnh lng v cnh tranh trn th trng quc t, cho
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php cc cng ty c th huy ng ngun vn r hn, tng cng u t t bn
ngoi, ng thi tng kh nng cnh tranh quc t v m rng c hi kinh doanh
cho cc cng ty trong nc. Hn Quc, Singapore, Thi Lan, Malaysia l nhng
minh chng in hnh v vic tn dng cc c hi do th trng chng khon
mang li. Tuy nhin, chng ta cng cn phi xt cc tc ng tiu cc c th xy
ra nh vic tng cung tin qu mc, p lc ca lm pht, vn chy mu vn.
5. Th nm, th trng chng khon to iu kin cho Chnh ph huy ng
cc ngun ti chnh tin t ca chnh ph. ng thi, th trng chng khon
cng cung cp mt d bo tuyt vi v cc chu k kinh doanh trong tng lai
gip Chnh ph v cc cng ty nh gi k hoch u t cng nh vic phn b
cc ngun lc ca h. Th trng chng khon cng to iu kin ti cu trc
nn kinh t.
Ngoi nhng tc ng tch cc trn, th trng chng khon cng c nhng
tc ng tiu cc nht nh nh hin tng u c, hin tng xung t quyn
lc, bong bng gi,lm gim thit hi cho quyn li ca cc c ng thiu s,
vic mua bn ni gin, thao tng th trng lm nn lng cc nh u t tc ng
tiu cc ti tit kim v u t. Nhim v ca cc nh qun l th trng l gim
thiu cc tiu cc ca th trng nhm bo v quyn li ca cc nh u t v
m bo tnh hiu qu ca th trng.
Nh vy, vai tr ca th trng chng khon c th hin nhiu kha cnh
khc nhau. Song vai tr tht s pht huy c hiu qu th ph thuc ng
k vo cc ch th tham gia vo th trng v s qun l ca nh nc.
III. Phn loi th trng chng khon
1.Th trng s cp
L ni pht hnh ln u chng khon ra cng chng, to vn cho t chc
pht hnh thng qua vic bn chng khon cho cc nh u t. Ti y, c s
chu chuyn ti chnh trc tip a cc khon tin nhn ri tm thi trong dn
chng vo qu trnh u t, t ngun vn ngn hn sang ngun vn di hn. N
9
to iu kin cung cp cho nn kinh t ngun vn c thi gian s dng p ng
c thi gian cn thit ca cc khon u t. Th trng s cp c chc nng l
huy ng vn cho u t, lm tng thm vn u t cho nn kinh t. C hai
phng php pht hnh chng khon trn th trng ny l: pht hnh ring l v
pht hnh cng chng.
2.Th trng th cp
L ni din ra cc giao dch chng khon c pht hnh trn th trng
s cp. Th trng th cp to iu kin cho th trng s cp pht trin, tng
tim nng huy ng vn ca cc t chc pht hnh chng khon. Trn th trng
chng khon va c giao dch ca th trng s cp, va c giao dch ca th
trng th cp.
3. Th trng tp trung
L ni m vic giao dch, trao i, mua bn chng khon c thc hin
thng qua s giao dch chng khon( hay cn gi l sn giao dch).
4. Th trng phi tp trung
Hay cn gi l th trng OTC, th trng ny din ra bt k ni no min
l ni din ra cc hot ng mua bn, trao i chng khon.
5. Th trng tri phiu( bond market)
L th trng pht hnh tri phiu mi v mua i bn li tri phiu c.
