Forecasting and risk management in the Vietnam Stock Exchange - HAL Accéder directement au contenu
Pré-publication, Document de travail Année : 2018

Forecasting and risk management in the Vietnam Stock Exchange

Résumé

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.
Fichier principal
Vignette du fichier
LEMNA-DT2018-03.pdf ( 651.49 Ko ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-01679456, version 1 (09-01-2018)

Identifiants

  • HAL Id : halshs-01679456 , version 1

Citer

Manh Ha Nguyen, Olivier Darné. Forecasting and risk management in the Vietnam Stock Exchange. 2018. ⟨halshs-01679456⟩
329 Consultations
2898 Téléchargements
Dernière date de mise à jour le 28/04/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus