ĐỀ TÀI: PHÂN TÍCH CÁC NHÂN TỐ TÁC ĐỘNG VÀ DỰ BÁO GIÁ VÀNG VIỆT NAM, KIỂM ĐỊNH TÍNH HIỆU QUẢ CỦA YẾU TỐ THÔNG TIN TRÊN THỊ TRƯỜNG VÀNG TIẾP CẬN BẰNG MÔ HÌNH VỞI PHƯƠNG PHÁP HỒI QUY HAI BƯỚC VÀ CÁC DẠNG MÔ HÌNH ARCHGARCH
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CÔNG TRÌNH DỰ THI
GIẢI THƯỞNG NGHIÊN CỨU KHOA HỌC SINH VIÊN
“NHÀ KINH TẾ TRẺ – NĂM 2009”
PHÂN TÍCH CÁC NHÂN TỐ TÁC ĐỘNG VÀ
DỰ BÁO GIÁ VÀNG VIỆT NAM, KIỂM ĐỊNH TÍNH HIỆU QUẢ
CỦA YẾU TỐ THÔNG TIN TRÊN THỊ TRƯỜNG VÀNG TIẾP CẬN
BẰNG MÔ HÌNH VỞI PHƯƠNG PHÁP HỒI QUY HAI BƯỚC VÀ
CÁC DẠNG MÔ HÌNH ARCH-GARCH
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MỤC LỤC
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BẢNG VIẾT TẮT
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MỤC LỤC CÁC HÌNH TRONG BÀI NGHIÊN CỨU
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ĐẶT VẤN ĐỀ
1. Tính cấp thiết của đề tài
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2. Mục đích nghiên cứu
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3. Đối tượng và phạm vi nghiên cứu
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4. Phương pháp nghiên cứu
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5. Ý nghĩa khoa học và thực tiễn của đề tài nghiên cứu
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6. Kết cấu chính của đề tài
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CHƯƠNG 1: CƠ SỞ LÝ THUYẾT
1.1 Lý thuyết cung cầu thị trường
1.1.1 Lý thuyết đường cầu thị trường
R:$/S$*=T',0R:$/S$*=T',UV$qk<y=>',/5',/”+/+QlS0/%7U5',=T2$28:
lm',kšU:+“0A0U90,2AE/A0'/+:$*F',Ui$$/T2,2+'07$/s%5$*F',(2):
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A0Q3:$<Y:Q3$(S'/y=>',0R:04+Ui$0A'/`'Z+F,XU
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/V',1/q2UG2/5',/”+():y5/5',/”+$/V',$/=T','3:'/:0R:%)Ui$/5',
/”+$Š',E/2$/:'/~1,2qUz$/W/5',/”+'5Q,G2y5/5',/”+0&1$/&1
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0F'',=T2%W'”l=>0/W'/$/5'/$w0A0Q3:$<yS0/k•%5$`UyP†'•U',F52yD'/
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g:QUV$28:$/704+$/S$*=T',
3:'/=k<y=>',',=T2U:+$*8'$/S$*=T',$Š',$/W0R:%)/5',/”+(”kš$Š',
r%G',
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/”+%5lS0/%7'5F(”/ž',/•'z'3:lHE23'E23U(=>0'/2):$2)'$*F',$=@',
y+2Z•'0”$/skŸ'k5',/@'$*F',%2t00/2$28:Ui$1/R'$23$E2tU/2t'$•2(sU:+
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%[2,2A/2t'$•2
1.1.2 Lý thuyết đường cung thị trường
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•:&$kš0:',9',“0A0U90,2AE/A0'/+:$*F',Ui$$/T2,2+'07$/sz$*F',(2):
E2t'0A0Q3:$<E/A0E/V',$/+Q(€2
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W'/$*•',Eƒ$/:~$(=>0A1l7',$*F',',5'/
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/=%~Q$/‚FyP$/:Q3$0:',0R:$/W,2A0q/5',/”+1/7$/:i0%5F0A0Q3:$<'/=
$/:'/~1•,2A/5',/”+y28'Y:+'z$/S/23:zY:QUV$/S$*=T',zEr%G',z0/21/.kq'
•:&$z$W'/$*•',Eƒ$/:~$z0/.'/kA0/zk</ ',$*F',UV‘$',5'/:Q'/28'$*F',Z52
',/28'09:'5Q%WUi$k<'/`'$<E/V',$/3(Fy=T',(=>0/F#0E/V',(4k<y2t:
'8'$A0,2q0/jk•l7',Ui$%52'/`'$<'/=,2A0q/5',/”+y28'Y:+'•Er%G',•
0/.'/kA0/04+0/.'/1/4z0&:$*—0$/S$*=T',‰
1.2 Lý thuyết mô hình tự hồi quy
V/W'/$H/X2Y:QN5UV/W'/$*F',(”0”.$'/&$Ui$Z23',2q2$/.0/y5,2A$*S$*I
04+Z23'1/7$/:i0
O$¡+
-
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6
v$¢+
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$-
¢:
$
/‚F%.l7$*8'$/W,2A$*S04+O$*F',,2+2(F•'$1/7$/:i0%5F'/p',Z23',2q2
$/.0/$*F',,2+2(F•'$z1/7$/:i0,2A$*S04+04+0/.'/'”$*F',,2+2(F•'$-%5-
Q3:$<',œ:'/28':
$
/=%~QE/A2Y:A$/”+04+yP$/:Q3$'5Q0/F*•',,2A$*S04+Z23'1/7$/:i0“
$*F',,2+2(F•'$E/V','/p',1/7$/:i0%5F'/p',Z23',2q2$/.0/“$*F',,2+2
(F•'$U50…'1/7$/:i0%5F,2A$*S04+0/.'/'”$*F',0A0,2+2(F•'“$*F',Y:A
E/9%5Q3:$<',œ:'/28':
$
O$¡+
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v
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A0/tk<=[0y=>',04+UV/W'/
:
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$/.0/$*F',UV/2Ž'/
1. 3 Lý thuyết mô hình hồi quy hai bước
*F',UV/W'/0”'/2):1/=@',$*W'/,2p+0A0Z23'k<%5,2p+0A0Z23''5Q0”$/s
0”U<2Y:+'/tY:+y•2F%~Q0”$/s$X'$•2$=@',Y:+',2p+0A0Z23',2q2$/.0/
%[2k+2k<',œ:'/28'/2(”UV/W'/=[0y=>',Z•',1/=@',1/A1ZW'/1/=@',
