Ước lượng mô hình GARCH cho chuỗi lợi suất từ tháng 13/12/2006 đến ngày 15/11/2007 của cổ phiếu FPT

Website: Email : Tel : 0918.775.368
KINH TẾ LƯỢNG
Đề bài : Ước lượng mô hình GARCH cho chuỗi lợi suất từ tháng 13/12/2006 đến ngày
15/11/2007 của cổ phiếu FPT
Bài làm :
Ký hiệu : P
t
là giá đóng cửa của cổ phiếu FPT tại thời điểm t
P
t-1
là giá đóng cửa của cổ phiếu FPT tại thời điểm t-1
R
t
là lợi suất của cổ phiếu FPT tại thời điểm t
Lợi suất của cổ phiếu FPT tại thời điểm t được tính theo công thức sau:
R
t
=( P
t
- P
t-1
)/ P
t-1
Sử dụng Excel tính lợi suất của cổ phiếu FPT
FPT 12/13/2006 400
FPT 12/14/2006 420 0.05
FPT 12/15/2006 441 0.05
FPT 12/18/2006 463 0.049887
FPT 12/19/2006 486 0.049676
FPT 12/20/2006 510 0.049383
FPT 12/21/2006 485 -0.04902

FPT 12/22/2006 461 -0.04948
FPT 12/25/2006 438 -0.04989
FPT 12/26/2006 459 0.047945
FPT 12/27/2006 480 0.045752
FPT 12/28/2006 480 0
FPT 12/29/2006 460 -0.04167
FPT 1/2/2007 440 -0.04348
FPT 1/3/2007 450 0.022727
FPT 1/4/2007 472 0.048889
FPT 1/5/2007 495 0.048729
FPT 1/8/2007 490 -0.0101
FPT 1/9/2007 490 0
FPT 1/10/2007 495 0.010204
FPT 1/11/2007 500 0.010101
FPT 1/12/2007 525 0.05
FPT 1/15/2007 551 0.049524
FPT 1/16/2007 578 0.049002
FPT 1/17/2007 550 -0.04844
FPT 1/18/2007 551 0.001818
FPT 1/19/2007 578 0.049002
FPT 1/22/2007 600 0.038062
FPT 1/23/2007 602 0.003333
FPT 1/24/2007 580 -0.03654
FPT 1/25/2007 580 0
FPT 1/26/2007 580 0
FPT 1/29/2007 605 0.043103
FPT 1/30/2007 630 0.041322
1
Website: Email : Tel : 0918.775.368
FPT 1/31/2007 645 0.02381

FPT 2/1/2007 620 -0.03876
FPT 2/2/2007 630 0.016129
FPT 2/5/2007 599 -0.04921
FPT 2/6/2007 625 0.043406
FPT 2/7/2007 635 0.016
FPT 2/8/2007 604 -0.04882
FPT 2/9/2007 574 -0.04967
FPT 2/12/2007 602 0.04878
FPT 2/13/2007 630 0.046512
FPT 2/14/2007 610 -0.03175
FPT 2/15/2007 610 0
FPT 2/26/2007 640 0.04918
FPT 2/27/2007 665 0.039063
FPT 2/28/2007 632 -0.04962
FPT 3/1/2007 615 -0.0269
FPT 3/2/2007 645 0.04878
FPT 3/5/2007 635 -0.0155
FPT 3/6/2007 604 -0.04882
FPT 3/7/2007 610 0.009934
FPT 3/8/2007 600 -0.01639
FPT 3/9/2007 600 0
FPT 3/12/2007 610 0.016667
FPT 3/13/2007 610 0
FPT 3/14/2007 580 -0.04918
FPT 3/15/2007 551 -0.05
FPT 3/16/2007 578 0.049002
FPT 3/19/2007 578 0
FPT 3/20/2007 562 -0.02768
FPT 3/21/2007 535 -0.04804
FPT 3/22/2007 555 0.037383

FPT 3/23/2007 555 0
FPT 3/26/2007 540 -0.02703
FPT 3/27/2007 513 -0.05
FPT 3/28/2007 513 0
FPT 3/29/2007 538 0.048733
FPT 3/30/2007 541 0.005576
FPT 4/2/2007 520 -0.03882
FPT 4/3/2007 500 -0.03846
FPT 4/4/2007 514 0.028
FPT 4/5/2007 515 0.001946
FPT 4/6/2007 510 -0.00971
FPT 4/7/2007 515 0.009804
FPT 4/9/2007 515 0
FPT 4/10/2007 521 0.01165
FPT 4/11/2007 525 0.007678
FPT 4/12/2007 535 0.019048
FPT 4/13/2007 520 -0.02804
FPT 4/16/2007 525 0.009615
FPT 4/17/2007 515 -0.01905
FPT 4/18/2007 520 0.009709
FPT 4/19/2007 505 -0.02885
FPT 4/20/2007 480 -0.0495
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Website: Email : Tel : 0918.775.368
FPT 4/23/2007 456 -0.05
FPT 4/24/2007 434 -0.04825
FPT 5/2/2007 433 -0.0023
FPT 5/3/2007 442 0.020785
FPT 5/4/2007 464 0.049774
FPT 5/7/2007 487 0.049569

