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Forecasting and risk management in the Vietnam Stock Exchange

Type de record:

paper
Créateur:
NguDar
Éditeur:
LabPAN
Éditeur:
CCSD
Hôte:avatar
This paper analyzes volatility models and their risk forecasting abilities with the presence of jumps for the Vietnam Stock Exchange (VSE). We apply GARCH-type models, which capture short and long memory and the leverage effect, estimated from both raw and filtered returns. The data sample covers two VSE indexes, the VN index and HNX index, provided by the Ho Chi Minh City Stock Exchange (HOSE) and Hanoi Stock Exchange (HNX), respectively, during the period 2007 - 2015. The empirical results reveal that the FIAPARCH model is the most suitable model for the VN index and HNX index.

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shs.hal.science

Tags

Vietnam Stock exchangevolatilityGARCH modelsValue-at-Risk.JEL: C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion ProcessesJEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C53 - Forecasting and Prediction Methods • Simulation MethodsJEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G10 - GeneralJEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G17 - Financial Forecasting and Simulation[SHS.ECO]Humanities and Social Sciences/Economics and Finance

Licenses

info:eu-repo/semantics/OpenAccess

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