Stock Index Forecasting for Vietnam´s Stock Market

Author

Juifang Chang ; Son Van Duong

Author_Institution

Int. Bus. Dept., Nat. Kaohsiung Univ. of Appl. Sci., Kaohsiung, Taiwan

fYear

2012

fDate

25-28 Aug. 2012

Firstpage

320

Lastpage

323

Abstract

In the so-called global crisis from late 2007 up to early 2009, the economy was shaken, especially stock market by global increased volatility transmission. Stocks´ price in Viet Nam continuously went down. Therefore, in this paper, we will analyze to find main factors which strongly have influence on fluctuation of Vietnam´s stock index for the period from 2009 to 2011. Then, we estimate the regression model, GARCH, GARCH in mean, EGARCH, EGARCH in Mean and GJR-GARCH and put them into the comparison to find the best fit model to forecast Vietnam´s stock index. Using the mean square error (MSE), Mean absolute error (MAE) and Root mean square error (RMSE) criterion to evaluate and compare models, we choose Regression-EGRCH(1,1,1)-M which has the superior forecast ability.

Keywords

economic forecasting; mean square error methods; pricing; regression analysis; stock markets; EGARCH; GJR-GARCH; MAE; RMSE; Vietnam stock market; economy; global crisis; mean absolute error; regression model; regression-EGRCH(1,1,1)-M; root mean square error criterion; stock index forecasting; stock price; volatility transmission; Educational institutions; Finance; Indexes; Mathematical model; Predictive models; Stock markets; Yttrium; EGARCH; EGARCH-M; GARCH; GARCH-M; GJR-GARCH model; MSE; RMSE and MAE criteria; Regression;

fLanguage

English

Publisher

ieee

Conference_Titel

Genetic and Evolutionary Computing (ICGEC), 2012 Sixth International Conference on

Conference_Location

Kitakushu

Print_ISBN

978-1-4673-2138-9

Type

conf

DOI

10.1109/ICGEC.2012.135

Filename

6457148