'/£'/&$E/V',0…'0/.'/•A0'p+A0=[0y=>',kšZS0/t0/%5E/V',%p',
*F',$*=T',/>1'5Q$+0R'lm',(3'0A01/=@',1/A1=[0y=>',E/A0$:Q'/28'
$+0R'•‚U•¤$%&'()(S'/l•',(s0”1/=@',1/A1=[0y=>',$=@',9',
S'/l•',
23''i2k2'/y5Z23'U5,2A$*S04+'”(=>0•A0(S'/$wUV/W'/
23'',F•2k2'/A0,2A$*S04+'”(=>0•A0(S'/',F52UV/W'/Z+F,XU0qZ23'
$*I04+Z23''i2k2'/zZ23'',F•2k2'/
/=@',$*W'/*—$,G'y51/=@',$*W'/(=>0*—$*+$w1/=@',$*W'//5'/%2†1/=@',
$*W'/U5%31/q20”0/9+04+'/p',Z23'',F•2k2'/‡$*F',(”Z23''i2k2'/¡¥
†Z23'',F•2k2'/•k+2k<‡z$*F',$*=T',/>1'5Q0”'/2):1/=@',1/A1,2q2Y:Q3$
$:Q'/28'$*F',Z52',/28'09:'5Q$/W$A0,2qk•l7',UV/W'//X2Y:Q6Z=[0
(=>0()•:&$Z“2/+2$A0,2q‚'*2/‚2y%5FZ‚*$+kU+''
/=@',1/A1ZW'/1/=@',Z¤'/&$6,2+2(F•'†6LNL‡,XU6Z=[0k+:
=[0-[0y=>',0A01/=@',$*W'/*—$,G'$+0”(=>0
=[06[0y=>',0A01/=@',$*W'/Z+'(R:z$*F',(”0A0Z23'O
2
“%31/q2(=>0
$/+QZ•',0A0=[0y=>',04+'”
1. 4 Lý thuyết mô hình ARCH/GARCH
1.4.1 Lý thuyết mô hình ARCH
V/2Ž'/"lF¦',y‚1/+•$$*28•''ŠU-^]6UV/2Ž'/'+ŽQ0/F*ŠŽ',1/=@',k+2
0:•+/+‘','/28’:$+‘2$/@Ž2(28•U$1/:‘$/:V‘0%+ŽF0+•0/+‘','/28’:Z2Ž'/1/=@',@•0+•0
,2+2(F+‘'$*=@•0¦',y‚0/F*ŠŽ',$V•$'/`•$0/:•',$+'8'UV/2Ž'//F+•(VŽ',$/@Ž2,2+•$*2‘
$*:',Z2Ž'/%+Ž1/=@',k+20/:V’2kV•y28‘:E/2',/2',@Ž*ŠŽ',,2+•$*2‘1/=@',k+2$/+Q
(V•2$/‚F$/@Ž2,2+'V/2Ž'/(@',2+•''/=k+:
O
$
¡
-
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6
v
$
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$
†--‡
*F',(F•v$y+ŽUV‘$%‚0$@E•-0+•0Z28•',2+•2$/2•0/%+Ž
6
y+ŽUV‘$%‚0$@E•-0+•0/8‘
kV•/V',$/=@Ž',:
$
(=@‘0,2+•(2‘'/0F•1/`'1/V•20/:`•'%@•2$*:',Z2Ž'/ZŠŽ',_%+Ž
1/=@',k+2E/V',(V•2y+Ž 2+•(2‘'/'+ŽQ(=@‘0%28•$'/=k+:
ut ˜ N(0, h
t
) †-6‡
O•$=@•',0:Ž+¦',y‚ZŠ•$(`Ž:$=Žk=‘$/`‘$V',0/F1/‚•11/=@',k+20:•+0+•0/+‘','/28’:
1/:‘$/:V‘0%+ŽF0+•0,2+•$*2‘Y:+•E/=•z/+Q1/=@',k+2$/+Q(V•2$/‚F$/@Ž2,2+'V‘$
0+•0/(8•UV/2Ž'//F+•Q•$=@•','+ŽQy+Ž0/F1/=@',k+21/:‘$/:V‘0%+ŽF0+•0Z28•'$*8’0:•+
0+•0/+‘','/28’:Z2Ž'/1/=@',28Ž:'+ŽQ0F•$/8•(=@‘0U2'//F+‘'/=k+:
h
t
= γ
0
+ γ
1
u
2
t-1
†-;‡
/=@',$*2Ž'/†-;‡(=@‘0,F‘2y+ŽY:2$*2Ž'/"†-‡%+ŽQ•$=@•','+ŽQ0:’',$=@',$=‘
'/=Q•$=@•',UV/2Ž'/""
Mô hình ARCH (1)
V/2Ž'/"†-‡k‚’UV/2Ž'//F+•(VŽ',$/@Ž2,2+•$*2‘$*:',Z2Ž'/%+Ž1/=@',k+20:•+
UV‘$0/:V’2$/@Ž2,2+''/=0+•0/(=@‘0•+•0(2‘'/k+:(`Q