6. Th trng c phiu( the stock market)
L th trng pht hnh c phiu mi v mua i bn li c phiu c. Hot
ng ca th trng ny gm c hai lnh vc u t chng khon v kinh doanh
chng khon.
7. Th trng giao ngay
L th trng m vic mua bn chng khon theo gi tho thun khi k hp
ng nhng thanh ton v giao chng khon sau ngy k hp ng mt khong
thi gian quy nh. Chc nng ca th trng ny l huy ng v lm tng ngun
vn.
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8. Th trng giao dch k hn
Th trng mua v bn chng khon theo gi tho thun theo hp ng
nhng thanh ton v giao nhn chng khon sau ngy k kt hp ng mt
khong thi gian nht nh thng l 30 hoc 60 ngy.
9. Th trng giao dch tng lai
Ging nh l th trng giao dch chng khon k hn nhng khc ch:
Cc hp ng mua bn c tiu chun ho ni dung v iu kin thc hin
hp ng v phi c tin t cc thng qua quy ch k qu m bo hp
ng.
IV. Cc ch th tham gia vo th trng chng khon
1. C quan qun l v vn hnh th trng: Gm c quan qun l nh nc
v s giao dch chng khon. Cc c quan qun l nh nc c nhim v t chc
v qun l hot ng ca th trng chng khon. Cn s giao dch chng khon
c vai tr vn hnh th trng chng khon thng qua b my gm nhiu b
phn khc nhau, c nhim v ban hnh v gim st vic thc hin nhng quy
nh iu chnh giao dch chng khon, pht hnh chng khon
2. Cc t chc pht hnh
L cc t chc thc hin huy ng thng qua th trng chng khon, cung
cp hng ho cho th trng chng khon. Cc t chc pht hnh l: Chnh ph
v chnh quyn a phng pht hnh tri phiu chnh ph v tri phiu cng
trnh, cc cng ty pht hnh c phiu v tri phiu cng ty
3. Cc nh u t
L nhng ngi c vn nhn ri v c nhu cu mua bn, trao i chng
khon trn th trng chng khon nhm kim li. Cc nh u t quyt nh
tham gia u t vo chng khon nhm mt s mc ch: Nhm hng li tc,
hng li sut, hng chnh lch gi chng khon trn th trng chng khon
v nm quyn qun l kim sot t chc pht hnh. Cc nh u t gm: Nh
u t c nhn v nh u t c t chc.
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4. Cc nh ch trung gian
L cc cng ty chng khon, cc cng ty qun l qu v cc ngn hng
thng mi, cc t chc ny thc hin cc chc nng trung gian cho cc giao
dch chng khon trn th trng chng khon.
a. Cc cng ty chng khon: Cc cng ty hat ng trong lnh vc chng
khon vi cc nghip v c bn: nghip v bo lnh pht hnh, nghip v mi
gii t vn v lu k chng khon.
b. Cc cng ty qun l qu: L cc cng ty thay mt cho nh u t thc hin
qun l mt hay nhiu qu u t.
c. Cc ngn hng thng mi: Khi c php cc ngn hng thng mi c
th cung cp cc dch v bo qun chng khon, thu hi vn, lm i l pht
hnh chng khon.
Ngoi ra, th trng chng khon hot ng ng b cn c s tham gia
ca cc t chc khc nh: t chc lu k v thanh ton b tr, hip hi cc nh
kinh doanh chng khon, cng ty nh gi h s tn nhim.












