B GIO DC V O TO TRNG I HC KINH T TP. H CH MINH L TUN BCH PHAN TlCH DU BAO GlA & RUl RO TH[ TRUONG CO PHlEU NlEM YET VlET NAM CHUYN NGNH: KINH T TI CHNH - NGN HNG M S: 603112 LUAN VAN THAC Sl NGI HNG DN KHOA HC PGS.TS PHAN TH BCH NGUYT Thnh ph H Ch Minh - nm 2010 LI CAM OAN Y@Z Ti xin cam oan rng y l cng trnh nghin cu ca ti, c s h tr t C hng dn l PGS. TS Phan Th Bch Nguyt. Cc ni dung nghin cu vktqutrongtinyltrungthcvchatngcaicngb trongbtccngtrnhno.Nhngsliutrongccbngbiuphcv chovicphntch,nhnxt,nhgicchnhtcgithuthptcc ngun khc nhau c ghi trong phn ti liu tham kho. Ngoi ra, trong lun vn cn s dng mt s nhn xt, nh gi cng nh s liu ca cc tc gi khc,cquantchckhc,vucchthchngungcsaumitrch dn d tra cu, kim chng. Nu pht hin c bt k s gian ln no ti xin hon ton chu trch nhim trc Hi ng, cng nh kt qu lun vn ca mnh. TP.HCM, ngythngnm 2010 Tc gi L Tun Bch LI CM N Y@Z Trc tin, ti xin chn thnh cm n C Phan Th Bch Nguyt tn tnh ch bo, gp v ng vin ti trong sut qu trnh thc hin lun vn tt nghip ny. Nhn y, ti cng xin gi li cm n n Qu Thy C, nhng ngi tn tnh truyn t kin thc cho ti trong thi gian hc cao hc va qua. Nhng li cm n sau cng con xin cm n cha m, cm n anh em v bn bhtlngquantmvtoiukinttnhttihonthnhc lun vn tt nghip ny. L Tun Bch MC LC TM LC Y@Z DANH MC CC BNG BIUUDANH MC CC THDANH MC K HIU VIT TTPHN M U .......................................................................................... 1 UCHNG 1 ................................................................................................ 4TNG QUAN V CHUI D LIU DNG V M HNH ARIMA, ARCH/GARCH ........................................................................................... 4KT LUN CHNG 1 ............................................................................ 19CHNG 2 ................................................................................................ 21TNG QUAN TH TRNG C PHIU NIM YT VIT NAM & TNHHNHTHCTNGDNGMHNHARIMA, ARCH/GARCH ........................................................................................... 21KT LUN CHNG 2 ............................................................................ 37CHNG 3 ................................................................................................ 39PHNTCHDBOGIVRIROTHNGQUAMHNH ARIMA,ARCH/GARCHCHOTHTRNGCPHIUNIM YT TI VIT NAM .................................................................................. 39KT LUN CHNG 3 ............................................................................ 53KT LUN ................................................................................................ 57 MC LC CHI TIT Y@Z DANH MC CC BNG BIUUDANH MC CC TH DANH MC K HIU VIT TT PHN M UU1. S CN THIT CA TI ........................................................................ 1 2. MC TIU NGHIN CU .............................................................................. 1U3. I TNG, PHM VI NGHIN CU ........................................................ 1U4. PHNG PHP NGHIN CU ..................................................................... 2U5. NHNG IM MI CA TI ................................................................. 2 6. KT CU TI ............................................................................................ 2 CHNG 1 ................................................................................................................. 4 TNGQUANVCHUIDLIUDNGVMHNHARIMA, ARCH/GARCH ............................................................................................................... 4 1.1KHI NIM CH S GI, T SUT SINH LI, RI RO TH TRNG ... 5 1.1.1Ch s gi ...................................................................................................... 5 1.1.2Sut sinh li ca th trng .......................................................................... 5 1.1.3Ri ro ca th trng c phiu ...................................................................... 5 1.2TNH DNG CA CHUI THI GIAN ........................................................ 6 1.2.1Chui thi gian dng .................................................................................... 6 1.2.2Mt s qu trnh ngu nhin n gin (ph lc 1.1) .................................... 8 1.2.3Kim nh tnh dng ...................................................................................... 8 1.2.3.1 Da trn lc tng quan (Correlogram) ............................................ 8 1.2.3.2 Kim nh nghim n v (Unit Root Test) .............................................. 9 1.3M HNH ARIMA (AUTOREGRESSIVE INTEGRATED MOVING AVERAGE) ... 10 1.3.1Qu trnh t hi quy (Autoregressive Process AR) ................................. 10 1.3.2Qu trnh trung bnh trt (Moving Average MA) .................................. 11 1.3.3Qu trnh t hi quy v trung bnh trt (ARMA) ...................................... 12 1.3.4Qu trnh trung bnh trt kt hp t hi quy (ARIMA) ............................ 12 1.3.5Quy trnh la chn m hnh ARIMA(p,d,q) ................................................ 13 1.4M HNH ARCH/GARCH ............................................................................ 14 1.4.1M hnh ARCH (Autoregressive Conditional Heteroskedasticity) ............. 14 1.4.2M hnh GARCH ......................................................................................... 14 1.4.3M hnh GARCH-M .................................................................................... 15 1.4.4M hnh TGARCH ....................................................................................... 16 1.5KINH NGHIM S DNG M HNH ARIMA, ARCH/GARCH TRN TH GII TRONG LNH VC CHNG KHON ................................................. 17 1.5.1ng dng m hnh ARIMA .......................................................................... 17 1.5.2ng dng m hnh ARCH/GARCH ............................................................. 18 KT LUN CHNG 1 ................................................................................................ 19 CHNG 2 ................................................................................................................. 21 TNGQUANTHTRNGCPHIUNIMYTVITNAM&TNH HNH THC T NG DNG M HNH ARIMA, ARCH/GARCH ...................... 21 2.1TNG QUAN V TH TRNG C PHIU NIM YT VIT NAM ....... 21 2.1.1.1S Giao dch Chng khon Thnh ph H Ch Minh (Hsx) ................... 22 2.1.1.2S Giao dch Chng khon H Ni (Hnx) .............................................. 23 2.2TNH HNH THC T NG DNG M HNH ARIMA, ARCH/GARCH 34 KT LUN CHNG 2 ................................................................................................ 37 CHNG 3 ................................................................................................................. 39 PHNTCHDBOGIVRIROTHNGQUAMHNHARIMA, ARCH/GARCH CHO TH TRNG C PHIU NIM YT TI VIT NAM ... 39 3.1KHI QUT DIN BIN CA TH TRNG C PHIU NIM YT VIT NAM GIAI ON HIN NAY ....................................................................... 39 3.2NG DNG M HNH ARIMA D BO CH S VN-INDEX, HA-INDEX ....................................................................................................................... 40 3.2.1 ng dng m hnh ARIMA d bo cho Vn-Index (ph lc 3.1) ................... 40 3.2.2 ng dng m hnh ARIMA d bo cho Hn-Index (ph lc 3.2) ................... 43 3.3NG DNG M HNH ARIMA V ARCH/GARCH PHN TCH D BO RI RO ............................................................................................................. 45 3.3.1ng dng m hnh ARIMA v ARCH/GARCH phn tch d bo ri ro cho sn nim yt Tp. H Ch Minh ............................................................................... 45 3.3.1.1 ng dng m hnh ARIMA d bo sut sinh li cho ch s Vn-Index (ph lc 3.3) ........................................................................................................ 45 3.3.1.2 S dng m hnh ARCH/GARCH phn tch d bo ri ro ca Vn-Index46 3.3.2ng dng m hnh ARIMA v ARCH/GARCH phn tch d bo ri ro cho sn nim yt H Ni ............................................................................................... 48 3.3.2.1 ng dng m hnh ARIMA d bo sut sinh li cho ch s Hn-Index (ph lc 3.6) ........................................................................................................ 48 3.3.2.2 S dng m hnh ARCH/GARCH d bo phn tch ri ro ca ch s Hn-Index ............................................................................................................. 49 3.4MT S VN LU V CC HNG M RNG NG DNG M HNH........................................................................................................................ 50 KT LUN CHNG 3 ................................................................................................ 53 KT LUN ................................................................................................................. 