O
$
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¢
6
v
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$
†-?‡
:
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6
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K•(`Q1/=@',$*2Ž'/†-?‡(=@‘0,F‘2y+Ž1/=@',$*2Ž'/=@•0y=@‘',,2+•$*2‘$*:',Z2Ž'/%+Ž
1/=@',$*2Ž'/†-B‡(=@‘0,F‘2y+Ž1/=@',$*2Ž'/=@•0y=@‘',1/=@',k+28•(@',2+•'
0/F%28‘0$/8•/28‘'0V',$/=•00:•+1/=@',$*2Ž'/1/=@',k+2$+$/8•/28‘'EQ•/28‘:/
$
$/+Q0/F
V/2Ž'/"†-‡0/F*ŠŽ',E/20F•UV‘$0:•kV•0y@•'@•,2+2(F+‘'$-$/2Ž,2+•$*2‘:
$
0:’',k‚’y@•'/@',/2’+y+ŽE/2 y@•'\'/F•$/2Ž1/=@',k+20:•+:
$
0:’',k‚’y@•'\'/F•
8‘kV•=@•0y=@‘', 1/q20F•l`•:l=@',%2Ž1/=@',k+2y:V'l=@',
Mô hình ARCH (q)
/=‘0$8•1/=@',k+20F•(28Ž:E28‘'0F•$/8•1/:‘$/:V‘0E/V',0/2•UV‘$(V‘$*8’U+Ž0FŽ'
'/28Ž:(V‘$*8’$*=@•0'F•'=’+z%2ŽUV’2$*=@Ž',/@‘10F•$/8•$+‘F*+UV‘$Y:Q$*2Ž'/"
E/+•0'/+:2•l:‘"†6‡k‚’(=@‘0$/8•/28‘''/=k+:
O
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6
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$
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%5UV/W'/"†;‡kšy5
O
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6
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%5$*=T',/>1$€',Y:A$kšy5"†Y‡(=>0$/s/2t''/=k+:
O
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6
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V/W'/"†Y‡kšUV/W'//FA(X',$/T2,2A$*S$*:',ZW'/%51/=@',k+204+
Ui$0/:x20A0/tk<=[0y=>', 1/q20”l&:l=@',%W1/=@',k+2y:V'l=@',
- Kiểm định tính ARCH
*=[0E/2=[0y=>',0A0UV/W'/"†Y‡z(2):Y:+'$*G',y50/—',$+0R'
E2sU$*+•‚U0”$X'$•20A0q'//=“',"/+QE/V',(sZ23$0A0UV/W'/'5F
0R'=[0y=>',$/‚F1/=@',1/A1"$/+Q%W$/‚F1/=@',1/A1=[0y=>',
NL2)U(S'/q'//=“',"kš(=>0$/H0/2t'$/‚FY:2$*W'/'/=k+:
=[0-[0y=>',1/=@',$*W'/$*:',ZW'/$/‚F1/=@',1/A1NL
O
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N=:Pz0A0Z23',2q2$/.0/0”$/sZ+F,XU0A0Z23'$*I04+Z23'1/7$/:i0%50A0
Z23',2q2$/.0/E/A00”q'//=“',(3'O
$
,F52*+zE/2$/H0/2t'%[2lpy2t:Uœ:z
$/W/•','/2I::
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$*F',UV/W'/†-B ‡z(=>0(€2$/5'/1/R'l=‚
$
=[06[0y=>',1/=@',$*W'//X2Y:21/7k+:(`Q