PHN II
12
S DNG M HNH ARCH V GARCH PHN TCH
V D BO GI C PHIU TRN TH TRNG
CHNG KHON VIT NAM

t lu cc nh u t, phn tch ti chnh u mong mun tr li cu hi :
C th d on c s bin ng ca gi chng khon? C rt nhiu nghin
cu, phn tch chui gi chng khon c thc hin nhm tm li gii p
tho ng cho vn trn. Theo l thuyt nh gi chng khon, nu th trng
chng khon hot ng hiu qu th t thng tin v gi chng khon trong qu
kh khng th d on c din bin ca gi chng khon trong tng lai. Khi
, gi chng khon vn ng mt cch hon ton ngu nhin. Tuy nhin trong
thc t, k c nhng nc c th trng pht trin, gi nh v th trng hiu
qu khng hn l ph hp. c bit nc ta, th trng chng khon cn rt
non tr, mi ch mang tnh th nghim v hot ng vi kh nhiu quy nh gii
hn cht ch, cc nh u t bc u lm quen vi loi hnh u t mi nn
trong hnh vi u t cn n cha nhng c im ring. iu ny to ra nhng
c th trong s vn ng ca gi chng khon, do vic a ra phn tch
chui thi gian v xu hng bin ng v gi c phiu cho th trng l rt c
ngha . V c rt nhiu nh kinh t hc a ra cc m hnh khc nhau
phn tch v d bo v gi chng khon. Mt trong nhng m hnh c coi l
c hiu qu l m hnh ARCH v m hnh GARCH.
A. L do s dng m hnh
Trong nn kinh t hin i, vic p dng cng c khoa hc k thut l rt cn
thit. Thng qua mn khoa hc chuyn ngnh KINH T LNG, l mt mn
khoa hc da trn nn tng ca mn Xc sut v thng k ton hng con
ngi i su vo lnh vc lng ho cc vn kinh t. c bit cc cng c
thng k trong Eviews c xy dng lp m hnh v trung bnh c iu kin
v phng sai c iu kin ca bin ngu nhin.
13
Vn v th trng chng khon rt rng ri, n i su vo nhiu lnh vc,
p dng nhiu phn tch v cc m hnh kinh t khc nhau. V vy, c rt nhiu
l do lp m hnh ARCH v GARCH:
1. Th nht, ci quan trng nht ca mt nh u t l khi u t cn la
chn danh mc ti sn no c li nht. Khi c s quyt nh ng n v danh
mc ti sn la m mnh la chn th nh u t cng cn phi hiu r v
mc ri ro ca vic nm gi ti sn m mnh . Mc tiu chnh ca cc nh
u t l gim thiu ri ro trn th trng chng khon bng cch chn lc cc
ti sn ti chnh khc nhau vo danh mc u t ca mnh nhm t c li
nhun cao nht.
2. Th hai, kinh nghim cho thy rng nhng ti sn c li sut ln c xu
hng tin ti nhng li sut ln hn. Hay ni cch khc, s giao ng ca li
sut xut hin hin tng t tng quan chui hay phng sai ca sai s khng
ng u do phi s dng m hnh kinh t lng ARCH v GARCH kim
chng cho vn .
3. Th ba, c th thy c s bin ng v gi v mc giao ng
trong li sut cc phin giao dch. Ngoi ra, cc nh u t cn phi d bo cc
khong tin cy thay i theo thi gian mt cch chnh xc v thu c kt qu
c lng cao hn th h phi thc hin m hnh d bo v phng sai c iu
kin.
B. Gii thiu v m hnh ARCH v GARCH
M hnh ARCH c bit c xy dng lp m hnh v d bo v phng
sai c iu kin. Phng sai ca bin ph thuc l mt hm ca bin ph thuc
thi k trc, bin c lp v cc bin ngoi sinh. M hnh ARCH c Engle
gii thiu vo nm 1982 v m hnh GARCH c gii thiu bi Bollerslev vo
nm 1986. Nhng m hnh ny c s dng rng ri trong cc m hnh ton
kinh t, c bit l trong phn tch chui thi gian ti chnh ging nh
14
Bollerslev, Chou, Kroner thc hin vo nm1992 v Bolleslev, Engle, Nelson
tin hnh vo nm 1994.
I. M hnh tng qut t iu chnh phng sai c iu kin
khc nhau ( M hnh GARCH)
1. M hnh GARCH(1,1) c dng:
(1)
t t t
x y c + =

(2)
2
1
2
1
2

+ + =
t t t
|o oc e o

Trong :
Phng trnh k vng c to ra bi (1) l mt hm ca bin ngu nhin vi
biu thc sai s.
Phng trnh phng sai c iu kin trong (2) l mt hm gm 3 bin:
K vng:
e

Nhng thng tin v s giao ng t thi k trc, c xc nh nh bnh
phng phn d t phng trnh k vng:
2
1 t
c

Phng sai d bo giai on trc:
2
1 t
o

S nh dng m hnh thng c gii thch trong th trng ti chnh khi c
cc nh u t chng khon d bo v phng sai ca ti sn thi k ny bng
vic to ra mt trng s trung bnh trong di hn (hng s) v phng sai d bo
giai on trc, nhng thng tin v s giao ng t thi k trc. M hnh ny
ph hp vi s thay i ca doanh li ti sn ti chnh v khi li sut ca ti sn
xut hin hin tng phng sai ca sai s khng ng u.
Phong trnh phng sai(2) c th c biu din theo hai cch sau y:
a. Th nht:
2
1
1 2
) 1 (
j t
j
j
t

= c | o
|
e
o


15

Sai s ca bnh phng doanh li c xc nh bi chnh lch:

2 2
t t t
v o c =

Thay vo phng sai trong phng trnh (2) v xt thi k (t-1) vi phng sai
ta c phng trnh sau:

