TAILIEUCHUNG - Stock index forecasting for Vietnam’s stock market

Then, we estimate the regression model, GARCH, GARCH in mean, EGARCH, EGARCH in Mean and GJR-GARCH and put them into the comparison to find the best fit model to forecast Vietnam’s stock index. Using the mean square error (MSE), Mean absolute error (MAE) and Root mean square error (RMSE) criterion to evaluate and compare models, we choose Regression-EGRCH(1,1,1)-M which has the superior forecast ability. | Stock Index Forecasting for Vietnam’s Stock Market Son Van Duong1, Jui Fang Chang2 1 International Business Department of National Kaohsiung University of Applied Sciences 2 Manufacturing and Management Department of National Kaohsiung University of Applied Sciences Kaohsiung 807, Taiwan hisa_son@, rose@ Abstract In the so-called global crisis from late 2007 up to early 2009, the economy was shaken, especially stock market by global increased volatility transmission. Stocks’ price in Viet Nam continuously went down. Therefore, in this paper, we will analyze to find main factors which strongly have influence on fluctuation of Vietnam’s stock index for the period from 2009 to 2011. Then, we estimate the regression model, GARCH, GARCH in mean, EGARCH, EGARCH in Mean and GJR-GARCH and put them into the comparison to find the best fit model to forecast Vietnam’s stock index. Using the mean square error (MSE), Mean absolute error (MAE) and Root mean square error (RMSE) criterion to evaluate and compare models, we choose Regression-EGRCH(1,1,1)-M which has the superior forecast ability. Keyword: Regression, GARCH, GARCH-M, EGARCH, EGARCH-M, GJR-GARCH model; MSE, RMSE and MAE criteria. I. INTRODUCTION After the crisis in the period of late 2007 to early 2009, Vietnam’s stock market is significantly going down. How to help it to recover and stably develop is a big issue now. One of solution is to predict the trend of stock exchange then make the appropriate decision to control the market effectively. Due to the increasing of globalization, international investments and the worldwide circulation of capital results in close relationships between stock markets, we analyze the correlations between Vietnam’s stock index ( represented by VNINDEX) and other indices S&P500 (US), CAC (France), DAX (Germany), FTSE100 (UK), KOSPI (Korea), STRAITS TIMES (Singapore) based on Spearman’s correlation coefficient theory. With the significant correlations .

• Ngân hàng - Tín dụng
• International Journal of Computer Science and Telecommunications
• Stock index forecasting for Vietnam’s stock market
• Vietnam’s stock market
• Stock index forecasting
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