Vector autoregression

Part 2 of ebook "Economic and financial modelling with EViews: A guide for students and professionals" provides readers with contents including: Chapter 8 - Modelling volatility in finance and economics - ARCH, GARCH and EGARCH models; Chapter 9 - Limited dependent variable models; Chapter 10 - Vector autoregression (VAR) model; Chapter 11 - Panel data analysis; Chapter 12 - Capital asset pricing model (CAPM);...

139p daonhiennhien 03-07-2024 4 2   Download

Part 1 of ebook "Essentials of time series for financial applications" provides readers with contents including: Chapter 1 - Linear regression model; Chapter 2 - Autoregressive moving average (ARMA) models and their practical applications; Chapter 3 - Vector autoregressive moving average (VARMA) models; Chapter 4 - Unit roots and cointegration; Chapter 5 - Single-factor conditionally heteroskedastic models, ARCH and GARCH;...

244p daonhiennhien 03-07-2024 3 1   Download

This paper investigates the impact of the pandemic on the Vietnamese stock market (VNX). Historically, pandemics have often caused major disruptions to the economies of many countries, and stock markets are quick to reflect these impacts. The pandemic has created major challenges for the VNX, even though Vietnam has successfully controlled the pandemic. This paper uses the Vector Autoregression (VAR) method to quantify the impact of on the VNX. The VAR model is used to analyze the dynamic interactions between time series variables.

12p leminhvu111 07-06-2024 1 0   Download

This study has an effort to explore the dynamic relationship among income, exchange rate, foreign direct investment, effective supply chain practices and export performance. Based on quarterly data from Q2/2009 to Q4/2019, constituting 43 observations. To attain dynamic and unvarying relationship among these variables, applying Vector Autoregressive Model, results indicate that, in short run, each variable is highly influenced by changes of value and past value of its and the other variables at different degree.

8p longtimenosee06 27-03-2024 3 1   Download

Geopolitical events are expected to affect all countries, asset classes, and sectors. Vietnam is a large open economy, actively participating in a vast network of free trade agreements. This study will give a better overview of the relationship between GPR and stock return’s spillover in the Vietnamese stock market considering data from a variety of industries.

11p vijeff 30-11-2023 5 4   Download

This study attempts to apply the Autoregressive Distributed Lag (ARDL) model to examine the relationship between Vietnam three investment sources, Foreign Direct Investment (FDI) and Private Domestic Investment (PDI) as well as Foreign Direct Investment (FDI) and Public Investment (PI) in Vietnam over the period from 1995 to 2019.

14p viindra 06-09-2023 5 4   Download

This study is an attempt to explore the dynamic relationship among world gold price, world crude oil WTI price, exchange rate of VND/USD and Vietnamese stock market index returns. Daily data from 2nd May 2013 to 27th April 2018 is taken, constituting 1245 observations. To capture dynamic and stable relationship among these variables, we use Vector Autoregressive Technique. The results show that each variable is highly affected by changes of value and past value of its and the other variables’ at different degree.

13p tethientran 27-07-2023 7 4   Download

The aim of this paper is to investigate the cointegration relationship of stock market index of ASEAN countries from April 2012 to December 2019. Using the Augmented Dickey Fuller Test, it finds that all of the stock market data are non-stationary. Trace tests are used to indicate the number of cointegration ranks in the long run. The results are supported by Vector Autoregression and Vector Error Correction Models in order to point out the short-run relationship between the change in value of a stock market index and the others.

13p nhanchienthien 25-07-2023 9 5   Download

The author build and use the vector autoregressive model (VAR) to discover factors affecting the gold price in Vietnam and the impact of each factor. Data research used in this study were monthly data for the period December 2000 to December 2019, including 10 variables. The results show that the current gold price in Vietnam is mostly affected by its historical prices, and is also affected by four other factors: world gold price, investors’ expectations, foreign exchange rate, and M2 money supply.

15p nhanchienthien 25-07-2023 11 6   Download

This study investigates the causality among export, foreign direct investment (FDI) inflows and economic growth in Vietnam using quarterly time-series data from 2000Q1 to 2017Q4. The vector autoregression (VAR) model is employed to explore the relationship among variables in the long term as well as the short term.

10p viwolverine 11-07-2023 7 3   Download

Bài viết Đầu tư và tăng trưởng du lịch ở tỉnh Thừa Thiên Huế được nghiên cứu nhằm đánh giá quá trình phát triển của ngành du lịch và thu hút đầu tư. Nghiên cứu sử dụng chuỗi dữ liệu dài từ niên giám thống kê trong thời gian từ 1995–2019 và áp dụng phương pháp tự hồi qui vec-tơ VAR (Vector Autoregression) để phân tích mối quan hệ nhân quả giữa đầu tư và du lịch tại tỉnh Thừa Thiên Huế.

24p vistarlord 15-06-2023 6 2   Download

The Cryptocurrency is growing strongly and widely such as Bitcoin (BTC) and Ethereum (ETH) used in the world, which has attracted wide attention of researchers in recent times. In this work, Autoregressive Integrate Moving Average (ARIMA) model, machine learning algorithms, Support Vector Regression (SVR) will be implemented to predict the closing price of The Cryptocurrency the next day.

7p visherylsandberg 18-05-2022 14 2   Download

The article will shed lights on the impact of oil price on some macroeconomics indicators of Vietnam, specifically the Consumer Price Index (CPI) and the Index of Industrial Production (IIP). The research will employ the Vector Autoregression (VAR) model, the samples include oil price, which is the Consumer Price Index (CPI) and Index of Industrial Production (IIP) recorded monthly in the period from January 2015 to December 2019. Results have shown the impact oil price has on macroeconomic indicators in Vietnam.

8p alucardhellsing 04-05-2022 15 2   Download

Mục tiêu của bài báo này xác định mối quan hệ giữa thâm hụt ngân sách và các biến số vĩ mô. Dữ liệu của mô hình được thu thập từ ấn phẩm Châu Á Thái Bình Dương năm 2013. Bằng cách sử dụng dữ liệu chuỗi thời gian từ năm 1990 đến 2014 với kỹ thuật phân tích theo mô hình tự hồi quy vectơ (Vector autoregression).

7p visergeybrin 26-11-2021 51 5   Download

The study was conducted with the objective of examining the impact of real effective exchange rate volatility on trade balance in Vietnam during the period of 2002 - 2019 at the quarterly frequency. The VAR model was used to achieve the proposed research objective. The volatility of real effective exchange rate (vol_reer) is calculated through the GARCH (1,1) model based on the quarterly data on real effective exchange rate (reer) of the Vietnamese currency with 143 major trading partners of Vietnam.

9p viwendy2711 05-10-2021 27 3   Download

Bài viết nghiên cứu tác động của chính sách tiền tệ Trung Quốc đến kinh tế các nước Đông Nam Á, giai đoạn từ năm 2000 – 2019. Nghiên cứu sử dụng phương pháp Bayes để ước tính mô hình vectơ tự hồi quy (Bayesian vector autoregression – BVAR).

17p vining2711 09-08-2021 40 7   Download

Nghiên cứu này phân tích mối liên hệ giữa phát triển tài chính theo chiều sâu và tăng trưởng kinh tế tại Việt Nam trong giai đoạn từ năm 1995 đến năm 2010. Kết quả khi sử dụng kiểm định nhân quả (Granger test) và kiểm định mô hình VAR (Vector Autoregression Model) cho thấy tồn tại mối quan hệ dài hạn giữa vốn khu vực tư, vốn khu vực công, lực lượng lao động, tỷ lệ tín dụng khu vực tư nhân/GDP, tỷ lệ M2/GDP và tăng trưởng kinh tế.

84p lovebychance08 02-08-2021 30 2   Download

Mục đích của bài viết nhằm phân tích tác động của FDI lên tăng trưởng kinh tế Việt Nam trong dài hạn và ngắn hạn sử dụng mô hình vector error correction model (VECM) và mô hình Vector autoregression (VAR). Để hiểu rõ hơn mời các bạn cùng tham khảo nội dung chi tiết của bài viết này.

13p wangxinling 23-07-2021 51 5   Download

The crude oil price fluctuation investigation is to explore the impact of crude oil price shocks on the countries’ economic growth. The Vector Autoregressive Model (VAR) was applied and the variance decomposition is to analyze the impact of the GDP growth due to the shock of the crude oil price.

11p caygaocaolon11 18-04-2021 30 3   Download

The inconclusiveness of findings from various studies on Nigeria on the effect of crude oil price fluctuation on the stock market has led to an argument in literature, thus necessitating further exploration of the subject. This study examines the effect of variations in the price of crude oil on selected stock market performance variables in Nigeria using monthly frequency data covering January 1997-December 2016. Variance decomposition, impulse response analysis, and VAR estimations were employed for the study.

10p caygaocaolon11 18-04-2021 21 2   Download