Kinh tế lượng: ước lượng mô hình GARCH cho một chuỗi lợi suất của một loại cổ phiếu bất kỳ

Website: Email : Tel (: 0918.775.368
Kinh tế lượng
Đề bài:
1. Ước lượng mô hình GARCH cho một chuỗi lợi suất của một loại cổ
phiếu bất kỳ với số liệu theo tháng ( ít nhất 2 tháng) trên HASTC hoặc
HOSE.
Bài làm
Ước lượng mô hình GARCH cho chuỗi lợi suất của cổ phiếu BT6 trên
HOSE.
Lựa chọn chuỗi giá của cổ phiếu BT6 với 270 quan sát ( thời gian từ
1/8/2006 đến 31/8/2007)
Tính lợi suất của cổ phiếu BT6 với công thức:
r
t
= ( P
t+1
– P
t
)/ P
t
trong đó : P
t
là giá cổ phiếu tại thời điểm t
P
t+1
là giá cổ phiếu tại thời điểm t+1
r
t
là lợi suất của cổ phiếu tại thời điểm t
Ta có chuỗi lợi suất của BT6 như sau:
date p-close r

1 8/1/2006 38.2
2 8/2/2006 38.2 0
3 8/3/2006 40.1 0.04973822
4 8/4/2006 42.1 0.049875312
5 8/7/2006 40 -0.04988124
6 8/8/2006 41 0.025
7 8/9/2006 42.5 0.036585366
8 8/10/2006 42.5 0
9 8/11/2006 43.9 0.032941176
10 8/14/2006 46 0.047835991
11 8/15/2006 47 0.02173913
12 8/16/2006 48.1 0.023404255
13 8/17/2006 48.1 0
14 8/18/2006 47.5 -0.01247401
15 8/21/2006 47 -0.01052632
16 8/22/2006 46 -0.0212766
17 8/23/2006 46 0
18 8/24/2006 46 0
19 8/25/2006 46 0
20 8/28/2006 46.5 0.010869565
21 8/29/2006 47.5 0.021505376
22 8/30/2006 48 0.010526316
1
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23 8/31/2006 48 0
24 9/1/2006 47 -0.02083333
25 9/5/2006 49.3 0.04893617
26 9/6/2006 49.3 0
27 9/7/2006 48.5 -0.01622718
28 9/8/2006 48.5 0

29 9/11/2006 48.1 -0.00824742
30 9/12/2006 47.1 -0.02079002
31 9/13/2006 48 0.01910828
32 9/14/2006 47.6 -0.00833333
33 9/15/2006 47.8 0.004201681
34 9/18/2006 48 0.0041841
35 9/19/2006 48.2 0.004166667
36 9/20/2006 48.5 0.006224066
37 9/21/2006 49 0.010309278
38 9/22/2006 49.4 0.008163265
39 9/25/2006 51.5 0.042510121
40 9/26/2006 54 0.048543689
41 9/27/2006 55.5 0.027777778
42 9/28/2006 54 -0.02702703
43 9/29/2006 53 -0.01851852
44 10/2/2006 55 0.037735849
45 10/3/2006 56 0.018181818
46 10/4/2006 55 -0.01785714
47 10/5/2006 53.5 -0.02727273
48 10/6/2006 54 0.009345794
49 10/9/2006 54 0
50 10/10/2006 53 -0.01851852
51 10/11/2006 53 0
52 10/12/2006 53.5 0.009433962
53 10/13/2006 53 -0.00934579
54 10/16/2006 53.5 0.009433962
55 10/17/2006 52 -0.02803738
56 10/18/2006 52.5 0.009615385
57 10/19/2006 54 0.028571429
58 10/20/2006 53.5 -0.00925926