57 DANH MC CC PH LC Y@Z PH LC A: NHNNHXUHNGCATHTRNGC PHIU NIM YT VIT NAM HIN NAY PH LC A.1: THNG K 10 C PHIU C SLNG NIMYT MI NHIU NHT PH LC A.2: BNG CU HI PH LC A.3: THNG K M T TM L CA NH U T V NHGICAHVCCRIRONHHNG N XU HNG TH TRNG SP TI PH LC 1.1: MT S QU TRNH NGU NHIN N GIN PH LC 1.2: KIM NH NH HNG CA ARCH PH LC 2.1: T SUT SINH LI TH TRNG PHT TRIN PH LC 2.2: T SUT SINH LI TH TRNG MI NI PH LC 3.1: D BO CHO VN-INDEX PH LC 3.2: D BO CHO HN-INDEX PH LC 3.3: D BO CHO rvn-Indcx PH LC 3.4. D BO RI RO CHO VN-INDEX PH LC 3.5.PHN TCH RI RO VN-INDEX PH LC 3.6. D BO CHO rHn-Indcx PH LC 3.7. PHN TCH RI RO HN-INDEX DANH MC CC BNG BIU Y@Z Bng 2.1 Bng t l % mc vn ha th trng so vi GDP Bng 3.1 So snh cc ch tiu nh gi m hnh d bo Vn-Index Bng 3.2 So snh cc ch tiu nh gi m hnh d bo Hn-Index Bng 3.3 So snh cc ch tiu la chn m hnh d bo rvn-Indcx DANH MC CC TH Y@Z th 1.1 Gi vng 01/2004 n 05/2009 Chui c xu th tng khng dng th1.2SutsinhlicphiuSAMgiaiont28/07/2000n26/03/2009 Chui dng th 1.3 Minh ha nhiu trng th 1.4 Minh ha bc ngu nhin th 1.5 Minh ha gin tng quan ca mt chui dng th 1.6 Minh ha gin tng quan ca m hnh ARMA(1,2) th 2.1 S lng cc cng ty nim yt ti sn Hsx qua cc nm th 2.2 S lng cc cng ty nim yt ti sn Hnx qua cc nm th 2.3 T sut sinh li (%) cc th trng pht trin t 2000-2009 th 2.4 T sut sinh li (%) cc th trng mi ni t 2000-2009 th 2.5 Phn tn ca t sut sinh li lch chun cc th trng th 2.6 Din bin 10 nm th trng c phiu nim yt Vit Nam th 3.1 Din bin th trng giai on t 11/11/2009 n 11/11/2010 th 3.2 Gin tng quan ca Vn-Index th 3.3 Gin tng quan sai phn bc mt ca Vn-Index th 3.4 Gin tng quan ca Hn-Index th 3.5 Gin tng quan sai p t ca Hn-Indexhn bc m th 3.6 Gin tng quan ca n-Indcxrv hnh GA th 3.8 Gin tng quan ca rHn-Indcx th 3.7 Biu din phn d ca m RCH(1,1) v GARCH(0,1)th3.9BiudinphndcamhnhGARCH(0,1),GARCH(0,2)v GARCH(1,1) th 3.10 Ch s Vn-Index v Vn-Index d bo th 3.11 Ch s Hn-Index v Hn-Index d bo th A.1 S lng cng ty nim nim yt mi tnh ti ngy 08/10/2010 th A.2 Chnh lch mua bn c phiu ca nh u t nc ngoi th A.3 Tnh hnh giao dch ca th trng gn y th A.4 Lm pht Vit Nam DANH MC K HIU VIT TT Y@Z UBCKNN: y ban Chng khon Nh ncUBCKNN : y ban Chng khon Nh nc HOSE: S Giao dch Chng khon TP. H Ch MinhHOSE : S Giao dch Chng khon TP. H Ch Minh SGDCK: S Giao dch Chng khonSGDCK : S Giao dch Chng khon HASTC: Trung tmGiao dch Chng khon H NiHASTC : Trung tm Giao dch Chng khon H Ni TTGDCK: Trung tm Giao dch Chng khonTTGDCK : Trung tm Giao dch Chng khon CP: C phiuCP : C phiu Tp.: Thnh phTp. : Thnh ph IMF: Qu tin t quc tIMF : Qu tin t quc t FED: Cc d tr lin bang MFED : Cc d tr lin bang MNHNN: Ngn hng Nh nc cNHNN : Ngn hng Nh n PHN M U Y@Z 1. S CN THIT CA TI ThtrngcphiunimytVitNamknim10nmphttrintrongmtkhng kh m m. Mi hm no th trng c phiu nim yt Vit Nam l mt trong nhng thtrngctctngtrngnhtnhtrnthgiithlcnyVitNamlinm trong top danh sch cc th trng st gim mnh nht th gii. y l im hp dn sinh li cao ca th trng chng khon Vit Nam v cng y thch thc cho bt k nh u t no khng chuyn ln dy dn kinh nghim. Mi quy lut, mi phn tch k thut v cc l thuyt phn tch u t tin tin ca th gii u c nguy c b ph v hoc bp mp trong mt mi trng nhiu bin ng v thiu chuyn nghip nh th trng chng khon Vit Nam. Tht ri ro! hay khng hiu ni! dng nh l cu ca ming ca cc nh u t dnh cho th trng chng khon Vit Nam.Cc nh lm chnh sch, t chc t vn v nh u t lun c gng d bo ri ro ca th trng nhng cc nhn t tc ng vo th trng Vit Nam rt a dng v bin i kh lng. V th m cc m hnh hi quy c in thng dng phn tch d bo chui d liu c phiu Vit Nam khng th nhn din ht c cc yu t ri ro v cc kt qu d bo thng sai so vi thc t. Tm ra mt cng c phn tch d bo tt hn v ang l nhu cu bc thit cho cc nh lm chnh sch v c bit l cng chng u t. y chnh l c s cho ti Phn tch d bo gi & ri ro ca th trng c phiu nim yt Vit Nam c thc hin. 2. MC TIU NGHIN CU Mc tiu nghin cu ca lun vn l: ngdngmhnhARIMA,ARCH/GARCHdbophntchrirocath trng c phiu nim yt Vit Nam giai on hin nay; nh gi ng dng ca m hnh ARIMA, ARCH/GARCH v cc hng gi m pht trin cng c phn tch d bo hiu qu ny vo thc t. 3. I TNG, PHM VI NGHIN CU i tng nghin cu ca lun vn l th trng c phiu nim yt Vit Nam, c bit giai on t u nm n nay. 1 S d ti gii hn giai on nghin cu i vi th trng c phiu nim yt Vit Nam l nhm hng ti c cp nht phn nh tnh hnh hin ti ca th trng t c kh nng ng dng cao vo thc t. 4. PHNG PHP NGHIN CU VishtrcaphnmmkthutEviews,MhnhkinhtlngARIMAv ARCH/GARCH c s dng x l d liu ch s ca th trng c phiu nim yt, t tm ra m hnh d bo ph hp cho th trng Vit Nam ng thi phn tch mt s c im ri ro ca th trng. 5. NHNG IM MI CA TI Tuy cn nhiu hn ch nhng ti cng c nhng im mi sau:Mc d m hnh ARIMA v ARCH/GARCH c ng dng v gii thiu n cngngnghincuhcthutVitNamnhngrthimtilinquann chng khon c trnh by mt cch h thng v cp nht. Lun vn vi mong mun m hnh d bo phn tch th trng c phiu nim yt Vit Nam tm c trong giai on hin nay c th c dng nh l mt cng c tham kho ti cc cng ty ti chnh.aramtsluvngdngmhnhARIMA,ARCH/GARCHvcc hng m rng cch ng dng m hnh m trc kia trong cc ti khc khng cp. 6. KT CU TI Lun vn c trnh by thnh ba phn: Phn1:Tngquanvchuidliudng,mhnhARIMA, ARCH/GARCH Phnnygiithiutngqutvchuidliudngvlthuytmhnh ARIMA,ARCH/GARCHcngnhkinhnghimngdngmhnhARIMA, ARCH/GARCH trn th gii. Phn 2: Tng quan v th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCHThtrngcphiunimytVitNamnhthno,dinbinhnhvicath trng qua 10 nm lch s hnh thnh pht trin th trng v tnh hnh ng dng 2 3 mhnhdbophntchriroARIMA,ARCH/GARCHtiVitNamscho thy nhu cu cn thit c mt cng c phn tch d bo da trn m t c hnh vi th trng. l m hnh ARIMA, ARCH/GARCH.Phn3:ngdngmhnhARIMA,ARCH/GARCHphntchdbogi & ri ro ca th trng c phiu nim yt Vit Nam. Gingnhtacaphn3,tcgislnltsdngmhnhARIMA, ARCH/GARCH phn tch d bo gi & ri ro cho th trng c phiu nim yt Vit Nam giai on hin nay thng qua hai ch s chng khon Vn-Index v Hn-Index. Cui cng l mt s vn lu v cc hng m rng ng dng. Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH CHNG 1 TNG QUAN V CHUI D LIU DNGV M HNH ARIMA, ARCH/GARCH Y@Z Trc ht, chng ta n li cc khi nim c bn bao gm ch s gi chng khon, t sut sinh li v ri ro th trng. y l ci yu t u vo cng nh i tng cho m hnh phn tch d bo s c trnh by phn sau. Dliuchsgi,tsutsinhlivrirothtrnglccchuidliutheothi gian. im chung ca ba chui d liu ny l u th hin tm l ca nh u t thng qua din bin hnh vi v hng i ca d liu.Trong cng tc phn tch d bo c hai trng phi. Th nht, trng phi c in da vo cc m hnh kinh t l thuyt c xy dng nn bi cc hc gi, t ta thu thp d liu thc t xy dng nn cc m hnh theo ng l thuyt ri d bo theo n. Thhai,trngphihinitptrungcitincngtcdbovtindngvom hnh phn tch d bo chui thi gian. Phn tch chui thi gian s nghin cu hnh vi, khun mu trong qu kh ca mt bin s v s dng thng tin ny d on nhng thay i trong tng lai. Trong bi nghin cu ny, ti i theo hng ca trng phi th hai tc l m phng d liu trong qu kh ri ly lm c s d phng cho tnglaimkhngquantmnvicphntchccnhnttcngnchuid liu. Tuy nhin, d theo trng phi no th d liu chui thi gian u vo cho m hnh d bophilchuidng.Chuidngschothy nhng kt qu d bo phnnh c im trong qu kh hay nhng g din ra qu kh s xy ra hin ti v tng lai theongnhkchbnqukhcan.Nhnglmthnoxcnhcmt chui thi gian l dng? Chng ta s ln lt kim nh chui thi gian bng phng php gin tng quan v phng php kim nh n v. Sau khi xcnhcchuithigianlchui dng,tabtu dbovphntch chuithigiantheotnhngunhincandavonhngthngtincabnthn chui d liu trong qu kh. Phng php ARIMA v m hnh ARCH/GARCH s ln lt c gii thiu mt cch c bn cch thc ng dng trong vic phn tch v d bo mt chui thi gian.4 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH Ngoi ra kinh nim ng dng m hnh ARIMA, ARCH/GARCH trn th gii cho thy m hnh v ang pht trin ngy cng su trong cng tc phn tch d bo chui d liu ti chnh, c bit l th trng chng khon.1.1KHI NIM CH S GI, T SUT SINH LI, RI RO TH TRNG 1.1.1Ch s gi Ch s gi c phiu l thng tin th hin gi chng khon bnh qun hin ti so vi gi bnhqunthikgcchn.VitNamchaichschngkhoncbnlVn-IndexvHn-Index.Chaichsgichngkhonuctnhtheophngphp bnh qun gia quyn. Cng thc tnh nh sau: Trong : P1i: Gi hin hnh ca c phiu i Q1i: Khi lng ang lu hnh ca c phiu i P0i: Gi ca c phiu i thi k gc Q0i: Khi lng ca c phiu i ti thi k gc Chsgicphiuccoilphongvbiuthhintnhhnhhotngcath trng chng khon. y cng l cn c nh gi hot ng ca nn kinh t.1.1.2Sut sinh li ca th trng Sutsinhlicathtrnglthngtinlmcncnhgimchpdnkhi u t vo th trng. Cng ging nh sut sinh li ca mt c phiu, sut sinh li ca th trng c tnh ton da vo chui d liu ch s gi. Cng thc tnh t sut sinh li ca th trng: T sut sinh li tnh theo nguyn tc li kp vi s ghp li v hn v hot ng u t vtiutdinralintcnnsltchnhxchnnutnhtonsinhlitheo nguyn tc s k ghp li ri rc.1.1.3Ri ro ca th trng c phiu Theo Harry Markowitz1.1, ri ro c phiu c o lng bi phng sai hoc lch chun ca chui d liu t sut sinh li c phiu.Phng sai (2) = E((Ri E(Ri)2) 5 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH lch chun () = E((R- E(R)2) HaichsHn-IndexvVn-Indexcngmnhidinchothtrngcphiu nimytVitNamnnrirothtrngcphiuVitNamscolngbi phng sai hay lch chun ca chui d liu t sut sinh li th trng c phiu. Lu,vicngthctnhtrn,rirocacphiukhngphnbitulriroh thng hay ri ro phi h thng. iu ny khng nh hng n mc tiu ca ti v nghin cu i theo hng phn tch d bo gi v ri ro cho th trng c phiu nim ytVitNamthngquamphngvphntchbinngcachuidliugiv sut sinh li ca th trng m khng ch trng phn tch cc nhn t tc ng to ra tnh bin ng .1.2TNH DNG CA CHUI THI GIAN1.2.1Chui thi gian dng Khinimtnhdngrtquantrngtrongphntchchuithigian.Mtchuithi gian dng c c im sau: D liu dao ng xung quanh mt gi tr trung bnh c nh trong di hn, D liu c gi tr phng sai xc nh khng thay i theo thi gian, D liu c mt gin tng quan vi cc h s t tng quan s gim dn khi tr tng ln. Trcht,chngtagiithchkhinimtr.Yt-klchuithigianYt cktr ngha l phi mt k thi gian mi c d liu chui thi gian Yt. Khi s dng chui thi gian c tr, ta s b mt bin quan st. tr cng tng, s bin quan st b mt cng nhiu. Vn ny s tc ng ng k trong vic cn nhc la chn m hnh.Quay tr li c im ca mt chui thi gian c xem l dng, din t theo ngn ng thng k nh sau:E(Yt) l mt hng s cho tt c cc thi im t E(Yt) = Var(Yt) l mt hng s cho tt c cc thi im t Var(Yt) = E(Yt - )2 = 2 Cov(Yt,Yt-k)lmthngschottcccthiimtvkkhc0nghalhip phng sai gia Yt v Yt-k ch ph thuc vo di ca (k) v thi gian gia t v t-k,khngphthucvothiimt.Chnghn,Cov(Y12,Y7)=Cov(Y13,Y8)= 6 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH Cov(Y28,Y23)... Ta nn nh Cov(Yt,Yt-6) khng i nhng Cov(Yt,Yt-6) c th khc vi Cov(Yt,Yt-5).Cov(Yt,Yt-k) = k= E[(Yt - )(Yt-k - ] Gi s khi ta di chuyn li gi tr gc ca Y t Yt sang Yt-k. Nu Yt l mt chui dng thgitrtrungbnh,phngsai,vhipphngsaicaYt-k phibngtrungbnh, phng sai v cc hip phng sai ca Yt.Tm li, mt chui thi gian dng nu trung bnh, phng sai ca n khng i theo thi gian v hip 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.Nhnmtcchtrcquantahyxem hnhcamtchuithigiannhthnol dng. 600,000800,0001,000,0001,200,0001,400,0001,600,0001,800,0002,000,0002004 2005 2006 2007 2008 2009 th 1.1 Gi vng