FPT 5/8/2007 500 0.026694
FPT 5/9/2007 500 0
FPT 5/10/2007 525 0.05
FPT 5/11/2007 551 0.049524
FPT 5/14/2007 578 0.049002
FPT 5/15/2007 550 -0.04844
FPT 5/16/2007 532 -0.03273
FPT 5/17/2007 557 0.046992
FPT 5/18/2007 541 -0.02873
FPT 5/21/2007 372 -0.31238
FPT 5/22/2007 372 0
FPT 5/23/2007 370 -0.00538
FPT 5/24/2007 360 -0.02703
FPT 5/25/2007 358 -0.00556
FPT 5/28/2007 357 -0.00279
FPT 5/30/2007 350 -0.01961
FPT 5/31/2007 349 -0.00286
FPT 6/1/2007 345 -0.01146
FPT 6/4/2007 340 -0.01449
FPT 6/5/2007 323 -0.05
FPT 6/6/2007 330 0.021672
FPT 6/7/2007 338 0.024242
FPT 6/8/2007 330 -0.02367
FPT 6/11/2007 320 -0.0303
FPT 6/12/2007 319 -0.00313
FPT 6/13/2007 306 -0.04075
FPT 6/14/2007 305 -0.00327
FPT 6/15/2007 310 0.016393
FPT 6/18/2007 306 -0.0129
FPT 6/19/2007 306 0

FPT 6/20/2007 306 0
FPT 6/21/2007 300 -0.01961
FPT 6/22/2007 295 -0.01667
FPT 6/25/2007 309 0.047458
FPT 6/26/2007 324 0.048544
FPT 6/27/2007 311 -0.04012
FPT 6/28/2007 308 -0.00965
FPT 6/29/2007 307 -0.00325
FPT 7/2/2007 302 -0.01629
FPT 7/3/2007 303 0.003311
FPT 7/4/2007 312 0.029703
FPT 7/5/2007 310 -0.00641
FPT 7/6/2007 308 -0.00645
FPT 7/9/2007 308 0
FPT 7/10/2007 308 0
FPT 7/11/2007 308 0
FPT 7/12/2007 306 -0.00649
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Website: Email : Tel : 0918.775.368
FPT 7/13/2007 299 -0.02288
FPT 7/16/2007 290 -0.0301
FPT 7/17/2007 290 0
FPT 7/18/2007 288 -0.0069
FPT 7/19/2007 285 -0.01042
FPT 7/20/2007 283 -0.00702
FPT 7/23/2007 272 -0.03887
FPT 7/24/2007 267 -0.01838
FPT 7/25/2007 255 -0.04494
FPT 7/26/2007 250 -0.01961
FPT 7/27/2007 250 0

FPT 7/30/2007 253 0.012
FPT 7/31/2007 245 -0.03162
FPT 8/1/2007 240 -0.02041
FPT 8/2/2007 228 -0.05
FPT 8/3/2007 228 0
FPT 8/6/2007 218 -0.04386
FPT 8/7/2007 228 0.045872
FPT 8/8/2007 239 0.048246
FPT 8/9/2007 250 0.046025
FPT 8/10/2007 240 -0.04
FPT 8/13/2007 231 -0.0375
FPT 8/14/2007 235 0.017316
FPT 8/15/2007 230 -0.02128
FPT 8/16/2007 223 -0.03043
FPT 8/17/2007 220 -0.01345
FPT 8/20/2007 225 0.022727
FPT 8/21/2007 227 0.008889
FPT 8/22/2007 229 0.008811
FPT 8/23/2007 225 -0.01747
FPT 8/24/2007 230 0.022222
FPT 8/27/2007 226 -0.01739
FPT 8/28/2007 226 0
FPT 8/29/2007 226 0
FPT 8/30/2007 225 -0.00442
FPT 8/31/2007 225 0
FPT 9/4/2007 229 0.017778
FPT 9/5/2007 225 -0.01747
FPT 9/6/2007 225 0
FPT 9/7/2007 225 0
FPT 9/10/2007 223 -0.00889

FPT 9/11/2007 223 0
FPT 9/12/2007 223 0
FPT 9/13/2007 223 0
FPT 9/14/2007 225 0.008969
FPT 9/17/2007 224 -0.00444
FPT 9/18/2007 222 -0.00893
FPT 9/19/2007 223 0.004505
FPT 9/20/2007 225 0.008969
FPT 9/21/2007 228 0.013333
FPT 9/24/2007 239 0.048246
FPT 9/25/2007 250 0.046025
FPT 9/26/2007 250 0
4
Website: Email : Tel : 0918.775.368
FPT 9/27/2007 260 0.04
FPT 9/28/2007 273 0.05
FPT 10/1/2007 286 0.047619
FPT 10/2/2007 296 0.034965
FPT 10/3/2007 301 0.016892
FPT 10/4/2007 295 -0.01993
FPT 10/5/2007 281 -0.04746
FPT 10/8/2007 274 -0.02491
FPT 10/9/2007 287 0.047445
FPT 10/10/2007 287 0
FPT 10/11/2007 281 -0.02091
FPT 10/12/2007 283 0.007117
FPT 10/15/2007 280 -0.0106
FPT 10/16/2007 278 -0.00714
FPT 10/17/2007 282 0.014388
FPT 10/18/2007 278 -0.01418

FPT 10/19/2007 275 -0.01079
FPT 10/22/2007 272 -0.01091
FPT 10/23/2007 271 -0.00368
FPT 10/24/2007 280 0.03321
FPT 10/25/2007 277 -0.01071
FPT 10/26/2007 275 -0.00722
FPT 10/29/2007 271 -0.01455
FPT 10/30/2007 270 -0.00369
FPT 10/31/2007 272 0.007407
FPT 11/1/2007 270 -0.00735
FPT 11/2/2007 264 -0.02222
FPT 11/5/2007 257 -0.02652
FPT 11/6/2007 247 -0.03891
FPT 11/7/2007 244 -0.01215
FPT 11/8/2007 247 0.012295
FPT 11/9/2007 251 0.016194
FPT 11/12/2007 251 0
FPT 11/13/2007 240 -0.04382
FPT 11/14/2007 251 0.045833
FPT 11/15/2007 246 -0.01992
5