59 10/23/2006 53 -0.00934579
60 10/24/2006 53 0
61 10/25/2006 52.5 -0.00943396
62 10/26/2006 53 0.00952381
63 10/27/2006 53 0
64 10/30/2006 51.5 -0.02830189
65 10/31/2006 52 0.009708738
2
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66 11/1/2006 52.5 0.009615385
67 11/2/2006 52 -0.00952381
68 11/3/2006 52.5 0.009615385
69 11/6/2006 52.5 0
70 11/7/2006 53.5 0.019047619
71 11/8/2006 54 0.009345794
72 11/9/2006 54.5 0.009259259
73 11/10/2006 54 -0.00917431
74 11/13/2006 55 0.018518519
75 11/14/2006 55.5 0.009090909
76 11/15/2006 55 -0.00900901
77 11/16/2006 54 -0.01818182
78 11/17/2006 54 0
79 11/20/2006 54 0
80 11/21/2006 54 0
81 11/22/2006 54.5 0.009259259
82 11/23/2006 57 0.04587156
83 11/24/2006 59.5 0.043859649
84 11/27/2006 57 -0.04201681
85 11/28/2006 59.5 0.043859649
86 11/29/2006 57 -0.04201681

87 11/30/2006 58.5 0.026315789
88 12/1/2006 57.5 -0.01709402
89 12/4/2006 57 -0.00869565
90 12/5/2006 55 -0.03508772
91 12/6/2006 57.5 0.045454545
92 12/7/2006 60 0.043478261
93 12/11/2006 63 0.05
94 12/12/2006 60 -0.04761905
95 12/13/2006 61 0.016666667
96 12/14/2006 60 -0.01639344
97 12/15/2006 58.5 -0.025
98 12/18/2006 57.5 -0.01709402
99 12/19/2006 58 0.008695652
100 12/20/2006 55.5 -0.04310345
101 12/21/2006 53.5 -0.03603604
102 12/22/2006 53 -0.00934579
103 12/25/2006 55.5 0.047169811
104 12/26/2006 58 0.045045045
105 12/27/2006 57 -0.01724138
106 12/28/2006 56 -0.01754386
107 12/29/2006 55 -0.01785714
108 1/2/2007 54.5 -0.00909091
3
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109 1/3/2007 56 0.027522936
110 1/4/2007 58 0.035714286
111 1/5/2007 58 0
112 1/8/2007 57 -0.01724138
113 1/9/2007 57 0
114 1/10/2007 56.5 -0.00877193

115 1/11/2007 57.5 0.017699115
116 1/12/2007 58.5 0.017391304
117 1/15/2007 60 0.025641026
118 1/16/2007 62 0.033333333
119 1/17/2007 59.5 -0.04032258
120 1/18/2007 59 -0.00840336
121 1/19/2007 59.5 0.008474576
122 1/22/2007 57 -0.04201681
123 1/23/2007 59 0.035087719
124 1/24/2007 61 0.033898305
125 1/25/2007 60 -0.01639344
126 1/26/2007 60 0
127 1/29/2007 60 0
128 1/30/2007 61 0.016666667
129 1/31/2007 61 0
130 2/1/2007 61 0
131 2/2/2007 61 0
132 2/5/2007 64 0.049180328
133 2/6/2007 67 0.046875
134 2/7/2007 70 0.044776119
135 2/8/2007 66.5 -0.05
136 2/9/2007 65.5 -0.01503759
137 2/12/2007 67 0.022900763
138 2/13/2007 68 0.014925373
139 2/14/2007 68 0
140 2/15/2007 68 0
141 2/26/2007 71 0.044117647
142 2/27/2007 74.5 0.049295775
143 2/28/2007 76 0.020134228
144 3/1/2007 79.5 0.046052632

