Publication:
Applying ARCH, GARCH, GARCH MLR Models to Forecast Volatility of Transportation Sector through Its Three Subscribe Modes Like Road, Water, Seas Ways: Empirical Case of Ho Chi Minh, Vietnam
Applying ARCH, GARCH, GARCH MLR Models to Forecast Volatility of Transportation Sector through Its Three Subscribe Modes Like Road, Water, Seas Ways: Empirical Case of Ho Chi Minh, Vietnam
| datacite.subject.fos | oecd::Natural sciences::Mathematics | |
| dc.contributor.author | Vu Thi Kim Hanh | |
| dc.date.accessioned | 2022-11-09T10:40:42Z | |
| dc.date.available | 2022-11-09T10:40:42Z | |
| dc.date.issued | 2021 | |
| dc.description.abstract | The paper aims to empirically apply ARCH, GARCH (a,b) model to weight the average of the variance in historical data. (a,b) is order of model which this paper applies a = 1 and b = 1 in which b is order of GARCH, and a is order of ARCH which is square residual of the previous day. The objective of empirical Application is to forecast the volatility of GDP of Transportation Logistics (TL) through GDP of its three sub-sectors which are Road Transportation (RT), Inland Water Transportation (IWT), and Seas Transportation (ST). The author then has proposal models are MLR, ARCH MIR and GARCH (a,b) MLR to assess the dependence GDP of TL on GDP of its three sub-sectors which are RT, IWT, and ST. The first finding of study is ARCH and GARCH (a,b) which a = 1 and b = 1 can be empirically applied to predict the volatility of GDP of TL through GDP of RT, IWT, and ST. The second finding is that after tested MLR, ARCH MLR, and MLR GARCH (1,1), the output results show that almost values are not statistical significance, that means we cannot use MLR, ARCH MLR, and GARCH (1,1) MLR to assess the dependence of GDP of TL on GDP of its three sub-sectors which are RT, IWT, and ST. | |
| dc.identifier.doi | 10.9734/bpi/mono/978-93-5547-003-4/CH2 | |
| dc.identifier.uri | http://repository.vlu.edu.vn:443/handle/123456789/1134 | |
| dc.language.iso | en_US | |
| dc.relation.ispartof | Modern Perspectives of Logistics Transport in Economics: Empirical Studies in Ho Chi Minh, Vietnam Vol. 1 | |
| dc.subject | ARCH | |
| dc.subject | GARCH | |
| dc.subject | GARCH (1 | |
| dc.subject | 1) | |
| dc.subject | MLR | |
| dc.subject | forecast | |
| dc.subject | volatility | |
| dc.subject | transportation | |
| dc.subject | logistics | |
| dc.subject | road transportation | |
| dc.subject | inland water transportation | |
| dc.subject | sea transportation | |
| dc.title | Applying ARCH, GARCH, GARCH MLR Models to Forecast Volatility of Transportation Sector through Its Three Subscribe Modes Like Road, Water, Seas Ways: Empirical Case of Ho Chi Minh, Vietnam | |
| dc.type | book-chapter | |
| dspace.entity.type | Publication |