t 01/2004 n 05/2009 Chui c xu th tng khng dng th 1.2 Sut sinh li c phiu SAM giai on t 28/07/2000 n 26/03/2009 Chui dng -.10-.08-.06-.04-.02.00.02.04.06.082001 2003 2004 2005 2006 2007 20087 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH th 1.2 th hin mt chui dng v d liu c xu hng hi t xoay quanh mt gi tr nht nh trong khi th 1.1 biu th xu th tng vi trung bnh tng theo thi gian. Mt chui d liu dng lun c xu hng tr v gi tr trung bnh v nhng dao ng xung quanh gi tr trung bnh s l nh nhau. Ta cng c th suy ngc li, mt chui thigiankhngdngtheocchtanhnghavchuidngtrnscgitr trungbnhthay itheothigian,gitrphngsaithayitheothigianhocc hai. Ti sao chui thi gian dng li quan trng? Gujarati1.2 (2003) cho rng nu mt chui thi gian khng dng, chng ta ch c th nghin cu hnh vi ca n trong thi gian ang xem xt. Mi mt chui d liu theo thi gian s mang mt tnh tit nht nh v chthhinnhnghnhvicthtrongkhongthigian.Ktqul,chngta khng th khi qut ha cho cc giai on khc ngha l khng th ly c im ca chui thi gian giai on ny lm c im ca mt chui thi gian giai on khc.i vi mc ch d bo, cc chui thi gian khng dng nh vy c th s khng c gi tr thc tin. V nh chng ta bit, trong d bo chui thi gian, chng ta ngm nhxuhngvnngcadliutrongqukhvhinticduytrchocc giai on trong tng lai. Th nhng, nu bn thn d liu lun thay i th chng ta khng th d bo c iu g cho tng lai.Hn na, i vi phn tch hi quy, nu chui thi gian khng dng th tt c cc kt qu in hnh ca mt phn tch hi quy tuyn tnh c in s khng c gi tr cho vic d bo, v thng c gi l hin tng hi quy gi mo. Do vy, iu kin c bn nht cho vic d bo mt chui thi gian l n phi c tnh dng. 1.2.2Mt s qu trnh ngu nhin n gin (ph lc 1.1) 1.2.3Kim nh tnh dng1.2.3.1 Da trn lc tng quan (Correlogram) Mtcchkimnhngintnhdngldnghmttngquan(ACF-AutocorrelationFunction). AC tr k, k hik, c xc nh nh sau:F vi u bng ACF(k) = k = Cov(t,t-k)vu(t) Dochipphngsaivphngsaictnhbngcngmtnvo,nn k l mt i lng khng c n v o, l trung tnh, l s. N nm trong khong t -1 n 8 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH +1 ging nh bt k mt h s tng quan no. Nu chng ta v thk theo k, th th chng ta c c s l biu tng quan tng th. Barlett ch ra rng, nu chui l ngu nhin v dng th cc h s tng quan k s c phn phi xp x chun vi k vng ton bng khng v phng sai l 1/n vi n kh ln. Mt chui thi gian dng khi h s t tng quan gim bng 0 rt nhanh thng sau 2 n 3 tr.Cchstngquan k (k2)phnnhmckthptuyntnhcaYtvYt-k. Tuy nhin, mc kt hp gia hai bin cn c th do mt s bin khc gy ra. Trong trng hp ny, cc bin Yt-1, Yt-2 ..., Yt-k+1 nh hng n mc kt hp ca Yt v Yt-k. Do o mc kt hp ring r gia Yt v Yt-k, ngi ta xy dng mt s tng quan khc gi l h s tng quan ring p a Yt v Yt-k, k hiu lkk hn cPACF(k) = kk = k R-1]R-]R-1]=11- R-1]]R-1]=1 Trong phn tch hi quy bi, nu bin ph thuc c hi quy theo cc bin gii thch X2 v X3 th iu m chng ta quan tm l mun bit X2 nh hng ln Y nh th no khi loi tr nh hng ca X3 ln Y. iu ny c ngha hi quy Y theo X3, lu phn d,rihiquyphndtheoX2. Hstngquanringphn(PACF-Partial Correlation Function) cng c ngha tng t. PACF o lng mi quan h gia hai bin khi tt c nhng bin khng lin quan c gi khng i. th 1.5 Minh ha gin tng quan ca mt chui dng 1.2.3.2 Kim nh nghim n v (Unit Root Test) Mttiuchunkhckimnhtnhdnglkimnhnghimnv(unitroot test). Kim nh n v l mt kim nh c s dng kh ph bin trong nghin cu khoa hc thay v s dng gin tng quan v loi kim nh ny c tnh hc thut v chuyn nghip cao hn. Gi s ta c phng trnh t hi quy nh sau: 9 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH Yt = Yt-1 + Ut (-1 1) (1.3) Trong Ut l nhiu trng. Nu nh = 1, khi Yt l mt bc ngu nhin v Yt l mt chui khng dng. Do kim nh tnh dng ca Yt ta s kim nh gi thit : H0 : = 1(Yt l chui khng dng) H1 : < 1(Yt l chui dng) Phng trnh 1.3 tng ng vi phng trnh sau y : Yt Yt-1 = Yt-1 Yt-1 + Ut = (-1)Yt-1 + Ut

Yt = Yt-1 + Ut

Nh vy cc gii thit trn c th c vit li nh sau : H0 : = 0 (Yt l chui khng dng) H1 : < 0 (Yt l chui dng) Dickey1.3 v Fuller1.4 cho rng gi tr t ca h s Yt-1 s khng theo phn phi student m thay vo l phn phi xc xut (tau statistic). Kim nh thng k cn c gi l kim nh Dickey Fuller (DF). kim nh H0 ta so snh gi tr thng k tnh ton vi gi tr thng k tra bng DF. Nu || > |u| th bc b gi thit H0, ngha l Yt l mt chui dng. Tiu chun DF c p dng cho cc m hnh sau : Yt = Yt-1 + Ut

Yt = 1 + Yt-1 + Ut

Yt = 1 + 2t +Yt-1 + Ut (1.4) Nu Ut t tng quan c ngha l Yt ph thuc c cc Yt-i trong qu kh nh Yt-1, Yt-2 ...th ci bin m hnh (1.4) nh sau : Yt = 1 + 2t + Yt-1 + om=0 Yt- + t (1.5) KimnhDFnhphngtrnh1.5cgilkimnhDFmrng(ADF-Augmented Dickey Fuller Test). 1.3M HNH ARIMA (Autoregressive Integrated Moving Average) 1.3.1Qu trnh t hi quy (Autoregressive Process AR) Nh trnh by trong c ch t hi quy bc nht, bin ph thuc c hi quy theo cc bin tr ca n. Qu trnh t hi quy bc nht AR (1) c biu din nh sau: Yt = Yt-1 + Ut, Ut l nhiu trng 10 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH y l m hnh n gin nht ca c ch t hi quy. M hnh tng qut ca qu trnh t hi quy bc p k hiu AR(p) c dng: Yt = 0 + 1Yt-1 + 2Yt-2 +...+ pYt-p + Ut, Ut l nhiu trng iu kin Yt dng l -1< i0 th chng ta c th ni rng c s bt cn xng trong tc ng gia tin tc tt v tin tc xu. Ngc li, nu ] = 0 th tc ng ca tin tc c tnh cht cn xng.16 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH Trn l nhng kin thc nn tng ca m hnh ARIMA, ARCH/GARCH. u im ca m hnh cho ta thy kh nng ng dng rt cao cho cng tc d bo v phn tch ri ro ca cc d liu ti chnh, c bit l chui d liu ca th trng chng khon.Tuy th gii ch mi bit n v s dng m hnh k t cui th k XX nhng ch vi chcnmvishtrcakhoahccngnghthngtinngdng,mhnhcng cnhnrngvphttrinlnmttmcaomi.Kinhnghimsdngmhnh ARIMA, ARCH/GARCH trn th gii trong lnh vc chng khon s cho ta thy iu .1.5KINHNGHIMSDNGMHNHARIMA,ARCH/GARCHTRN TH GII TRONG LNH VC CHNG KHON 1.5.1ng dng m hnh ARIMA KtkhixutbncunschTimeSeriesAnalysis:ForecastingandControl(Phn tch chui thi gian: D bo v kim sot) nm 1970, mt k nguyn mi ca cc cng c d bo c m ra c bit khi phn tch d liu chui thi gian, trong phng php lun ARIMA c bit rng ri v c tm nh hng nht Ti hi ngh quc t IEEE t ngy 03 n ngy 06 thng 6 nm 1996 din ra ti M,hai hc gi Jung-Hua Wang v Jia-Yann Leu thuc trng i hc i dng quc gia iLoancngbktqudboxuhngchsgiTSEWSIcathtrng chng khon i Loan trong trung hn theo m hnh ARIMA (1,2,1). Vi kt qu ny vic d bo cho th trng chng khon i Loan cho 6 tun ti vi chnh xc chp nhn c v tt hn cc m hnh d bo khc. Hocgny06/2010,giosEmenikeKaluO.cngtctikhoaTichnhNgn hngthuctrngihcNigeria,bangEnuguthxydngmhnhARIMA (1,1,1) d bo th trng c phiu Nigeria cho giai on t 01/1985 n 12/2009 th kt qu cho thy d bo ARIMA c v tng thch vi thc t giai on 01/1985 n 12/2008 nhng li vt tri so vi kt qu thc t trong giai on th trng chu tc ng ca khng hong kinh t ton cu nm 2009. Nh vy, khng hong kinh t phhymitngquangiahintiviqukh,chnhvvyktqudbos dng m hnh ARIMA li t ra sai lch khi gp mt c sc ln i vi th trng.17 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH y l nghin cu c lp m hnh ARIMA, ta cng thy c v nh ARIMA khng phi lun ng trong mi trng hp, n ph thuc vo giai on ly mu ca chui d liu. Thng tin tc ng trong mi thi on y khc nhau s tc ng tng ng n hiu qu d bo ca m hnh ARIMA. Mt nhm cc hc gi ngi cng nhau phn tch d bo th trng chng khon s dng ng thi m hnh ARIMA v m hnh a nhn t APT1.8. Kt qu cho thy c hai u tt v c tin cy nht nh khi d bo v thng tin ca th trng chng khonthtslyutquytnhngitnglaingayckhinctnhchtch quan trong qu trnh truyn t thng tin. Tuy nhin khi so snh ARIMA vi m hnh FFNN (Feed Forward Neutral Networks M hnh mng li thn kinh tin tip), tc gi Ashish Gajanan Lahane 08/2008 khi d bo cc ch s chng khon n li cho thy ARIMA mc d d on v hng i ca th trng tt hn nhng d bo v gi tr th km hn m hnh FFNN.M hnh FFNN l mt nhnh ca l thuyt m phng b no con ngi da trn s di chuyncclungthngtintruynquaccnron.MhnhANN(ArtificialNeural Network M hnh mng thn kinh nhn to) cng l mt hnh thc nh vy. Nhng nghincugnyxutkthpmhnhANNvARIMAchoramhnh SARIMABP(Tsengnm2002)haynhmhnhGRANN_ARIMA(Temizelv Ahemadnm2005).CcnhnghincuNitinMerh,VinodP.SaxenavKamalRaj Pardasani trong tc phm so snh nhng m hnh kt hp ANN vi ARIMA trong vic d bo xu hng ca th trng chng khon n nm 2010 thc hin ng dng trn cc ch s BSE IT, BSE 100, S&P CNX Nifty. 1.5.2ng dng m hnh ARCH/GARCH Thut ng ARCH/GARCH xut hin vo thp nin 90 nhng ch tht s ph bin chc nmtrliy,ccnghincu ARCH/GARCH hin angtrongqutrnhphttrin c bit ng dng cao trong phn tch ri ro. Ring lnh vc chng khon, ti c th k ra mt s tc phm ng dng nh sau: Trong tc phm ng dng m hnh GARCH d bo s bin ng ca th trng chng khon Malaysia, cc hc gi trng i hc Putra s dng d liu ch s gi 18 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH tSgiaodchchngkhonKualaLumpurphntchvdborirocath trng. Nm2006,tpthnhnggiostrngihcWollongongccngbktqu nghincutcng qua ligia thtrng chngkhonThiLanvccthtrng khc,tronghsdngmhnhGARCH-Mphntchtrndliuthngt 01/1988 n 12/2004. Ngoira,mhnhGARCHcthcsdngphntchvnthaotnggi hoc thng tin bt cn xng trn th trng chng khon bi cc nh nghin cu i Loan nm 2007. Hcng ngdngARCH(3)-M chngminhchnhgim pht k vnglnguynnhngyrasbinngcathtrngchng khon thi k khng hong kinh t 1997-1998 trong khi phn b ri ro tng ng li khng i.M hnh GARCH cn c dng phn tch ri ro cho cc c hi u t quc t theo nghincusinhMariusMateithucVinnghincukinhtqucgiaTyBanNha nm 2010. Trong bi nghin cu, nhng ci tin ca m hnh cng c xut.Cn rt rt nhiu cc nghin khc trn th gii v mt ng dng ln ci tin m hnh ARIMA v ARCH/GARCH trong lnh vc chng khon m ti cha th trnh by ht. iu ti mun ni y l trong th gii hc thut ngy nay, cc nghin cu l thuyt ngy cng kt hp cht ch vi cng ngh ton tin hc. V vy kh nng ng dng v trin khai vo thc t cng nhanh chng. KT LUN CHNG 1 Ch s Vn-Index v Hn-Index l hai i tng nghin cu trong vic phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam. Sut sinh li ca th trng c tnh theo nguyn tc li kp vi s ghp li v hn v ri ro th trng c o lng bi phng sai hay lch chun ca chui d liu sut sinh li th trng. cng tc d bo tin cy cao v chun xc th chui d liu phi dng. Chui dng l chui m trung bnh, phng sai ca n khng i theo thi gian v hip 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. Ta kim tra tnh dng da trn lc tng quan hay kim nh n v. Sau khi c d liu dng ta xy dng m hnh ARIMA d bo cho chui d liu. M hnh kt 19 Chng 1 Tng quan v chui d liu dng v m hnh ARIMA, ARCH/GARCH 20 hpqutrnhttngquanvtrungbnhtrtmphngdinbinchuidliu trongqukhdbochotnglaiviginhtnglailplinhnhngg trong qu kh.MtcimcamhnhARIMAlphngsaikhnginhngtrongthct phng sai c bin i. M hnh ARCH/GARCH khc phc iu khi m t phng sai ph thuc vo gi tr ca n trong qu kh. V vy n c dng phn tch v d bo ri ro. MhnhARIMA,ARCH/GARCHchmickhi xngt vi chcnmtrli y, nhng vi s pht trin ca khoa hc cng ngh, th gii v ang nghin cu m hnh ARIMA, ARCH/GARCH mc ngy cng su, tin ti kt hp vi nhng mhnhphntchdbotintinkhcnhmhnhmnglithnkinhtintip (FFNN), m hnh mng thn kinh nhn to (ANN)... Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH CHNG 2 TNG QUAN TH TRNG C PHIU NIM YT VIT NAM & TNH HNH THC T NG DNG M HNH ARIMA, ARCH/GARCH Y@Z Chng 1 khi qut mt s kin thc nn v m hnh d bo phn tch ri ro ca mt chui d liu theo thi gian v kinh nghim s dng m hnh trn th gii trong lnh vc chng khon. y l c s cho vic ng dng vo th trng c phiu nim ytVitNamvdliutthtrngnyhuhtldliutichnhbinngcao theo thi gian nn rt thch hp cho p dng m hnh ARIMA, ARCH/GARCH. Trckhiivophnngdng,chngnyscpntngquanthtrngc phiu nim yt Vit Nam, bao gm cc vn sau: Gii thiu khi qut c im ca mt th trng c phiu nim yt l nh th no. Thng k t sut sinh li v ri ro ca th trng c phiu nim yt Vit Nam trong mi tng quan so snh vi th gii.Nhn li lch s bin ng ca th trng c phiu nim yt Vit Nam nhn nhcbnvdinbintmlcathtrng.ylldotacaovaitr ca vic m phng hnh vi chui d liu trong qu kh khi phn tch d bo gi v ri ro ca th trng c phiu nim yt Vit Nam. Kt thc chng l phn trnh by lin quan n tnh trng thc t cng tc phn tch d bo gi & ri ro th trng chng khon ca cc chuyn gia ti chnh ti th trng cphiunimytVitNam.Tnubttmquantrngcavicngdngtrin khai m hnh ARIMA, ARCH/GARCH i vo hot ng t vn u t trn th trng c phiu nim yt Vit Nam. 2.1 TNG QUAN V TH TRNG C PHIU NIM YT VIT NAM 2.1.1c im ca mt th trng c phiu nim yt Vit Nam Th trng c phiu nim yt Vit Nam chnh thc thnh lp v i vo vn hnh vo ngy28/07/2000vi02cphiuREE(CngtyCphnCinLnh)vSAM (CngtyCphnCpvVtliuVinthng)giaodchtrnTrungtmgiaodch 21 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH Chng khon Thnh ph H Ch Minh. Tri qua hn 10 nm hot ng, th trng tht s tr thnh mt knh huy ng vn trung v di hn hiu qu gp phn to ng lc pht trin kinh t. Sn giao dch chng khon pht trin thnh hai sn giao dch c qun l kim sot bi hai c quan qun l l S Giao dch Chng khon Thnh ph H Ch Minh v S Giao dch Chng khon H Ni. Mi sn giao dch c nhng khc nhau v quy m, cc tiu chun nim yt v quy nh qun l.Vicxydngvphttrinmtmhnhqunlhotnggiaodchchngkhon phntngnhvykhngnhngtoramtcchthngthong,linhhotchocc cng ty i chng mun qung b hnh nh ca mnh n gn vi cng chng u t mcnlmtngkhnngkimsotqunlhotngcacccngtyichng nhm bo v cc li ch chnh ng ca cc nh u t. Mt s nt chnh ca hai sn giao dch chng khon nim yt. 2.1.1.1 S Giao dch Chng khon Thnh ph H Ch Minh (Hsx) S Giao dch Chng khon Thnh ph H Ch Minh tin thn l Trung tm Giao dch ChngkhonThnhphHChMinh,cchuynitheoQuytnh599/Q-TTgngy11/05/2007caThtngChnhph.Nhngcngtyccphiuc nim yt ti S giao dch Thnh ph H Ch Minh phi tha mn cc tiu chun sau: L cng ty c phn c vn iu l gp ti thi im ng k nim yt t 80 t ng Vit Nam tr ln tnh theo gi tr ghi trn s k ton; Hotngkinhdoanhhainmlintrcnmngknimytphicli, khngcllu ktnh nnmngknimytvkhngccckhonn qu hn cha c d phng theo quy nh ca php lut; Ti thiu 20% c phiu c quyn biu quyt ca cng ty do t nht 100 c ng nm gi; ... Nh vy, S Giao dch Chng khon Thnh ph H Ch Minh ging mt b lc chn ra nhng c phiu tt nht hoc nhng i tng u t ng tin cy cho cng chng. Vichcnnggimstvqunlhotnggiaodchcccphiutiuchun nim yt, S Giao dch Chng khon Thnh ph H Ch Minh gp phn lm tng 22 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH tnhminhbchthtrngmbohotngthtrngctinhnhcngkhai, cng bng, trt t v hiu qu. th 2.1 S lng cc cng ty nim yt ti sn Hsx qua cc nm Ngun Hsx 2.1.1.2 S Giao dch Chng khon H Ni (Hnx) SGiaodchChngkhonHNi(Hnx)cthnhlptheoQuytnhs 01/2009/Q-Ttgngy2/1/2009caThtngChnhphtrncschuyni,t chc li Trung tm Giao dch Chng khon H Ni. y l ni giao dch cc c phiu ca cc cng ty i chng c hot ng kinh doanh tt nhng cha t chun nim yt ti S Giao dch Chng khon Thnh ph H Ch Minh. Nhng iu kin c bn bt buc i vi mt cng ty nim yt trn SGDCK H Ni bao gm: L cng ty c phn c vn iu l gp ti thi im ng k nim yt t 10 t ng Vit Nam tr ln tnh theo gi tr ghi trn s k ton; Hotngkinhdoanhcanmlintrcnmngknimytphicli, khng c cc khon n phi tr qu hn trn mt nm v hon thnh cc ngha v ti chnh vi Nh nc; C phiu c quyn biu quyt ca cng ty do t nht 100 c ng nm gi; Vi nhng tiu chun nim yt nh trn cho ta thy cc cng ty nim yt ti SGDCK Tp. H Ch Minh ln hn v quy m, i chng ho hn v phi tun th cc yu cu khtkhehnvchtlnghotngkinhdoanhsovicccngtynimytti SGDCK H Ni.0501001502002503002000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010*51020 222733108141174200271S lngNm23 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH th 2.2 S lng cc cng ty nim yt ti sn Hnx qua cc nm Ngun Hnx ChcnnhnvobiuslngcccngtynimyttihaisnHsxvHnxqua ccnmtacngthyccbnsphttrinvquymcathtrngcphiu nimytVitNam.cbit2006cxtlctmcquantrngnhduspht trin vt bt ca th trng c phiu Vit Nam khng ch ring g th trng nim yt m cn th trng OTC2.1. Trc nm 2006 c th xem l giai on th nghim vn hnhthtrngcphiucnrtmimVitNam.Ktthiimtphnm 2006 th th trng vn ni chung v th trng c phiu nim yt Vit Nam ni ring mithtshamnhvoqutrnhphttrinkinhttnc,trthnhphongv biu cho nn kinh t ang pht trin nh Vit Nam.2.1.2ThngktsutsinhlivrirocathtrngcphiunimytVit Nam trong mi tng quan so snh vi th gii Vit Nam l nc ang pht trin nn c xp vo nhm cc nc c nn kinh t mi ni. Mc khc, th trng c phiu nim yt Vit Nam ch mi tri qua hn mi nm hnh thnh v pht trin cn rt non tr so vi cc th trng trn th gii. V vy, s bin ng ca th trng c phiu nim yt Vit Nam s cao hn cc th trng khc, nhng b li t sut sinh li s thu c kh hp dn cho cc nh u t. 0501001502002503003502005 2006 2007 2008 2009 2010*577103160255349S lngNm24 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH th 2.3 T sut sinh li (%) cc th trng pht trin t 2000-2009 (ph lc 2.1) Ngun: International Monetary Fund, Global Financial Stability Report, Responding to the Financial Crisis and measuring Systemic Risk, April 2009 (IMF ly t MSCI), ct s liu ca 2009 thu thp t http://www.mscibarra.comV d t sut sinh li cc th trng pht trin ca giai on 2000 n 2009 cao nht l 82,5% tht nht l -72,7%, trong khi ti cc th trng mi ni c t sut sinh li cao nht ln ti 154,5% v thp nht l -75,4%. Ngoi ra, i chiu th 2.3 vi th 2.4 cho thy th trng cc nc pht trin c xu hng t sut sinh li kh ng nht hn cc th trng mi ni. Kh nng tm kim li nhun ti cc th trng cc nc ang pht trin b phn ha nhiu.6040200204060802000 2001 2002 2003 2004 2005 2006 2007 2008 2009T sut sinh li (%)FranceGermanyHongKongItalyJapanSingaporeU.KUS25 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH th 2.4 T sut sinh li (%) cc th trng mi ni t 2000-2009 (ph lc 2.2) Ngun:InternationalMonetaryFund,GlobalFinancialStabilityReport,Responding totheFinancialCrisisandmeasuringSystemicRisk,April2009(IMFlytMSCI), ct s liu ca 2009 thu thp t http://www.mscibarra.com Trong , Vit Nam ni ln t nm 2006 tr thnh mt th trng kim li nhiu nht t 144,4% sau khi Ai Cp t v tr qun qun cho th trng hp dn nht vo nm 2005 t n 154%. Tuy nhin thi gian t nm 2008 2009, Vit Nam l mt trong th trng km hp dn nht khi t sut sinh li gim mnh xung gn mc thp nht-65,9% v phc hi ch t mc trung bnh so vi th gii 56,8%. Nh vy th trng cphiunimytVitNamrirokhcaotrongmitngquanviccthtrng khc. th 2.5 cng cho thy r iu ny. 100500501001502002000 2001 2002 2003 2004 2005 2006 2007 2008 2009T sut sinh li (%)WordEMLa.AmericaAsiaE,Md.EastEgyptVietNam26 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH th 2.5 Phn tn ca t sut sinh li lch chun cc th trng(d liu nm ha t 08/2000 n 12/2008) Ngun: http://www.mscibarra.com v tnh ton tc gi Mtlnnatathyccncangphttrintrnnthuhtccnhutbikh nng kim li t cao hn cc nc pht trin nhng ng thi ri ro mang li cao tng ng. Vit Nam xem ra l nc th hin c tnh ny r nht.L do chnh lm ri ro ca th trng c phiu nim yt Vit Nam cao l hnh vi u t theo cm tnh ca nh u t trn th trng. Nhn li lch s bin ng th trng c phiu nim yt Vit Nam qua phn tch hnh vi ca nh u t s th hin iu .2.1.3Nhn li din bin hnh vi ca th trng c phiu nim yt Vit Nam trong 10 nm qua ChinaIndiaIndonesiaKoreaMalaysiaPakistanPhilippinesTaiwanThailand RussiaVietnamAustraliaGermanyHongKongJapanSingaporeUKUS0.10.0500.050.10.150.20.250 0.1 0.2 0.3 0.4 0.5 lch chun Sut sinh li27 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH th 2.6 Din bin 10 nm th trng c phiu nim yt Vit Nam Ngun Hnx & Hsx Giai on 2000-2005 - Giai on khi s S ra i ca th trng c phiu nim yt Vit Nam c nh du bng vic a vo vn hnh Trung tm giao dch chng khon TP.H Ch Minh ngy 20/07/2000 v thc hin phin giao dch u tin vo ngy 28/07/2000. thi im lc by gi, ch c hai doanh nghip nim yt hai loi c phiu (REE v SAM) vi s vn 270 t ng. Ging nh nhng bc i chp chng ca mt a b, th trng ho hc vi ch s VN-Index tng tin thng n mc 571,04 im ri vp ng rt gi mt cch thng tut xung khong 200 im. K t nm 2001 n nm 2005, th trng din bin theo trng thi g gt tri st trong bin 130-300 im. Nguyn nhn chnh l th trng giaodchvithnghocaccdoanhnghipnimytquymnh,thnghiu khng thu ht cc nh u t trong khi room cho nh u t nc ngoi ht. Giai on ny ging nh th trng ng ng, chng khon hay c phiu vn cn l nhng t ng, khi nim xa l i vi cng chng.Mckhc,tcngkinhtxhicathtrnglkhng ng k.Thtrngcha th hin ng tm mc quan trng ca n trong th trng vn hay th trng ti chnh Vit Nam. Ta c th thy iu ny thng qua t l phn trm mc vn ha th trng so vi GDP nh sau: Khi s Tng tc Lao