1
2
1
2
) (

+ + + =
t t t t
v v | c | o e c

Trong , bnh phng cc sai s l mt qu trnh ca kim nh ARMA(1,1).
b. Th hai:
Phng trnh(2) c th bao gm: cc bin ngoi sinh, bin xu th z :
( ' 2 )
t t t t
z t |o oc e o + + + =

2
1
2
1
2
.
Trong : t l h s ca bin xu th z
Lu rng d bo phng sai t phng trnh ny khng m bo l dng, v
vy khi hi quy phng trnh bn c th t:
2
t t
x z =

2. M hnh GARCH(p, q)
S m rng ca m hnh Garch c th hin l m hnh Garch(p, q) c th
c c lng bng cch chn p hoc q ln hn 1. M hnh Garch(p, q) biu
din phng sai c iu kin c dng:

2
1
2
1
2
j t
p
j
j i t
q
i
i t
=

=

+ + = o | c o e o

Trong :
p: l bc ca m hnh GARCH.
q: l bc ca m hnh ARCH.
II. M hnh t hi quy vi phng sai c iu kin khc nhau (M hnh ARCH)
16
M hnh ARCH l mt trng hp c bit ca nh dng m hnh GARCH
khi khng c d bo phng sai cc thi k tr trong phng trnh phng sai
c iu kin.
1. M hnh ARCH- M
n x trong phng trnh (1) m t cc bin ngoi sinh, cc bin xu th trong
phng trnh trung bnh. V vy, nu chng ta thay phng sai c iu kin vo
phng trnh trung bnh th ta c m hnh ARCH-in-Mean(M hnh ARCH-M).
M hnh ARCH-M c Engle, Lilien, Robins tin hnh vo nm 1987. Khi
ta c phng trnh ca m hnh ARCH-M nh sau:
) 1 ( '
t t t t
x y c o + + ' =
2

Trong m hnh ARCH-M c th dng lch tiu chun c iu kin thay
cho phng sai c iu kin.
M hnh ARCH-M thng c s dng trong cc ng dng ti chnh m
doanh li ca ti sn k vng c lin quan n ri ro v ti sn k vng.
2. M hnh ARCH bt i xng
Trong cc phin giao dch, nu s thay i ca gi c phiu trn th trn th
trng l tc ng bt i xng th s dng m hnh TARCH v EGARCH
a. M hnh TARCH
M hnh c Zakoian gii thiu vo nm 1990 v c Glosten, Jaganathan,
Runkle thc hin vo nm 1993. Trong m hnh ny phng sai c iu kin
c xc nh nh sau:

2
1 1
2
1
2
1
2

+ + + =
t t t t t
|o o c oc e o

Trong :

1 =
t
o
nu 0 <
t
c v
0 =
t
o
trong cc trng hp khc.
17
Trong m hnh ny, tc ng tt(
0 <
t
c
) v tc ng tiu cc nu(
0 >
t
c
),
cc tc ng ny c nh khc nhau ti phng sai c Iu kin, o l tc ng
tch cc cn( o + ) l tc ng tiu cc. Nu
0 =
th tc ng l bt i xng.
nh dng cho bc cao hn ca m hnh TARCH, Eviews c lng
phng trnh:

2
1
2
1
2
1
2
j t
p
j
j t t i t
q
i
i t
=

=

+ + + = o | o c c o e o

C. ngha ca m hnh ARCH v m hnh GARCH
1. Vic phn tch v gi v li sut ca chng khon c mt vai tr rt quan
trng, mt ngha ln trong kinh t c bit trong giai on hin nay khi th
trng chng khon nc ta vn cn rt non tr. M hnh ny c p dng rng
ri trong cc ngnh: ton kinh t, ti chnh, trong vic d bo. T , gip cc
nh phn tch th trng c th xc nh c mc ri ro ca vic nm gi ti
sn, thy c s bin ng ca gi c phiu trn th trng chng khon a
ra c nhng d bo cng nh cc kt lun nn u t vo loi c phiu no
th em li li nhun cao nht.
2. V phng din thc hnh, vi s tin b ca cc phn mm kinh t nh
Eviews l mt cng c ph bin th vic p dng m hnh ARCH v GARCH c
th phn tch c s bin ng ca gi chng khon. Nu gi chng khon
cng gim th mc giao ng trong gi cng ln, hin tng ny c gi l
hiu ng n by c Blank pht hin vo nm 1976. Ngoi ra, khi phn tch
v chui li sut cn ch ra c s thay i trong li sut trung bnh t thy
c mi lin h gia li sut trung bnh ca c phiu trong mt phin vi cc
phin giao dch khc.



