期刊名称：Journal of Asian Finance, Economics and Business
印刷版ISSN：2288-4637
电子版ISSN：2288-4645
出版年度：2019
卷号：6
期号：3
页码：19-26
DOI：10.13106/jafeb.2019.vol6.no3.19
语种：English
出版社：Korean Distribution Science Association
摘要：The paper aims to measure stock price volatility on Ho Chi Minh stock exchange (HSX).We apply symmetric models (GARCH,GARCH-M) and asymmetry (EGARCH and TGARCH) to measure stock price volatility on HSX.We used time series data including the daily closed price of VN-Index during 1/03/2001–1/03/2019 with 4375 observations.The results show that GARCH (1,1) and EGARCH (1,1) models are the most suitable models to measure both symmetry and asymmetry volatility level of VN-Index.The study also provides evidence for the existence of asymmetric effects (leverage) through the parameters of TGARCH model (1,1),showing that positive shocks have a significant effect on the conditional variance (volatility).This result implies that the volatility of stock returns has a big impact on future market movements under the impact of shocks,while asymmetric volatility increase market risk,thus increase the attractiveness of the stock market.The research results are useful reference information to help investors in forecasting the expected profit rate of the HSX,and also the risks along with market fluctuations in order to take appropriate adjust to the portfolios.From this study’s results,we can see risk prediction models such as GARCH can be better used in risk forecasting especially.