dc 28 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH Bng 2.1 Bng t l % mc vn ha th trng so vi GDP NmT l %20000,28% 20010,34% 20020,48% 20030,39% 20040,65% 20051,21% Ngun Hnx & Hsx Dotnhidincathtrngcphiunimytchonnkinhtrtthpnnth trng bin ng hon ton c lp vi cc bin kinh t v m. V th, din bin ca thtrngphnlntheohnhviutcanhutcnhnlcimchyu cho giai on ny. Ngy 8/3/2005, Trung tm giao dch chng khon H Ni (TTGDCK HN) chnh thc i vo hot ng v quy nh nng t l nm gi ca nh u t nc ngoi t 30% ln 49%trlnhvcngnhng)dnlmtnhngthtrngcphiunimytni ring v th trng chng khon ni chung.Giai on nm 2006: Bc pht trin t phMc thi gian k t u nm 2006 c coi l mang tnh cht pht trin t ph, to cho th trng chng khon Vit Nam mt din mo hon ton mi vi hot ng giao dch si ng v nh hng tch cc n c th trng OTC. Vi mc tng trng t ti 60% t u n gia nm 2006, th trng c phiu Vit Namtrthnhtm"im"ctctngtrngnhanhthhaithgii,chsau Zimbabwe. Cc nh u t trong ln ngoi nc bt u b li cun vo mc sinh li khngthtthntutcphiu.Ngycngcnhiunhutthamgiath trng, tnh nthng 12 nm 2006 c trn 120.000 ti khon giao dch chng khon cm,tronggn2.000tikhoncanhutncngoi,iunykch thch cho th trng c phiu nim ytVit Nam c s pht trin vt bc. Cui nm, 29 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH ch s Vn-Index ti sn giao dch TP. H Ch Minh tng 146,3% trong khiti sn giao dchHNichsHastc-Indextng152,4%,tnggitrvnhat13,8tUSD chim 22,7% GDP. Giai on nm 2006 c th c xem l thi im vng thm ch mt s b phn nh u t cho rng y l c hi ngn nm c mt ca th trng c phiu nim yt Vit Nam. Thi k tng tc ca mt th trng cn ht sc s khai m ngi ta hay ni l giai on tranh ti tranh sng, lp lp cc nh u t mi xut hin lin tc hng ngy, nh nh u t khng chuyn nghip ln chuyn nghip u kim bi tin mt cch d dng. T m ng hiu k n m ng thi c tr thnh m ng i gia trn th trng c phiu nim yt Vit Nam l mt hin tng c bit trong lch s pht trin th trng c phiu Vit Nam.Cc nh u t trong giai on m ti tm gi l hn lon ny a phn u t theo tin tc, h tn dng cc giao dch ni gin v sn lng cc c phiu c k hoch nim yttrongnm2006khimhthnggimstqunlthtrngcphiuVitNam michbtuxydng.Lngvnvothtrnglintc,cphiutrthnh mt loi hng ha c t sut sinh li v ch th vic u t thua l trong giai on ny s l rt k l trong cng ng u t. Hin tng ny ko di sang nm 2007 nh cn men say tip tc lm ht hn cc nh u t hng hi cm c nh ca t ai, s dng n by ti chnh dn vn vo th trng c phiu sinh li v cng hp dn. Thc t cho thy th trng c phiu nim yt Vit Nam c mi tng quan nht nh vi cc bin ng ca nn kinh t v m nhng tm l u t by n lm mo m mi quan h , dn n th trng tng trng qu nng vt khi tm kim sot. Giai on nm 2007: Bng n v iu chnh Bc sang nm 2007, cc nh u t ca nm 2006 tr thnh nhng i gia giu c n r nh nm sau cn ma ro. Th trng c phiu Vit Nam tr nn qu hp dn mt cch bt bnh thng. Mt s cnh bo v hin tng bong bng ca th trng t cc hc gi vn khng lm chn bc tm l u t theo by n ang hng hc tin ln nh. H khng ngh rng sau nh ni s l dc ni m a phn u hy vng sau nh s l mt nh khc do h t thit lp. Qu t tin v phn ng thi qu vi cc tin tc kinh t chnh l hnh vi chi phi s tng tc mnh m ca th trng. V ri k lc 30 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH vi ch s VN-Index 1.170,67 im sau 7 nm hot ng v Hastc-Index 459,36 im sau 2 nm hot ng c thit lp nh l mt kt cc tt yu. Tklcchsdnnhnglotccchtiuklcvthtrngmhmnayta nmmcngkhngthnghti.Tngtrngvitclnnhtkhitmctng 126%chtrongvng3thnggiaodch.Nh,tnggitrvnhacathtrng tronggiaionnylnncons398.000tngchim80%tnggitrvnha 492.900 t ng ca c nm 2007. n tng mnh nht giai on ny l hu ht gi cc c phiu tng trng vi tc phi m, ng lot cc c phiu t Bluechip, Penny stock , cc c phiu mi nim yt trn sn tt c u t mc tng trng trn 50% gitrsovimcgigiaodchunm,trongcnhngcphiutmctng trng trn 100% nh: STB (113,57%), REE (122,66%), ACB (197%)... Rt nhiu m CPthitlpmcginhktkhilnsntronggiaionnynh:SJS(728.000 /CP), FPT (665.000 /CP), DHG (394.000 /CP), REE (285.000 /CP), SSI (255.000 /CP),SAM(250.000/CP),KDC(246.000/CP),VNM(212.000/CP),ACB (292.000 /CP) Trcnilosvmtthtrngbongbng,cccquanqunlnhnccng nh Chnh ph vo cuc gim nhit th trng bng cc bin php kim sot th trngchtch,banhnhnhngthitchgimstngtrngqunngcath trngnhchth032.2,lutthuthunhpcnhn vccthngtnghnhhng dn thi hnh lut chng khon. Th trng c nhng t iu chnh dao ng mnh vo nm thng gia nm, tip n l mt t phc hi trc khi i vo thoi tro trong bnthngcuinm.Ktthcphingiaodchcuinm,Vn-Indext927,02im, Hastc-Indexdngmc323,55im.Nhvysau1nmhotngVn-Indext cmctngtrngl23,3%;Hastc-Indextng33,2%sovimcimthitlp vo cui nm 2006. Giai on 2008: Lao dc Nu nh t iu chnh gia v cui nm 2007 ch l bi tc ng ch quan ca c quan qun l nh nc nhm hng s pht trin ca th trng c phiu nim yt Vit Namtheohngbnvngthtgimmnhgicphiunm2008libclhu qu giai on tng nng thiu kim sot ca th trng nm 2006-2007. Hu qu y l 31 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH Index gim im, th gi cc loi c phiu st mnh (nhiu m c phiu ri xung di mnh gi), tnh thanh khon km, s thoi vn ca khi ngoi, s can thip ca cc c quan iu hnh v s m m trong tm l cc nh u t. Nhng nguyn nhn chnh y th trng lao dc c th k ra y nh sau: Cung vt cu Hintngcungvtculdotrongnm2008,lngcungtiptccbsung ng k thng qua vic chnh ph y mnh c phn ho doanh nghip nh nc, c bitlccdoanhnghipquymln,kinhdoanhhiuquvbnbtvnnhnc trong cc doanh nghip c phn ha, cha k hng lot ngn hng, cng ty chng khon, doanh nghip... pht hnh c phiu tng vn iu l v tn dng thi c ly thng d vn dnn tnh trng th trng chng khon tha "hng" trong khi cu h nhit. Tc ng t nhng tn hiu xu ca nn kinh t v m Cc thng tin tc ng xu ti tm l nh u t xut pht t ni ti nn kinh t bao gm s gia tng lm pht, chnh sch tht cht tin t ca ngn hng nh nc, s leo dc ca gi xng du v sc p gii chp t pha ngn hng i vi cc khon u t vo th trng chng khon. Khng hong ti chnh ton cu Nguyn nhn tc ng ln nht ti th trng c phiu trong giai on ny chnh l s lantamnhcacuckhnghongtichnhtrntonthgii.Cuckhnghong ny gy ra v hng lot h thng ngn hng, nhn chm gi chng khon v tin t nhiu nc trn th gii.Trc thc trng kh khn c th dn ti v th trng, cc c quan iu hnh bt u a ra nhng ch trng v bin php h tr: y ban chng khon nh nc thu hp bin giao dch; Tng cng ty u t v kinh doanh vn nh nc (SCIC) tham gia mua vo c phiu; Ngn hng thng mi c vn ng ngng gii chp; T chc nim yt c khuyn khch mua vo c phiu qu. 32 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH Tuy nhin, th trng c phiu nim yt Vit Nam vn kt thc nm 2008 vi kt qu ti t ca mt th trng gim im mnh nht th gii. Vn-Index mt im 66% cn 315 im v Hastc-Index cng gim ti 67,5% trong khi ch s chng khon ln trn th gii ch gim 35%-45%.Mt ln na hnh vi phn ng thi qu nhng l phn ng ngc dn th trng gim mnh vi tc ngang bng nh thi k tng trng nng 2006-2007. Giao on nm 2009 - nay: hi phc v sideways (th trng i ngang) Nm 2008 nh mt ci dc trt di khng c im dng th nm 2009 xc lp mc hi phc ca th trng. cng chnh l im y 235,50 im ca ch s VN-Index.Nh s hi phc ca nn kinh t th gii, ch s chng khon v chnh sch kch cu ca Chnh ph, th trng o chiu tng mnh. Tnh n ngy 31/12/2009 th VN-Indextng58%tmc312,49imn494,77imvHNX-Indexhiphc 60,9%.Bc sang nm 2010, tm l thn trng v ngn hn (tham kho Ph lc A) v nn hnh sideways cho th trng c phiu nim yt Vit Nam. Nh vy, chng ta n li nhng im c bn ca din bin th trng c phiu nim yt trong 10 nm qua. Mt chng ng khng phi l di i vi lch s ca mt th trngcphiunutaemsosnhviccthtrngcphiutintinkhc.Tuy nhin, khng bit c phi l iu ngu nhin hay do tnh cht ca s pht trin ca mt thtrngthikskhaimdintinthtrngcphiunimytVitNamnh cun phim quay chm c y cc c im ca lch s pht trin ca mt th trng cphiunimyt:tngtc,tngtrngbongbng,laodckhngphanh,khng hong, sideway... u c . Th trng c phiu nim yt Vit Nam tr thnh mt th trng y th thch i vi bt k mt nh u t ti chnh no mun kim li t th trng Vit Nam.Ringti,cthktlunthtrngcphiunimytVitNamcmtiuchc chn l khng c g l chc chn. y chnh l yu t bt nh, mt khi nim cng l mtitngnghincucacchcginhmbinnthnhyutrirocth kimsotc.Vvy,tmcmtcngcnoctholngvphntch c ri ro tr thnh thch thc y hu ch cho ai tm ra n.33 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH Tr li th trng c phiu nim yt Vit Nam, sut chiu di lch s pht trin ca th trng, yu t hnh vi chi phi phn ln bin ng th trng nn to ri ro cao tng i so vi th trng th gii. Phn tch v d bo ri ro da vo kim sot mi tng quan gia cc bin kinh t v m v bin ng th trng dng nh khng my hiu qu v thng to ra kt qu sai lch so vi thc t. Mt cng c hu ch c cc nh nghin cu kinh t th gii p dng trong d bo v phn tch ri ro cho th trng c phiu nim yt hin nay s h tr gii quyt vn . y chnh l m hnh ARIMA vmhnhARCH/GARCHdngphntchdbogi&rirochothtrng chngkhondatrnhnhvicadinbinthtrnghnlnhndinccnhnt kinh t tc ng n th trng.Trckhi i vo kthut ngdngmhnh,tistrnhbytng quan vtnhhnh thctngdngmhnhARIMA,ARCH/GARCH,t nu btnhucu cnthit a m hnh vo cng tc phn tch d bo th trng c phiu nim yt Vit Nam. 2.2 TNH HNH THC T NG DNG M HNH ARIMA, ARCH/GARCHTi thc hin kho st cc m hnh phn tch d bo m cc chuyn gia ti chnh hin nay s dng d bo v phn tch ri ro cho th trng c phiu nim yt Vit Nam (tham kho Bng cu hi ph lc A.2). Quy m mu kho st l 91 ngi lm victicccngtychngkhonVitNamnhBSC,SSI,TLS,uVit,Beta, ACBS..., trong 79 ngi l chuyn vin chim 86,8% mu kho st, phn ln lm vic trong cc phng phn tch u t v t vn ti chnh doanh nghip, cn li 12 cn bqunlphng.Nhvytnghpcccutrlica91chuyngiachngkhon ny gn nh l xu hng chung ca th trng c phiu nim yt. Kt qu (ph lc A.3) cho bit phng php d bo phn tch ri ro m cc chuyn gia ti chnh c s dng l phn tch k thut v phng php hi kin chuyn gia trong khimhnhhiquynhnqu2.3,VAR2.4c nghebit,mtstcquantmnhng khng bit cch s dng. Cn m hnh ARIMA, ARCH/GARCH hu nh l cc khi nim hon ton mi i vi cc nh lm ti chnh thc t. Ngay c phng php phn tchkthutvhikinchuyngiacsdngnhngcngkhngthngxuyn. ylktquthtbtng,nchothytnhkhngchuynnghipcathtrng chngkhonVitNamvccnhutcnhnnhkhngc chuynmn kin thc cng nh cng ngh s dng cc m hnh hc thut vo thc t th c cc 34 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH chuyn gia t vn u t t vn ti chnh cng bit rt s si v cc m hnh phn tch d