1.

TNG

M hnh ny cho rng phng sai ca cc s hng
nhiu bnh phng cc giai on t. c ph thuc
vo cc s hng nhiu giai on trc (t-1, t-2)
Engel cho rng chng ta nn m hnh ha ng thi
gi tr trung bnh v phng sai chui d liu khi
nghi ng rng gi tr phng sai thay i theo thi
gian.
September 6, 2014 1
2. M HNH ARCH
M hnh ARCH s m hnh ha ng thi gi tr
trung bnh v phng sai ca mt chui thi gian

t
=
0
+
1
X
t
+ u
t

Vi u
t
~(0;
2
)
Khi p dng vi mu ta thay tn
2
bng
t

y l phng trnh c lng gi tr trung
bnh.

September 6, 2014 2

t
=
0
+
1
u
t-1
2
(2)
c gi l phng trnh c lng gi tr phng
sai.



1
>0 v phng sai lun dng (h
t
=
2
)
iu ny ph hp vi quan im ca Engel
cho rng khi c mt c sc xy ra trong giai
on t-1 th gi tr phng sai ca nhiu giai
on t cng s ln hn.
September 6, 2014 3
3. M HNH ARCH(q)
Phng sai ca giai on t c th ph thuc vo 1
tr trc hoc nhiu tr trc, t c cc
dng
ARCH(q)
h
t
=
0
+
1
u
2
t-1
+
2
u
2
t-2
+...+
q
u
2
t-q

h
t
=
0
+

=
1
u
t-j
2

Lu : V phng sai lun dng nn cc h s
c lng
t
lun dng.

September 6, 2014 4
4. QUY TRNH ARCH
4.1 Kim nh nh hng ARCH:
Gm 3 bc:
-B1: Tm nhiu :
a) c lng phng trnh c lng trung bnh
theo phng php OLS:

t
=
0
+
1
X
t
+ u
t

Vi mu c th th :

t
=

0
+

1
X
t
+e
t

September 6, 2014 5
4. QUY TRNH ARCH
4.1: Kim nh nh hng ARCH:
-B1:
Dng phng php ARMA:
Kim nh tnh dng, xc nh dng ti tr no
cho AR m MA (xc nh p v q)
La chn m hnh ph hp
(Xem li phn ARMA)

September 6, 2014 6
4. QUY TRNH ARCH
4.1: Kim nh nh hng ARCH:

-B2: c lng m hnh hi quy ph sau:
h
t
=
0
+
1
e
2
t-1
+
2
e
2
t-2
+...+
q
e
2
t-q
+
t

Xc nh h s Raux
2

(cc phn d c ly t hi quy bc 1)
September 6, 2014 7
4. QUY TRNH ARCH
4.1: Kim nh nh hng ARCH:
-B3: Kim nh: H
0
:
0
=
1
=
2
=...=
q

Cch kim nh:
Tnh tnh R
2 aux
*n vi n l s quan st ca chui d
liu.
Nu

2
(1%) < nR
2aux
th bc b H
0
=> m hnh (4) c ngha, tc l chui d liu ang xt
c nh hng ARCH.
Nu chui d liu ang xt khng c nh hng ARCH
th dng li.
September 6, 2014 8
4. QUY TRNH ARCH
4.2: c lng m hnh ARCH
Sau khi bit c nh hng ARCH, ta chn phng
php ARCH thay v OLS khi hi quy bc 1b.
Kim tra h s
t
ph hp, xem th v lch
chun c iu kin ca u
t
... t chn ra bc q
ph hp cho m hnh ARCH(q)

September 6, 2014 9