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The study concentrates on modeling the volatilities of the stock market in Vietnam and the cryptocurrency to forecast and get the outstanding features of conditional variance of the empirical time-series data. In the research, we pick the underlying GARCH model and two other famous models: the exponential GARCH and the Glosten-Jagannathan-Runkle GARCH. Simultaneously, the student-t distribution is used to get the predicting presentment. Lastly, for each empirical cryptocurrency price and stock indices, we can get the most suitable model to forecast the conditional variance of the stock and cryptocurrency daily return by comparing the value of RMSE. We choose five different stock indices and seven special cryptocurrency prices in the paper: VN_INDEX, VN_ALLSHARES, VN100, HNX, UPCOM, Bitcoin, Binance, Bitcoin Cash, Litecoin, Ethereum, Ripple, and Doge. The given data was downloaded from investing.com.

MODELING THE STOCK MARKET IN VIETNAM AND THE CRYPTOCURRENCY MARKET DURING THE PANDEMIC

TRUONG MINH, VU
2020/2021

Abstract

The study concentrates on modeling the volatilities of the stock market in Vietnam and the cryptocurrency to forecast and get the outstanding features of conditional variance of the empirical time-series data. In the research, we pick the underlying GARCH model and two other famous models: the exponential GARCH and the Glosten-Jagannathan-Runkle GARCH. Simultaneously, the student-t distribution is used to get the predicting presentment. Lastly, for each empirical cryptocurrency price and stock indices, we can get the most suitable model to forecast the conditional variance of the stock and cryptocurrency daily return by comparing the value of RMSE. We choose five different stock indices and seven special cryptocurrency prices in the paper: VN_INDEX, VN_ALLSHARES, VN100, HNX, UPCOM, Bitcoin, Binance, Bitcoin Cash, Litecoin, Ethereum, Ripple, and Doge. The given data was downloaded from investing.com.
2020
MODELING THE STOCK MARKET IN VIETNAM AND THE CRYPTOCURRENCY MARKET DURING THE PANDEMIC
Lauree Magistrali
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.14239/1489