bo gi & ri ro. Phng php phn tch k thut c xem l c ng dng nhiu nht trong nghin cu, t vn v phng php hi kin chuyn gia cng c mc s dng ngang bng vi phng php phn tch k thut. Vn t ra l phi chng cc nghin cu v t vn ti chnh ca cc chuyn gia ti chnh thc t hin nay phn ln l cc kin ch quan khng c c s khoa hc. Cc nh u t da trn thng tin t cc chuyn gia. Cc chuyn gia li s dng kin ca cc chuyn gia khc th v hnh trung th trng c iu khin bi mt m hn n cc kin ch quan thiu c s. Gi s cc chuyn gia ti chnh thc t hi kin t cc hc gi, cc nh lm nghin cu th lm sao h hiu c v tin c khi h hiu bit rt t v cc m hnh phn tch d bo gi & ri ro c c s khoa hc. T trc ti nay, chng ta thng li cho tnh tm l by n ca th trng chng khon Vit Namlnguynnhnlmchoccmhnhlthuytkhngpdngcnhngqua cuc kho st, tnh thiu chuyn nghip ca cc nh t vn ti chnh Vit Nam c l l mt trong nhng nguyn nhn lm trm trng hn tnh by n ca th trng thin v cm xc hn l l tr nh th trng Vit Nam.Mt minh chng cho vic cc nh u t t vn ti chnh chuyn nghip nu p dng cc m hnh l thuyt vo thc tin thng xuyn v cc nh u t hiu bit hn th th trng hon ton c th c d bo v phn tch tt l giai on sideways hin nay. Cc chuyn ti ti chnh dng phn tch k thut nh lt sng nh kho st (tham kho Ph lc A) v tht s v nn hnh cho th trng ng nh giai on sideways.Kt qu kho st cho ra mt kt qu th v khi m nh u t thng thng v nh t vn ti chnh th trng chng khon Vit Nam khng khc nhau l my. Phi chng y l nguyn nhn ti sao gi tr ca cc li t vn thng chung chung v khng hu ch cho nh u t nh by lu vn tn ti Vit Nam.Thc t ng dng m hnh d bo v phn tch ri ro trong cc cng ty ti chnh Vit Nam l th, cn gii hc thut Vit Nam th sao? Nhng nm gn y, vi ng dng m hnh ARIMA gii hc thut Vit Nam tip cnvngdngdbochonhiuchtiukinhtnhhainhnghincuNguyn 35 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH Chng(thuc Trngi hc kinh t,Nng) v V Th ThoBnh(khoaTon kinht,Trngihckinhtqucdn)dbolmphtbngmhnhARIMA. TinsCaoHoThi(khoaQun l Cng nghip, Trng ihcBchkhoaThnh ph H Ch Minh) d bo gi c sng ti Tp. H Ch Minh bng m hnh cc qu trnh ngunhinmhnhARIMA.Ngoira,ThcsTrnAnhTuncngsdngm hnh ARIMA d bo nhu cu tn dng trung v di hn trn a bn Thnh ph H Ch Minh (nm 2004) hay nh Tin sNghim Tin Lam ng dng m hnh ARIMA d bo dng chy phc v qun l v iu hnh h thng ti Thch Nham (nm 1999).MhnhARIMAcncngdngphntchdbogivng,gidu,gi chng khon... Nhn chung m hnh ARIMA v ang ngy cng c chn thc hin cc ti nghin cu hc thut cc lnh vc. Cn vi m hnh ARCH/GARCH th mc tip cn v ng dng cn rt hn ch. Hai ti ln m ti c bit l ti Xy dng mhnhMarkov-switchingGARCHcitinchoVn-Indexcatins Trn VitH (Khoakinhtvqunl,ihcBchkhoaHNi)vnhnghincu ng Hu Mn (Trng i hc kinh t Nng) vi ti Nghin cu cht lng d bo ca nhng m hnh qun tr ri ro th trng vn. ARCH/GARCH l m hnh pht trin cao hn ARIMA v cn kh mi m trong lnh vc nghin cu.Tuynhinvinhngtcphm,lunvnvccbiboccngbcaccnh nghin cu Vit Nam phn no cho thy chng ta ang tch cc tip cn v c n lc gii thiu cc ng dng ca m hnh ARIMA v ARCH/GARCH n cng chng. Thnh cng th nh chng ta thy cn rt hn ch v thng c mt tr rt ln t nghincuhcthutivothctinngdngrngri.Trongkhi,ccti nghin cu ng dng m hnh vo lnh vc chng khon rt t, nu c ch l ng dng cc k thut d bo m cha c phn tch su. V vy, cng l iu d hiu khi kt qukhostcaccchuyngiathctlmvictrongcccngtytichnhhuht khng ng dng cc m hnh ARIMA, ARCH/GARCH vo trong cng tc t vn ca mnh. C th phc tp ca m hnh lm nn ch cc nh ng dng thc t hoc nhu cu ca mt th trng c phiu cn kh non tr v thiu chuyn nghip nh Vit Nam cha cn dng ti.36 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH Vit Nam l nc cn rt lc hu trong mi trng hc thut ln k nng ng dng l thuyt vo thc t. C ngi mi ta dng nh l mnh lun ng. Tuy nhin, tr cn hn khng, chng ta phi ch ng tip cn nhng kin thc mi nht ca th gii t nht chng ta khng phi l k b b ri ngoi cuc m l mt thnh vin tham gia d lc cn rt yu trong dng chy pht trin kin thc nhn loi. Nghin cu v ngdngmhnhARIMAvARCH/GARCHcngchnhmgiithiumttrong nhngkinthckinhtngdngrtcphbinhinnayvolnhvcchng khon mc ci nga xem hoa.C th c mt s ti nghin cu ng dng mhnhARIMAvARCH/GARCHvothtrngchngkhonVitNammti cha c bit nhng vi nhng g tip thu v thu thp c, ti mun trnh by quan imcngnhhiubitcamnhvmhnhARIMA,ARCH/GARCHmtcch tip cn vi mc ng dng cho giai on th trng chng khon hin nay ca mt ngi lm thc t.Sau y, hy cng ti s dng nhng kin thc nn c trnh by Chng I v Chng II vo vic phn tch d bo gi & ri ro ca th trng nim yt c phiu Vit Nam hin nay. KT LUN CHNG 2 Th trng c phiu nim yt Vit Nam c i din bi hai sn giao dch c phiu bao gm S Giao dch Chng khon Thnh ph H Ch Minh (HSX) v SGiao dch ChngkhonHNi(HNX),trongHSXaphnbaogmnhngcphiucht lng hn v tiu chun nim yt kht khe hn. Lch s pht trin th trng c phiu nim yt Vit Nam tri qua hn 10 nm vi nhiu thng trm. Nu nh giai on t khi khi s n nm 2005 th trng Vit Nam hu nh tch bit vi nn kinh t chung ca t nc bi quy m th trng nh b v miquantmcanhutvithtrngkhngngktht2006nnayth trng c phiu nim yt Vit Nam tht s c bc t ph v gn nh tr thnh phong v biu o lng nhp p ca nn kinh t ni chung. Th trng c phiu nim yt Vit Nam tr thnh mt trong th trng hp dn nhng cng ri ro nht th gii. 37 Chng 2 Tng quan th trng c phiu nim yt Vit Nam & Tnh hnh thc t ng dng m hnh ARIMA, ARCH/GARCH 38 Tuy nhin d bo v phn tch ri ro ca th trng c phu nim yt Vit Nam l v cng kh khn do yu t hnh vi bt nh rt cao ca nh u t ti Vit Nam lm cho cc m hnh d bo phn tch th trng da trn mi tng quan gia th trng vccbinskinhtvmsailchnhiusovithct.MhnhARIMA, ARCH/GARCH s khc phc c nhc im ny khi n m phng hnh vi ca din bin th trng m khng quan tm n cc yu t tc ng.Th trng c phiu nim yt Vit Nam vn l th trng tm l cao do kin thc trnh phn tch d bo gi & ri ro th trng ca cc nh u t (phn ln l c nhn) cha cao. Tuy nhin mt iu ng ngc nhin l ngay c cc chuyn gia chng khon cng khng khc g my so vi nh u t v tnh chuyn nghip nh trong cuc kho st v thc t s dng m hnh phn tch d bo ca cc chuyn gia chng khon hin nay ti Vit Nam. Kt qu l m hnh ARIMA, ARCH/GARCH hu nh l khi nim hon ton mi i vi cc chuyn gia chng khon lm thc t. RingccnhhcthutVitNamthmhnhARIMAcsdngchonhiu lnhvc,clnhvcchngkhontrongkhimhnhARCH/GARCHlics dngrthnch.iunychngtVitNamcphntthutrongvictipcn cng ngh v kin thc mi. Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam CHNG 3 PHN TCH D BO GI V RI RO THNG QUA M HNH ARIMA, ARCH/GARCH CHO TH TRNG C PHIU NIM YT TI VIT NAMY@Z ChngbacxemlchngngdngmhnhARIMA,ARCH/GARCHd bo phn tch gi v ri ro cho th trng c phiu nim yt Vit Nam giai on hin nay. M hnh ARIMA u tin s m t hnh vi ca th trng trong qu kh v nu nhhnhcaktqumphnggnkhpvihnhcadliuthctthm hnh ARIMA tm c t ra thch hp d bo cc kt qu trong tng lai.Ngoira,chngtasphntchdborirocathtrngbngmhnh ARCH/GARCH.Mhnhnyschotathythtrngctnhtrngbtcnxng thng tin hay khng v mi quan h gia ri ro v sut sinh li ca th trng. Cui cng l mt s vn lu v cc hng m rng ng dng m hnh. 3.1KHIQUTDINBINCATHTRNGCPHIUNIMYT VIT NAM GIAI ON HIN NAY ng nt dy l Vn-Index, ng nt mnh l Hn-Index th 3.1 Din bin th trng giai on t 11/11/2009 n 11/11/2010 Ngun Hnx & Hsx T cui nm 2009 n nay, th trng c phiu nim yt ti S giao dch chng khon thnh ph H Ch Minh dng nh bng quang vi mi thng tin d tt hay xu v tc 39 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam ngthngtinnthtrngkhngcnkhinchogichngkhondaongmnh na, thay vo th trng lc ny mang hnh ging nh giai on 2001-2005 tri stvibinhpvibatsngdaong.tsngthnhtktthcvongy 07/01/2010vimcnhcaVn-Indextcl543,46im,saulisuv mc 477,59 im vo ngy 22/01. t sng th 2, th trng phc hi ln 531.86 im vongy15/03,sauliv499,21imvongy31/03.tsngth3aVn-Index ln mc im cao nht trong 9 thng nm 2010 vi s im l 549,12 vo ngy 04/05. K t mc im cao nht ca t sng th 3 th trng gim mnh v 423,89 rixoayquanhmc450.Ngy30/09/2010,Vn-Indexngcamc454,52im, mt 40,25 im so vi phin ng ca cui nm 2009, tng ng 8,14%.Trong khi , Hn-Index ng ca mc 127,29 im, mt n 40,88 im so vi u nm 2010, tng ng 24,31%. Nh vy c v nh th trng c phiu nim yt H Ni nhy cm hn vi tin tc v c xu hng gim mnh hn.Tng quan v din bin ca th trng c phiu nim yt Vit Nam giai on hin nay theo hnh 3.1 nh trn. Sau y, ti s ng dng m hnh ARIMA m phng li lch s bin ng gi ca th trng c phiu nim yt Vit Nam t lm c s cho cc d bo trong tng lai.3.2NGDNGMHNHARIMADBOCHSVN-INDEX,HA-INDEX 3.2.1 ng dng m hnh ARIMA d bo cho Vn-Index (ph lc 3.1) Ngun s liu SliuVn-IndexlytSgiaodchchngkhonthnhphHChMinhtrong khonthigiant11/11/2009n11/11/2010.Giaionnytuycbinngln xung to ra cc t sng nhng khng qu ln m c xu hng sideways. Mu quan st v khung thi gian Mulygm251quanstidincho251chsgiVn-Indextheongytrong khong thi gian t 11/11/2009 n 11/11/2010 tng ng mt nm giao dch. Kim tra tnh dng ca chui d liu 40 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam th 3.2 - Gin tng quan ca Vn-Index th 3.3 - Gin tng quan sai phn bc mt ca Vn-Index T biu 3.2, 3.3 v kim nh ADF cho thy chui Vn-Index l chui khng dng nhng sai phn bc mt ca n li l mt chui dng. Nh vy chui d liu x l d bo s l chui sai phn thay v chui Vn-Index ngha l Vn-Index s c d bo theo m hnh gin tip thng qua chui sai phn bc mt ca n. Xc nh m hnh ARIMADa vo quy tc kinh nghim, cn c mt s c im ca gin tng quan 3.2 v 3.3 sau y: PACF ca chui Vn-Index sau 1 hoc 2 tr th nhanh chng tin v 0 ngay lp tc trong khi ACF th c xu hng gim dn; ACF, PACF ca chui sai phn Vn-Index sau 1 tr th nhanh chng bng 0 ngay lp tc. TathyccmhnhcthphhpdboVn-IndexbaogmARMA(1,0), ARMA(2,0), ARMA(1,1), ARIMA(1,1,1). Trong m hnh ARIMA(1,1,1) c cc h 41 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam s khng c ngha thng k nn loi ra u tin. Ba m hnh cn li ta tip tc da vo gin tng quan phn d (sai s d bo) ca ba m hnh xem phn d ca mi m hnh c phi l mt chui ngu nhin khng. M hnh ARMA(2,0) khng c chui sai s ngu nhin nn khng tt cho d bo.HaimhnhcnlilARMA(1,0)vARMA(1,1),tadavomtschtiuo lng chnh xc v ph hp ca m hnh. Kt qu nh sau: Bng 3.1 So snh cc ch tiu nh gi m hnh Ch tiuARMA (1,0)ARMA (1,1) AIC6,81933 6,781591 SBC6,847502 6,823849 HQ6,830668 6,798599 RMSE7,262517 7,098313 MAPE 1,10 1,08 Ngun: Tnh