Modeling Volatility Using GARCH Models: Evidence from Vietnam

Tran Tuyen ()
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Tran Tuyen: Paris Nord University and CEPN UMR 7234

Economics Bulletin, 2011, vol. 31, issue 3, 1935-1942

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.

Keywords: Keywords: Vietnamese stock markets; GARCH; volatility; return. (search for similar items in EconPapers)
JEL-codes: C5 G0 (search for similar items in EconPapers)
Date: 2011-07-03
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Citations: View citations in EconPapers (3)

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