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Forecasting and risk management in the Vietnam Stock Exchange

Author

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  • Manh Ha Nguyen

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

Abstract

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.

Suggested Citation

  • Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
    • Handle: RePEc:hal:wpaper:halshs-01679456
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01679456
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    Keywords

    Vietnam Stock exchange; volatility; GARCH models; Value-at-Risk.;
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