145 3/2/2007 83 0.044025157
146 3/5/2007 87 0.048192771
147 3/6/2007 91 0.045977011
148 3/7/2007 88 -0.03296703
149 3/8/2007 86 -0.02272727
150 3/9/2007 85 -0.01162791
151 3/12/2007 86 0.011764706
4
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152 3/13/2007 87 0.011627907
153 3/14/2007 83 -0.04597701
154 3/15/2007 80 -0.03614458
155 3/16/2007 82 0.025
156 3/19/2007 84 0.024390244
157 3/20/2007 83 -0.01190476
158 3/21/2007 80 -0.03614458
159 3/22/2007 77 -0.0375
160 3/23/2007 77 0
161 3/26/2007 75 -0.02597403
162 3/27/2007 71.5 -0.04666667
163 3/28/2007 69 -0.03496503
164 3/29/2007 72 0.043478261
165 3/30/2007 75.5 0.048611111
166 4/2/2007 72 -0.04635762
167 4/3/2007 70 -0.02777778
168 4/4/2007 72 0.028571429
169 4/5/2007 72 0
170 4/6/2007 71 -0.01388889
171 4/7/2007 74 0.042253521
172 4/9/2007 69 -0.06756757

173 4/10/2007 69 0
174 4/11/2007 69 0
175 4/12/2007 66 -0.04347826
176 4/13/2007 63.5 -0.03787879
177 4/16/2007 60.5 -0.04724409
178 4/17/2007 57.5 -0.04958678
179 4/18/2007 60 0.043478261
180 4/19/2007 63 0.05
181 4/20/2007 62 -0.01587302
182 4/23/2007 61.5 -0.00806452
183 4/24/2007 60 -0.02439024
184 5/2/2007 62 0.033333333
185 5/3/2007 62 0
186 5/4/2007 62 0
187 5/7/2007 65 0.048387097
188 5/8/2007 66 0.015384615
189 5/9/2007 65 -0.01515152
190 5/10/2007 63 -0.03076923
191 5/11/2007 65 0.031746032
192 5/14/2007 65.5 0.007692308
193 5/15/2007 66.5 0.015267176
194 5/16/2007 65.5 -0.01503759
5
Website: Email : Tel (: 0918.775.368
195 5/17/2007 65 -0.00763359
196 5/18/2007 64 -0.01538462
197 5/21/2007 64 0
198 5/22/2007 64.5 0.0078125
199 5/23/2007 64.5 0
200 5/24/2007 64 -0.00775194

201 5/25/2007 63.5 -0.0078125
202 5/28/2007 63.5 0
203 5/30/2007 62.5 -0.01574803
204 5/31/2007 63 0.008
205 6/1/2007 61.5 -0.02380952
206 6/4/2007 61 -0.00813008
207 6/5/2007 59.5 -0.02459016
208 6/6/2007 60 0.008403361
209 6/7/2007 60.5 0.008333333
210 6/8/2007 61 0.008264463
211 6/11/2007 61.5 0.008196721
212 6/12/2007 61 -0.00813008
213 6/13/2007 61.5 0.008196721
214 6/14/2007 60.5 -0.01626016
215 6/15/2007 60.5 0
216 6/18/2007 60 -0.00826446
217 6/19/2007 59.5 -0.00833333
218 6/20/2007 59.5 0
219 6/21/2007 58.5 -0.01680672
220 6/22/2007 57.5 -0.01709402
221 6/25/2007 55 -0.04347826
222 6/26/2007 56.5 0.027272727
223 6/27/2007 56.5 0
224 6/28/2007 55.5 -0.01769912
225 6/29/2007 56 0.009009009
226 7/2/2007 55.5 -0.00892857
227 7/3/2007 53.5 -0.03603604
228 7/4/2007 55.5 0.037383178
229 7/5/2007 54.5 -0.01801802
230 7/6/2007 54.5 0

231 7/9/2007 57 0.04587156
232 7/10/2007 59.5 0.043859649
233 7/11/2007 62 0.042016807
234 7/12/2007 65 0.048387097
235 7/13/2007 64.5 -0.00769231
236 7/16/2007 61.5 -0.04651163
237 7/17/2007 64 0.040650407
6