18









D. Mt s cc kt qu c lng theo m hnh ARCH v GARCH
cho gi v li sut ca c phiu REE (C kh in lnh)
bng phn mm EVIEWS
Gi gi ca chng khon ti thi im t l
t
S , khi li sut ca chng
khon trong khong thi gian mt chu k nm gi t thi m (t-1) n thi im
t s l: r
t
=
1
1

t
t t
S
S S
vi t 1 > . Hay
t
r =ln(
1 t
t
S
S
) vi t 1 > , v th ta c th phn tch
chui gi chng khon
t
S thng qua vic phn tch chui
t
r .
Vi c phiu REE gi li sut ca c phiu ny l LSREE v p dng vi
cng thc trn ta c cc kt qu c lng nh sau.

1. Biu chui gi c phiu
19
0
20000
40000
60000
80000
100000
100 200 300 400 500 600 700 800
REE




2. Biu chui li sut c phiu
20
-.5
-.4
-.3
-.2
-.1
.0
.1
100 200 300 400 500 600 700 800
LSREE











3. th hm mt v kim nh Jarque-Bera
21
0
100
200
300
400
500
-0.4 -0.3 -0.2 -0.1 0.0
Series: LSREE
Sample 1 834
Observations 834
Mean 0.000491
Median 0.000000
Maximum 0.067366
Minimum -0.402458
Std. Dev. 0.025921
Skewness -4.736139
Kurtosis 72.96433
Jarque-Bera 173219.4
Probability 0.000000


Nhn xt:
T th ca hm mt v kim nh Jarque-Bara ta thy: Gi ca c phiu
REE l bin ng thng xuyn, lc u gi tng mnh sau gim mnh ri c
xu hng tng nh. S ln li sut gim (s ln gi gim ) nhiu hn. Mc li
sut trung bnh ca c phiu REE l 0.000491. Gi tr ca p_value l 0.0000 ly
mc ngha l 0.05 ta thy chui LSREE khng phn b chun.










4. Biu t tng quan ca chui LSREE
22

Date: 12/25/04 Time: 14:30
Sample: 1 839
Included observations: 834
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
.|** | .|** | 1 0.280 0.280 65.682 0.000
.|* | .|. | 2 0.088 0.010 72.184 0.000
.|. | .|. | 3 0.053 0.027 74.507 0.000
.|* | .|* | 4 0.094 0.077 81.856 0.000
.|* | .|* | 5 0.124 0.083 94.780 0.000
.|* | .|* | 6 0.122 0.067 107.40 0.000
.|* | .|. | 7 0.073 0.015 111.89 0.000
.|. | .|. | 8 0.013 -0.027 112.03 0.000
.|. | .|. | 9 0.054 0.043 114.49 0.000
.|* | .|. | 10 0.096 0.057 122.28 0.000
.|* | .|. | 11 0.095 0.037 129.93 0.000
.|. | *|. | 12 -0.002 -0.060 129.94 0.000
.|. | .|. | 13 -0.018 -0.020 130.22 0.000
.|* | .|* | 14 0.079 0.086 135.53 0.000
.|* | .|. | 15 0.111 0.056 146.10 0.000
.|* | .|. | 16 0.080 0.013 151.52 0.000
.|. | .|. | 17 0.041 0.004 152.93 0.000
.|. | .|. | 18 0.034 0.019 153.92 0.000
.|. | .|. | 19 0.061 0.038 157.12 0.000
.|* | .|. | 20 0.074 0.015 161.76 0.000
.|. | .|. | 21 0.051 -0.009 164.03 0.000
.|. | .|. | 22 0.007 -0.022 164.07 0.000
.|. | .|. | 23 -0.024 -0.029 164.56 0.000
.|. | .|. | 24 -0.007 -0.017 164.60 0.000
.|* | .|. | 25 0.082 0.060 170.39 0.000
.|. | .|. | 26 0.014 -0.045 170.57 0.000
.|. | .|. | 27 -0.019 -0.015 170.89 0.000
.|. | .|. | 28 -0.036 -0.023 172.00 0.000
.|. | .|. | 29 -0.002 0.003 172.00 0.000
.|. | .|. | 30 -0.029 -0.055 172.74 0.000

Nhn xt:
T lc t tng quan ca chui LSREE ta thy chui l chui khng
dng v h s ca
11
p l khc khng. V h s tng quan tr 1 thi k khc
khng nn c s thay i trong li sut trung bnh gia cc phin giao dch ca
c phiu REE v gn vi s thay i ca phin trc .