ton ca tc gi Vi hu ht cc ch tiu trong bng 3.1 ca m hnh ARMA(1,1) u nh hn so vi mhnhARMA(1,0).VymhnhARMA(1,1)lmhnhphhpnhtdbo ch s Vn-Index.NhvymtiulukhixcnhmhnhdboARMAlkinhnghimca ngi lm d bo rt quan trng. Khi la chn ra cc m hnh ph hp cho chui d liu, ngi lm cng tc d bo phi linh ng. Nh bc kim nh tnh dng trn, chui d liu sai phn bc mt c chn lm chui d bo v n dng nhng kt qu m hnh d bo c chn li l m hnh ARMA(1,1) khng c yu t sai phn.Ngoiravn ny cn cgiithchdotnh n nhcachuidliu Vn-Index th hin giai on hin nay ca th trng c phiu nim yt sn thnh ph H Ch Minh ang trng thi sideways nn kim nh ADF cho thy chui Vn-Index rt c th dng tin cy 80-90%. Phng trnh ddin nh sau: bo biuVnIndext= 482,84(1-0,96) + 0,96VnIndext-1+ 0,22et-1 Vit li: 42 VnIndext= 19,3136 + 0,96VnIndext-1+ 0,22et-1 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam 3.2.2 ng dng m hnh ARIMA d bo cho Hn-Index (ph lc 3.2) Ngun s liu SliuHn-IndexlytSgiaodchchngkhonHNitrongkhonthigiant 11/11/2009n11/11/2010.GiaionnyHn-Indexmcdcngcxuhng sideways nhng gn cui c xu hng gim u. Mu quan st v khung thi gian Mulygm251quanstidincho251chsgiHn-Indextheongytrong khong thi gian t 11/11/2009 n 11/11/2010 tng ng mt nm giao dch. Kim tra tnh dng ca chui d liu th 3.4 - Gin tng quan ca Hn-Index th 3.5 - Gin tng quan sai phn bc mt ca Hn-Index 43 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam T biu 3.4, 3.5 v kim nh ADF cho thy chui Hn-Index l chui khng dng nhng sai phn bc mt ca n li l mt chui dng. Nh vy chui d liu x l d bo s l chui sai phn. Xc nh m hnh ARIMADa vo quy tc kinh nghim, cn c mt s c im ca gin tng quan 3.4 v 3.5 sau y: PACF ca chui Hn-Index sau 1 tr th nhanh chng tin v 0 ngay lp tc trong khi ACF th c xu hng gim dn; ACF,PACFcachuisaiphnHn-Indexsau1trhocgnnhnhanh chng bng 0 ngay lp tc. TathyccmhnhcthphhpdboHn-IndexbaogmARMA(1,0), ARMA(1,1), ARIMA(0,1,0), ARIMA(1,1,0) ARIMA(0,1,1), ARIMA(1,1,1). Trong mhnhARMA(1,1),ARIMA(1,1,0)ARIMA(0,1,1),ARIMA(1,1,1)ccchs khng c ngha thng k nn cn loi ra. Hai m hnh cn li ta tip tc da vo gin tngquanphnd(saisdbo)xemphndcamimhnhcphil mt chui ngu nhin khng. Hai m hnh u c phn d l chui ngu nhin. Tatiptcdavomtschtiuolngchnhxcvphhpcamhnh. Kt qu nh sau: Bng 3.2 So snh cc ch tiu nh gi m hnh Ch tiuARMA (1,0)ARIMA (0,1,0) AIC5,1633 5,156206 SBC5,191472 5,170292 HQ5,174638 5,161875 RMSE3,173108 3,174545 MAPE1,539986 1,537286 Ngun: Tnh ton ca tc gi Vihuhtccchtiutrongbng3.2camhnhARIMA(0,1,0)unhhnso vi m hnh ARMA(1,0). Vy m hnh ARIMA(0,1,0) l m hnh ph hp nht d 44 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam bo ch s Hn-Index. Nh vy Hn-Index s c d bo theo m hnh gin tip thng qua chui sai phn bc mt ng trnh d bo biu din nh sau:ca n. PhHnIndext = - 0,311 (3.1) Vit li phng trnh 3.1 nh sau: HnIndext= HnIndext-1 - 0,311 3.3NGDNGMHNHARIMAVARCH/GARCHPHNTCHD BO RI RO3.3.1ngdngmhnhARIMAvARCH/GARCHphntchdboriro cho sn nim yt Tp. H Ch Minh 3.3.1.1 ng dng m hnh ARIMA d bo sut sinh li cho ch s Vn-Index (ph lc 3.3) Ngun s liu DavodliuVn-IndexlytSgiaodchchngkhonthnhphHChMinh trong khon thi gian t 11/11/2009 n 11/11/2010, ta to ra chui d liu sut sinh livi250quanst,trongsutsinhlicachsVn-Indexctnhtheocng thcrvn-Indcx,t = ln _Pvn-Indcx,tPvn-Indcx,t-1] Mu quan st v khung thi gian Mu ly gm 250 quan st i din cho 250 sut sinh li ca Vn-Index theo ngy trong khong thi gian t 11/11/2009 n 11/11/2010 tng ng mt nm giao dch. Kim tra tnh dng ca chui d liu th 3.6 - Gin tng quan ca rVn-Index 45 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam Tbiu3.6vkimnhADFchothychuisutsinhliVn-Indexlchui dng.NhvychuidliuxlphntchriroslchuisutsinhliVn-Index. Xc nh m hnh ARIMAGin tng quan 3.6 c c im ACF, PACF sau 1 tr th nhanh chng bng 0 ngaylptc.Doccmhnhcthphhpdboivn-Indcxbaogm ARMA(1,0), ARMA(0,1), ARMA(1,1). C ba m hnh u c phn d l chui ngu nhin nhng m hnh ARMA(1,1) c cc h s khng c ngha thng k nn cn loi ra. Hai m hnh cn li ta tip tc da vo mt s ch tiu sau y chn ra m hnh ph hp nht. Bng 3.3 So snh cc ch tiu la chn m hnh d bo rFn-Index Ch tiuARMA (0,1)ARMA (1,0) AIC-5,59339 -5,58976 SBC-5,57931 -5,57563 HQ-5,58773 -5,58407 RMSE 0,014704 0,014731 Ngun: Tnh ton ca tc gi Vi hu ht cc ch tiu trong bng 3.3 ca m hnh ARMA(0,1) u nh hn so vi mhnhARMA(1,0).VymhnhARMA(0,1)lmhnhphhpnhtdbo ivn-Indcx.3.3.1.2SdngmhnhARCH/GARCHphntchdborirocaVn-IndexD bo ri ro Vn-Index (ph lc 3.4) T m hnh ARMA(0,1), ta i kim nh nh hng ca ARCH(q) v sau khi ta tng tr q ln 2 th ta thy ch c m hnh ARCH(1) l c ngha d bo ri ro Vn-Index vi q=1. MhnhARCH(1)chnhlmhnhGARCH(0,1).Tatiptcthkimnhvicc mhnhGARCH(1,1),GARCH(2,1),GARCH(2,2).VihaimhnhGARCH(2,1), GARCH(2,2)thcchsdbokhngcnghathngk,chcmhnh GARCH(1,1) l c ngha thng k d bo ri ro Vn-Index.46 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam Ta c hai m hnh ARCH(1) hay GARCH(0,1) v GARCH(1,1) d bo ri ro ca Vn-Index. la chn m hnh no l ph hp nht ta da vo th biu din phn d ca hai m hnh. th 3.7 biu din phn d ca m hnh GARCH(1,1) v GARCH(0,1) Sosnhhaimhnh,tathyphndclngcamhnhGARCH(1,1)cv nhn v r rng hn m hnh GARCH(0,1) nn ta chn m hnh GARCH(1,1) d bo ph ng sai ca Vn-Index hay ri ro ca Vn-Index. Kt qu d bo:ivn ndcx,t = 0,164 et-1 + et (3.2) -IUt ~ N(0, ht) ht = 0.00000952 + 0,8ht-1 + 0,16ct-12(3.3) Phng trnh 3.2 l phng trnh c lng t sut sinh li Vn-Index v phng trnh 3.3 l phng trnh d bo ri ro Vn-Index. Vi m hnh GARCH(1,1) cho ta thy ri ro ca Vn-Index ph thuc vo ri ro xy ra giai on t-1 hay khi c mt c sc ln hay nh xy ra trc th ri ro theo sau cng s ln hay nh. c im ri ro (ph lc 3.5) Th nht vi m hnh GARCH(1,1)-M, ta a bin phng sai tc l ri ro nh l mt bin vo trong phng trnh 3.2, phng trnh sut sinh li. iu ny c ngha ri ro l mt tc nhn tc ng n sut sinh li thng qua phn b ri ro l tch ca mt h s viphngsainhtrongphngtrnh1.9.iunycngvichsVn-Index khng? Kim nh m hnh GARCH(1,1)-M cho thy h s ca phng sai trong phng trnh trung bnh khng c ngha thng k, vy m hnh GARCH-M khng ph hp trong trng hp ny. 47 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam Th hai, tnh cht cn xng thng tin hay ri ro bt cn xng thng tin c c lng thngquamhnhTGARCH(1,1).Ktquclngchothyhs1 khngc nghathngk.Nhvy,khngcskhcbitgiatintcttvtintcxu.Ni cch khc, nh hng ca tin tc c tnh cht cn xng trn sn nim yt thnh ph H Ch Minh.3.3.2ngdngmhnhARIMAvARCH/GARCHphntchdboriro cho sn nim yt H Ni 3.3.2.1 ng dng m hnh ARIMA d bo sut sinh li cho ch s Hn-Index (ph lc 3.6) Ngun s liu Da vo d liu Hn-Index ly t S giao dch chng khon H Ni trong khon thi gian t 11/11/2009 n 11/11/2010, ta to ra chui d liu sut sinh li vi 250 quan st, trong sut sinh li c ch s Hn-In c tnh theo cng thc adex rHn-Indcx,t = ln _PHn-Indcx,tPHn-Indcx,t-1] Mu quan st v khung thi gian Mu ly gm 250 quan st i din cho 250 sut sinh li ca Hn-Index theo ngy trong khong thi gian t 11/11/2009 n 11/11/2010 tng ng mt nm giao dch. Kim tra tnh dng ca chui d liu th 3.8 - Gin tng quan ca rHn-Index,t Tbiu3.8vkimnhADFchothychuisutsinhliHn-Indexlchui dng.Xc nh m hnh ARIMA 48 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam Gin tng quan 3.8 c c im ACF, PACF bng 0 ngay lp tc tr u tin nn chui rHn-Indcx,t c dng mt chui ngu nhin. Do m hnh c th ph hp d bo rHn-Indcx,t ch c th l ARMA(0,0).3.3.2.2SdngmhnhARCH/GARCHdbophntchrirocachs Hn-Index D bo ri ro Hn-Index (ph lc 3.7) T m hnh ARMA(0,0), ta i kim nh nh hng ca ARCH(q) v sau khi ta tng tr q ln 3 th ta thy ch c m hnh ARCH(1) v ARCH(2) l c ngha d bo ri ro Hn-Index. Ta tip tc th kim nh vi cc m hnh GARCH(1,1), GARCH(2,1), GARCH(1,2). VihaimhnhGARCH(2,1),GARCH(1,2)thcchsdbokhngcngha thngk,chcmhnhGARCH(1,1)lcnghathngkdboriroHn-Index.TacbamhnhARCH(1)hayGARCH(0,1),ARCH(2)hocGARCH(0,2)v GARCH(1,1) d bo ri ro ca Vn-Index. la chn m hnh no l ph hp nht ta da vo th biu din phn d ca ba m hnh. th 3.9 biu din phn d ca m hnh GARCH(0,1), GARCH(0,2) v GARCH(1,1) Sosnhbamhnh,tathyphndclngcamhnhGARCH(1,1)cv nhn v r rng hn hai m hnh GARCH(0,1) v GARCH(0,2) nn ta chn m hnh 49 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam GARCH(1,1)dbophngsaicaHn-IndexhayrirocaHn-Index.Ktqu phng trnh d bo ri ro cho Hn-Indexc biu din nh sau:ht = 0.00000251 + 0,79ht-1 + 0,16ct-12 c im ri ro Kim nh m hnh GARCH(1,1)-M cho thy h s ca phng sai trong phng trnh trung bnh khng c ngha thng k, vy m hnh GARCH-M khng ph hp trong trng hp ny.Th hai, tnh cht cn xng thng tin hay ri ro bt cn xng thng tin c c lng thngquamhnhTGARCH(1,1).Ktquclngchothyhs1cngha thng k. Nh vy, c s khc bit gia tin tc tt v tin tc xu. Ni cch khc, nh hng ca tin tc xu tc ng mnh n th trng hn l thng tin tt ti sn nim yt H Ni.3.4MT S VN LU V CC HNG M RNG NG DNG M HNH 3.4.1Mt s vn lu Bilunchdngmcgiithiumtcngckthutangcsdng rng ri trong gii hc thut ln ng dng thc tin khi phn tch d bo gi v ri rochothtrngchngkhonVitNam.chnhlmhnhARIMAv ARCH/GARCH. Cc ng dng cao v su hn cha c nghin cu. V d nhbi lun ch a ra cc m hnh c bn ca ARCH/GARCH, cha cp nht so snh y cc m hnh ARCH/GARCH chn ra m hnh tt nht.XcnhccdngmhnhARIMA,ARCH/GARCHcthdavogin tng quan gn nh l mt ngh thut, v vy kinh nghim v linh ng ca ngi ng dng m hnh rt quan trng trnh tnh trng b st cc m hnh c ngha khc. Giai on sideways hin nay ca th trng c phiu nim yt ti sn Tp. H Ch Minh hay xu hng gim u ca th trng c phiu nim yt H Ni gip ta d dng xc nh m hnh ARIMA d bo bi tnh n nh ca chui d liu lm cho n c xu hng dng ngay sai phn bc mt v cc yu t t tng quan, trung bnh trt ch xy ra tr th nht. Tuy nhin khi th trng bin ng cao th liucimcamhnhARIMAlunng nh vykhnglicha cxem xt.50 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam M hnh ARIMA v ARCH/GARCH vi ngha m phng li hnh vi din bin trong qu kh, t lm c s cho d bo k tip. Nhng th trng ti chnh vn bin ng cao, cc tc ng ca cc yu t thi tng lai cha c xem xt nn d bo s dng m hnh ARIMA, ARCH/GARCH thng phi km theo gi nh l kch bn ca tng lai s hon ton ging nh nhng g m hnh m phng qu kh.DomhnhARIMAvARCH/GARCHcvchphhpdbocc im tng lai rt gn vi thi im cui