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Modeling Volatility Using GARCH Models: Evidence from Vietnam

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  • Tran MANH Tuyen

    (Paris Nord University and CEPN UMR 7234)

Abstract

We explore the relevance of GARCH models in explaining stock return dynamics and volatility on the Vietnamese stock market. Although the evidence suggests that volatility is prevalent on this market, the effects of shocks on volatility are symmetric. The standard GARCH(0,1) model provides the best description of return dynamics. The results of GARCH-M do not show any relation between expected returns and expected risk. There exists only Bull effect, one characteristic of the emerging market. However, we could not find Friday, and low_transaction effects on Vietnamese stock market.

Suggested Citation

  • Tran MANH Tuyen, 2011. "Modeling Volatility Using GARCH Models: Evidence from Vietnam," Economics Bulletin, AccessEcon, vol. 31(3), pages 1935-1942.
    • Handle: RePEc:ebl:ecbull:eb-11-00107
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    References listed on IDEAS

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    Cited by:

    1. Ezzat, Hassan, 2012. "The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt," MPRA Paper 50530, University Library of Munich, Germany.
    2. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
    3. Ezzat, Hassan, 2012. "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper 51584, University Library of Munich, Germany.

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    More about this item

    Keywords

    Keywords: Vietnamese stock markets; GARCH; volatility; return.;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G0 - Financial Economics - - General

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