e
2
t
= γ
0
+ γ
1
e
2
t-1
+ γ
2
e
2
t-2
+ γ
3
e
2
t-3
+….+ γ
q
e
2
t-q
+ wt
vA0(S'//tk<•A0(S'/04+UV/W'//X2Y:21/7z(#$$8'y5
6
=[0;vA0(S'/,2q$/23$
_
'/=k+:
H0 : γ
0
= γ
1
= γ
2
= ….= γ
q
wE3$Y:q/X2Y:21/7$+$.'/
6
ªz%[2y5k<Y:+'kA$04+0/:x2lpy2t:(+',
(=>0•‚U•¤$/<',E8'5Qkš$/‚F1/`'1/<2χ
6
%[2k<Z~0$HlFy5k<(i$*IY
†lF $*F',1/=@',$*W'//X2Y:Qy5Ui$$€',04+Y$/5'/1/R'y&QZW'/1/=@',‡
3:,2A$*S$/<',E8χ
6
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6
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† zl¥‡‡z$/W0/—',$+ZA0Z£,2q$/23$
_
z%5',=>0y•23:ZA0Z£,2q
$/23$
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z$/W$+0”$/sE3$y:~'*•',0/:x2lpy2t:(+',•¤$0”q'//=“',"
1.4.2 Lý thuyết mô hình GARCH
/‚F¦',y‚†-^^B‡UV‘$$*F','/=’',/+‘'0/8•0:•+UV/2Ž'/"y+Ž'F•0F•/2Ž'/%‚’
,2V•',l+‘',UV/2Ž'/$*:',Z2Ž'/l2(V‘',/@'y+ŽUV/2Ž'/$=‘/VŽ2Y:QV‘$Q•$=@•',
U@•2y+Ž0/:•',$+'8'(=+$/8U0+•0Z28•'$*8’0:•+1/=@',k+20F•(28Ž:E28‘'%+ŽF
1/=@',$*2Ž'/0:•+1/=@',k+2$/‚Fl+‘',$=‘/VŽ2Y:Q,F+Ž2*+'8•:0+•0+•'//=@•',
"0F•Y:+•'/28Ž:(V‘$*8’k‚’+•'//=@•',$@•2E8•$Y:+•=@•0y=@‘',lF,2+•U(+•',E8•kV•
Z`‘0$=‘lF$*F',UV/2Ž'//2•'/%2Ž%`‘QUV/2Ž'/"0F••:/=@•',(=@‘0k=•
l:‘',1/V•Z28•'/@'
- Mô hình GARCH (p, q )
V/2Ž'/"†1zY‡0F•l+‘',k+:(`Q
O
$
¡
-
¢
6
v
$
¢:
$
†6-‡
:
$
§†_z/
$
‡
h
t
= γ
0
+
i
h
t-i
+
j
u
2
t-j
†66‡
/=@',$*2Ž'/†66‡'F•2y8'*ŠŽ',1/=@',k+2/
$
Z`Q,2@Ž1/:‘$/:V‘0%+ŽF0+•,2+•$*2‘Y:+•
E/=•0:•+'/=’',0:•kV•0(+‘2l28‘'Z@•2'/=’',Z28•'$*8’0:•+/+‘','/28’:Z2Ž'/1/=@',z%+Ž
0+•0,2+•$*2‘Y:+•E/=•0:•+Z+•'$/`'/
$
(+‘2l28‘'Z@•20+•0Z28•'/
$2
8•:1¡_$/2ŽUV/2Ž'/
"†_zY‡(@',2+•'y+ŽUV/2Ž'/"†Y‡+‘',(@',2+•''/`•$0:•+UV/2Ž'/
" y+ŽUV /2Ž'/ " †-z -‡/=@',$*2Ž'/1/=@', k+20:•+ UV/2Ž'/
"†-z-‡(=@‘0$/8•/28‘''/=k+:
h
t
= γ
0
+ δ
1
h
t-1
+
γ
1
u
2
t-1
†6;‡
V/2Ž'/"†-z-‡'/=Y:Q$*2Ž'/"†Y‡%V$`‘'
8•'/`‘'$/`•QUV/2Ž'/"†-z-‡y+ŽUV‘$0+•0/Z28•:l28’'$/:,F‘'0:•+UV/2Ž'/
"†Y‡z%@•2YE‚•Fl+Ž2%V$`‘'/:•',$+0`Ž'UV‘$%+Ž2Z28•'(V•2/=@',$*2Ž'/†66‡
0F•$/8•(=@‘0%28•$y+‘2'/=k+:
/
$
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6
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¨
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'/`'/+2%8•0:•+1/=@',$*2Ž'/†6B‡0/F $+k‚’0F•
