Economics, Law and Management - Research article Open Access Logo

TESTING THE GARCH MODEL IN THE VIETNAMESE STOCK MARKET

Hien Thu Nguyen 1, *
Nghi Dinh Le 1
  1. University of Technology, VNU-HCM
Correspondence to: Hien Thu Nguyen, University of Technology, VNU-HCM. Email: pvphuc@hcmuns.edu.vn.
Volume & Issue: Vol. 13 No. 4 (2010) | Page No.: 5-14 | DOI: 10.32508/stdj.v13i4.2182
Published: 2010-12-30

Online metrics


Statistics from the website

  • Abstract Views: 1766
  • Galley Views: 1730

Statistics from Dimensions

Copyright The Author(s) 2023. This article is published with open access by Vietnam National University, Ho Chi Minh city, Vietnam. This article is distributed under the terms of the Creative Commons Attribution License (CC-BY 4.0) which permits any use, distribution, and reproduction in any medium, provided the original author(s) and the source are credited. 

Abstract

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.

Comments