Open AccessTESTING THE GARCH MODEL IN THE VIETNAMESE STOCK MARKET
Author(s) -
Hien Thu Nguyen,
Nghi Dinh Le
Publication year - 2010
Publication title -
khoa học công nghệ
Language(s) - English
Resource type - Journals
ISSN - 1859-0128
DOI - 10.32508/stdj.v13i4.2182
Subject(s) - autoregressive conditional heteroskedasticity , stock (firearms) , volatility (finance) , stock market bubble , economics , financial economics , vietnamese , leverage effect , stock market , conditional variance , econometrics , monetary economics , paleontology , linguistics , philosophy , mechanical engineering , horse , engineering , biology
An important factor of interest of investors on stock markets is investment risk. Risk can undergo a quantitative process through volatility, be measured by conditional variance of stock returns. GARCH is an effective and popularly used model for volatility effect on stock returns. This study tests the GARCH model and analyzes other aspects of volatility on stock returns on the two stock markets of Vietnam. In addition, the study provides evidence of the existence of GARCH effect on Vietnamese stock markets. Besides, the study also assesses price margin policy, trading volume and leverage effects on volatility of stock returns.