δA= δγ
0
+ δ
2
γ
0
+ δ
3
γ
0
+ …+ δ
∞
γ
0
†6J‡
N`•Q†6B‡$*=Ž†6J‡*VŽ2kŠ•1•8•1y+‘2$+k‚’0F•0V',$/=•0"$/:,F‘''/=k+:
A= γ
0
/( 1+ δ†6n‡
/8•0V',$/=•0†6n‡%+ŽF1/=@',$*2Ž'/†6?‡$+k‚’0F•
/$¡ ¢¨
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/=%`‘Q1/=@',$*2Ž'/†6]‡0/F$/`•QUV/2Ž'/"†-z-‡$=@',(=@',%@•2UV
/2Ž'/"Z`‘0%V0:Ž',%@•20+•0/8‘kV•0F••:/=@•',,2+•Ul`Ž'2ŽyQ•lF'+ŽQ0/:•',
$+'8'k=•l:‘',UV/2Ž'/"†-z-‡$/+Q0/FUV/2Ž'/"Z`‘00+FZ@•2%2Ž%@•2
UV/2Ž'/"†-z-‡0/:•',$+k‚’0`Ž'2•$kV•/8‘kV•0`Ž'=@•0y=@‘',/@'%+Ž%2Ž$/8•k‚’
,2:•1/+‘'0/8•E/+•'Š',U`•$(2%VkV•Z`‘0$=‘lF$*F',UV/2Ž'/
1.4.3 Lý thuyết mô hình TGARCH
+‘'0/8•y@•''/`•$$*F',0+•0UV/2Ž'/"%+Ž"y+Ž0/:•',(=@‘0,2+•(2‘'/0F•
$2•'/0/`•$(V•2•=•',28Ž:'+ŽQ0F•',/2’+0+•0UV/2Ž'/'+ŽQ0/2•Y:+'$`U$@•2,2+•$*2‘
$:Q8‘$(V•20:•+0+•00:•kV•00/=•E/V',Y:+'$`U$@•2l`•:0:•+0/:•',†Z@•2%2Ž/+‘',
'/28’:\1/`Ž'l=(=@‘0•=•yQ•l=@•2l+‘',Z2Ž'/1/=@',‡2Ž$/8•$*F',0+•0UV/2Ž'/
"\"UV‘$0:•kV•0U+‘'/0F•,2+•$*2‘l=@',0F•+•'//=@•',y8'k=‘l+F(V‘',
0:•+0/:V’2kV•y28‘:/F+Ž'$F+Ž',2V•',%@•20:•kV•0U+‘'/0F•,2+•$*2‘`U:Q'/28'E2'/
',/28‘U0/F$/`•Q0+•00:•kV•00F•,2+•$*2‘`U$*8'$/2‘$*=@Ž',$/=@Ž',0F•$+•0l:‘',U+‘'/
%+Žl+2lŠ•',/@'0+•00:•kV•00F•,2+•$*2‘l=@',/2•'/%2Ž%`‘Q',=@Ž2$+0V•,Š•',UV
/2Ž'//F+•k=‘E/+•0Z28‘$$*F',+•'//=@•','+ŽQ2•%`‘QUV/2Ž'/"(+’(=@‘0
1/+•$$*28•'
:‘0(2•0/0/2•'/•+•00:•+UV/2Ž'/y+Ž'/ŠŽU•‚U•‚•$$2•'/Z`•$0`'•=•',,2=’+0+•00:•
kV•0`U%+Ž0:•kV•0l=@',8•y+ŽU(=@‘0'/=%`‘Q0+•0/F‘0,2+•(8Ž•:`•$(=+%+ŽF
1/=@',$*2Ž'/1/=@',k+2UV‘$Z28•',2+•$=@',$+•0,2=’+/+‘','/28’:Z2Ž'/1/=@',%+Ž
Z28•',2+•l
$
*F',(F•l
$
0F•,2+•$*2‘ZŠŽ',UV‘$'8•::
$
-_%+ŽZŠŽ',_'8•::
$
®_8•:/8‘
0:•+Z28•'$=@',$+•0'+ŽQE/V',0F•Q•',/2’+$/V•',E80/=•',$F•0F•k=‘E/+•0Z28‘$$*F',
0+•00:•kV•0E/+•0'/+:
=ŽQ•$=@•','+ŽQ1/=@',$*2Ž'/1/=@',k+2$*F',UV/2Ž'/"†-z-‡k‚’0F•
l+‘','/=k+:ht = γ
0
+ δ
1
h
t-1
+ γ
1
u
2
t-1
+ υ
1
u
2
t-1
d
t-1
†;-‡
8•:/8‘kV• 0F•Q•',/2’+$/V•',E8$/2Ž0+•0$2'$=•0$V•$%+Ž0+•0$2'$=•0•`•:k‚’0F•+•'/
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CHƯƠNG 2: PHÂN TÍCH CÁC NHÂN TỐ TÁC ĐỘNG VÀ DỰ
BÁO GIÁ VÀNG BẰNG MÔ HÌNH HỒI QUY 2 BƯỚC
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