cng ca chui d liu. Tnh d bo ngn ca m hnh ARIMA v ARCH/GARCH th hin c im ny.Ngoi ra, phn tch d bo gi & ri ro cho Vn-Index, ngi ta thng hi quy cc nhn t tc ng n Vn-Index nh li sut, tng trng GDP, bin ng gi chng khon th gii, bin ng th trng vng, ngoi hi... to ra m hnh hi quytrongbinphthuclVn-Indexvccbinclplccnhnttc ng. Phn tch d bo gi & ri ro Vn-Index da vo m hnh hi quy kiu nh vy vi cc iu chnh c th t nhn nh xu hng bin ng sp ti. Trong khi ,mhnhARIMAvARCH/GARCHchacpvolngtcngca cc nhn t khc nhau i vi th trng nn s khng ph hp cho cc nh lm chnh sch tin dng.3.4.2Hng m rng ng dng m hnh ti nghin cu ng dng m hnh ARIMA, ARCH/GARCH d bo gi cho chsgichng khon. Mrngra,mhnhcthctiptcnghincup dng d bo gi cho tng c phiu ring l.M hnh ARIMA d bo cho giai on ngn hn v hu nh n m phng kh tt qu trnh din bin d liu ca gi chng khon cng nh hnh vi ca nh u t trn th trng. Tuy nhin tng lai c mt iu chc chn l khng c g l chc chn nn mt c sc ln c kh nng lm gi chng khon i chch khi qu o ng l n phi i theo hnh m m hnh v ra. V vy cn phi c iu chnh kt qu d bo sao cho ph hp vi tnh hnh thc t. iu ny cn kinh nghim, nhy bn ca ngi phn tch. M hnh ARIMA gi y tr thnh mt cng c d bo mang tnh tham kho rt hu ch c bit khi kt hp vi phn tch k thut a ra chin lc lt sng ngn hn cho nh u t lm bc cc. ThtrngcphiunimytVitNamthucdngbinngcao,mhnh ARIMA, ARCH/GARCH tm c ch ph hp cho giai on hin nay, giai on 51 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam nghing v sideways hoc c xu hng gim u. tng m rng ti nghin cucthlxemxtcimcamhnhARIMA,ARCH/GARCHthayi nhthnokhitathayikhongthigianxemxtvtnhchtthigianca chui d liu theo tun, thng thay v theo ngy nh trong ti. Nhnitrn,mhnhARCH/GARCHcsdngtrongbilunchd bovphntchrirocathtrngdatrnqutrnhttngquanvtrung bnh trt ca chui d liu hay ni cch khc n da trn din bin hnh vi trong qukh dbovphntchhnhvitrongtnglaicngha l m hnh xem nh cc c sc ca thi tng lai. Mc khc trong iu hnh chnh sch, m hnh trnnkhngcnghangkvnhlmchnhschkhngbittcngth trng t u bi khng nhn din r mc quan trng ca cc nhn t. V vy, rtcnthitxydngmtmhnhARCH/GARCHmicthkthpvim hnh d bo nhn qu nhn din, phn loi, v o lng tc ng ca cc nhn t khc nhau n th trng. T cc nh lm chnh sch c th tc ng n th trng vi liu lng cc gii php chnh sch tng ng t trng nh hng ca nhn t tc ng n th trng. Ngoi ra trong cng tc d bo, kt qu truy xut tmhnhARIMAvARCH/GARCHcthciuchnharadbo ph hp hn trong mt mi trng bin ng (tham kho Ph lc A). SosnhmhnhARIMA,ARCH/GARCHviccmhnhdbocbit nhmhnhnhnqu,mhnhchuithigianngin...trongvicdbogi chng khon. TrongccloimhnhARCH/GARCHthmhnhGARCH-Mthngcs dngnhgitnhhplcagithuytrirocao,linhuncaocng khng tc l ta kim chng c mt nh u t u t vo th trng ri ro nhng phn b ri ro c yu cu c tng xng vi mc chp nhn ri ro ca nh u t khng. Bi lun cho thy sut sinh li ca th trng c phiu nim yt Vit Nam mang li khng tng thch vi ri ro hoc mnh li nhun cao, ri rocngcaokhngngvithtrngVitNamhinnay.ngdngtngt chottcccngnhhoctng c phiuhontoncthlmc. iu ny v cngcchtrongcngtcnhgikhimtahontoncthkimchngc githitcimngirirocanhutkhiutvomtcphiuhoc ngnh no . M hnh nh gi CAPM3.1 hay APT u da trn gi nh ny. T 52 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam y,mhnhGARCH-Mcthcdnglmcschoviclachnphng php nh gi thch hp trong phn tch c bn c phiu v d m hnh CAPM hoc APT c cn thit s dng khng khi m thc t d liu chng minh ri ro ca c phiu hoc ngnh no khng c tc ng no n t sut sinh li ca c phiu hoc ngnh. Trn c s nh vy, ta c th da vo m hnh ARCH/GARCH xy dng mt b quy chun nh gi c th ri ro ca tng ngnh, tng c phiu cho tng giai on lm cn c h tr cho quyt nh u t.Mt ng dng khc t m hnh ARIMA, ARCH/GARCH trong nh gi l ta hon ton c th dng m hnh d bo cc ch tiu ti chnh trong bng d phng cc s liu ti chnh lm c s cho vic chit khu dng tin xc nh gi tr hin ti cacphiu.Thcthinnay,ccphngphpnhgicphiuFCFE3.2, FCFF3.3, DCF3.4... thng c s dng nh gi gi tr thc ca c phiu mt cch khoa hc nhng cc phng php tng chng l mang nhiu ngha nht v n phn nh gi tr ni ti ca c phiu th li thiu chnh xc nht v d liu u vo cho m hnh hu ht l cc d bo ty tin v thiu c s. Ngay c khi dng cc phng php m hnh thng k nh m hnh nhn qu hay m hnh chui thi gian ta cng gp mt s vn kh khn. l vi m hnh nhn qu ta khng th c lng ht c cc nhn t tc ng hoc kt qu c lng l trung bnh c sai s trong khi sai s li khng c lng c. Cn dng m hnh d bo chui thi gian n gin th ta li gp phi vn tp qun ra k hoch nm sau cao hn nm trc... V vy nu ta s dng m hnh ARIMA, ARCH/GARCH xy dng nn bng k hoch kinh doanh, bng bo co ti chnh...th ta c c nhng d liu d phng khoa hc v ng tin cy hn t lm tng tnh thuyt phc cho kt qu nh gi c bit l t cc phng php chit khu dng tin. KT LUN CHNG 3 C nhiu cch d bo xu hng ca th trng nhng d bo ch s gi c th th rt kh khn v gn nh chng ta khng th d bo c ht cc bin ri ro cng nh ccnhnttcngnthtrng.MhnhARIMAtrathchhphnkhikhc phc c kh khn .53 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam Bng vic m phng hnh vi ca chui d liu trong qu kh, t n xy dng nn hng i cho tng lai. Theo cch lm nh vy chng ta tm c m hnh d bo ARIMA(1,0,1),ARMA(0,1,0)tngngchochsVn-IndexvHn-Index.Phng trnh biu din ca hai m hnh nh sau: Phng trnh d b n-Index:o ch s VVnIndext= 19,3136 + 0,96VnIndext-1+ 0,22et-1 Phng trnh d bo ch s :Hn-IndexHnIndext= HnIndext-1 - 0,311 Haiphngtrnhchothy Vn-Index phthuc nhaiyut lgitrVn-Index ngy hm qua v c sai s trc trong khi Hn-Index ang c xu hng gim u. Ta cng c th thy iu qua hnh sau: th 3.10 Ch s Vn-Index v Vn-Index d bo th 3.11 Ch s Hn-Index v Hn-Index d bo 54 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam R rng th trng c phiu nim yt Thnh ph H Ch Minh gn y ang sideways trongkhithtrngnimytHNiligimu.Chaimhnhdboum phng kh tt din bin th trng trong giai on t 11/11/2009 n 11/11/2010. Gi s khng c yu t tc ng bt ng th ta d dng d on c ch s ca ngy hm sau theo nh hai phng trnh trn.M hnh ARIMA cn c s dng xy dng m hnh d bo cho sut sinh li th trng. Chng ta cng tm c m hnh ARMA(0,1) cho rvn-Indcx v ARMA(0,0) cho rHn-Indcx. Mt nh u t quan tm n th trng khng ch v gi c phiu, sut sinhlimcndbocmcdaongcathtrngcnghalriroth trng. M hnh ARMA d bo bng phng php bnh phng b nht (OLS) vi gi nh phng sai khng thay i hay c gi l trng hp phng sai khng c iu kin. Tuy nhin, cc chui d liu chng khon thng c xu hng dao ng cao vo mt s giai on theo sau mt s giai on tng i t bin ng. S dao ng nh vyldotc ngcayut thng tin v hnh vi mngcanhuttrnth trng. Gi nh phng sai khng thay i theo thi gian thng khng ph hp na. Thay vo , m hnh ARCH/GARCH c s dng phn tch d bo ri ro ca th trng chng khon. Chng ta xy dng m hnh d bo ri ro cho hai th trng theo phng trnh: ht = 0 + o1bt-1 + 1ut-12 Ri ro ca th trng ph thuc vo bin ng ca th trng trc . Ngoi ra, m hnh ARCH/GARCH cn chng minh c c s hai c im ri ro ca th trng c phiu nim yt Vit Nam bao gm: Sut sinh li mang li ca th trng c phiu nim yt Vit Nam khng tng thch vi ri ro hoc mnh li nhun cao, ri ro cng cao khng ng vi th trng Vit Nam hin nay. ThtrngnimytthnhphHNiangtntitnhtrngbtcnxng thng tin khi tin xu tc ng n th trng mnh hn l tin tt, trong khi tin tt v tin xu tc ng n th trng nim yt thnh ph H Ch Minh nh nhau. iu ny cng gii thch cho din bin th trng hin nay khi ch s Vn-Index ang sideways v cc tin tc tt v xu gn nh bo ha tc ng n th trngnhngHn-Indexlianggimudotinxugnyxuthinnhiu hn v tc ng mnh hn l tin tt.55 Chng 3 Phn tch d bo gi v ri ro cho th trng c phiu nim yt Vit Nam 56 Tuy nhin, m hnh ng dng trong bi lun ch dng mc tip cn mt phng php, mt cng c phn tch d bo ri ro mi. Cn nhiu vn cn lu c th nu ra nh sau: Cn cp nht nhiu m hnh khc lm i trng so snh; Xc nh m hnhARIMA,ARCH/GARCHlmtngh thut nn ngiphntchphilinh ng v c kinh nghim; M hnh ARIMA, ARCH/GARCH c v ph hp cho d bo ngn hnvkhngphhpchoccnhlmchnhschtindng.Cchngnghincu ngdngmhnhARIMA,ARCH/GARCHmrngtiptheobaogm:thayi khung thi gian v tnh cht thi gian xem xt, ng dng m hnh cho tng c phiu ringlhocngnhcth,kthpviccmhnhkhcnhmhnhdbonhn qu iu chnh kt qu phn tch d bo ph hp vi tnh hnh thc t... KT LUN Y@Z Chng ta ln lt tip cn nhng im c bn ca vic ng dng m hnh ARIMA, ARCH/GARCH trong phn tch d bo gi & ri ro cho th trng c phiu nim yt VitNam.KtqungdngchothymhnhARIMAmphngkhttdinbin hnhvicathtrngtrongqukhnnnccslmttchcnngcamnh trong vic d bo cho tng lai c bit trong giai on sideways hay gim u hin nay. Vi m hnh ARCH/GARCH cho ta bit sut sinh li ca th trng chng khon nim yt Vit Nam c c im khng tng thch vi ri ro ca th trng. Mc khc tnh trng bt cn xng thng tin ca hai th trng nim yt Tp. H Ch Minh v H Ni l khc nhau. Tin xu tc ng mnh hn n th trng nim yt H Ni hn l tin tt trong khi th trng nim yt Tp. H Ch Minh c xu hng cn xng gia tin tt vi tin xu.Tuy nhin m hnh ARIMA, ARCH/GARCH c v nh ch ph hp cho d bo ngn hn v tng lai lun tim n cc c sc khng th bit trc trong khi cc yu t tc ngnthtrnglikhngcnhndintrongmhnh.Mhnhkhngc nghalniviccnhlmchnhschvnusdngmhnhhkhngtho lng c cc yu t tc ng n th trng t thc hin cc chnh sch iu tit th trng ph hp.Takhngthphnhnmhnhnhnqurtcchchoccnhlmchnhschkhi phntchmctcngcaccriroivithtrngcphiunimytVit Nam. Kt hp v m rng m hnh ARIMA, ARCH/GARCH vi m hnh nhn qu s l cng c hiu qu trong phn tch d bo gi & ri ro ca th trng cho mi nh u t ln nh lm chnh sch. Nh vy, tm quan trng ca ng dng m hnh ARIMA, ARCH/GARCH r rng nhngcthdotnhchuynnghipcathtrngchngkhonVitNamchacao nn hu ht cc chuyn gia trong lnh vc ti chnh t vn u t khng bit cch s dng m hnh cng nh khng thc c tm quan trng ca k thut phn tch ny. Th trng c phiu nim yt Vit Nam, mt th trng thiu chuyn nghip ngay t cc chuyn gia, cc nhn nh th trng thng mang yu t nh tnh cao hoc da trn k thut d bo thiu c s th yu t tm l thng tr trong hot ng u t ca cng chng l iu d hiu. 57 58 Hy vng trong tng lai, ngy cng c nhiu nh nghin cu thuc lnh vc ti chnh xc tin a ng dng cc k thut tin tin v khoa hc nht ca th gii vo trong hot ng thc tin, trong , m hnh ARIMA, ARCH/GARCH c k vng l k thut phn tch d bo c ngha v gp phn tng tnh chuyn nghip cho th trng ti chnh Vit Nam ni chung v cho th trng c phiu nim yt ni ring vy.