5. Kim nh s thay i trong li sut v trong s giao ng
23
ca c phiu REE
S dng m hnh AR v GARCH

Dependent Variable: LSREE
Method: ML - ARCH (Marquardt)
Date: 12/25/04 Time: 09:32
Sample(adjusted): 2 834
Included observations: 833 after adjusting endpoints
Convergence not achieved after 500 iterations
Variance backcast: ON
Coefficient Std. Error z-Statistic Prob.
C 0.000902 0.001600 0.563403 0.5732
AR(1) 0.345280 0.042415 8.140502 0.0000
Variance Equation
C 0.000160 4.86E-05 3.298471 0.0010
ARCH(1) 0.151725 0.063077 2.405396 0.0162
GARCH(1) 0.607774 0.115415 5.265974 0.0000
R-squared 0.074159 Mean dependent var 0.000469
Adjusted R-squared 0.069687 S.D. dependent var 0.025929
S.E. of regression 0.025009 Akaike info criterion -4.679839
Sum squared resid 0.517871 Schwarz criterion -4.651477
Log likelihood 1954.153 F-statistic 16.58055
Durbin-Watson stat 2.134335 Prob(F-statistic) 0.000000
Inverted AR Roots .35

T kt qu c lng m hnh AR v GARCH rt ra nhn xt:
V h s c lng ca bin AR(1) l 0.345 dng tht s nn li sut trung
bnh ca c phiu REE trong mt phin giao dch c lin h dng vi s thay
i trong li sut ca phin giao dch trc . Mc giao ng trong li sut ca
c phiu REE c khc nhau trong cc phin, n va ph thuc vo s thay i
ca li sut(Da vo tiu chun p_value ta thy h s ca bin ARCH(1) l khc
khng) li va ph thuc vo mc giao ng ca s thay i ny(Do h s
c lng ca bin GARCH(1) l khc khng).
H s ca bin AR(1), ARCH(1), GARCH(1) l dng nn nu s thay i
trong gi c phiu cng ln th s giao ng cng ln c ngha l khi gi c
phiu tng(hay gim) vi mt mc ln th xu hng ny cn ko di cho ti
khi c tc ng bt thng lm thay i xu th.
24

6. Kim nh hiu ng n by i vi chui LSREE
S dng m hnh TARCH
Dependent Variable: LSREE
Method: ML - ARCH (Marquardt)
Date: 12/25/04 Time: 10:58
Sample(adjusted): 2 834
Included observations: 833 after adjusting endpoints
Convergence not achieved after 500 iterations
Variance backcast: ON
Coefficient Std. Error z-Statistic Prob.
C 0.000722 0.001815 0.397992 0.6906
AR(1) 0.346840 0.042679 8.126748 0.0000
Variance Equation
C 0.000163 4.90E-05 3.326101 0.0009
ARCH(1) 0.134786 0.067324 2.002062 0.0453
(RESID<0)*ARCH(1) 0.033663 0.074923 0.449308 0.6532
GARCH(1) 0.602825 0.115861 5.202990 0.0000
R-squared 0.074036 Mean dependent var 0.000469
Adjusted R-squared 0.068438 S.D. dependent var 0.025929
S.E. of regression 0.025026 Akaike info criterion -4.677714
Sum squared resid 0.517940 Schwarz criterion -4.643680
Log likelihood 1954.268 F-statistic 13.22467
Durbin-Watson stat 2.137508 Prob(F-statistic) 0.000000
Inverted AR Roots .35

Nhn xt:
T kt qu c lng ta thy gi tr p_value ca RESID*ARCH(1) l 0.6532
ln hn mc ngha 0.05 vy h s ca bin RESID*ARCH(1) l bng khng
nn khng thy c biu hin ca hin tng hiu ng n by i vi gi c
phiu REE.