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
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Date
2021
Authors
Vu Thi Kim Hanh
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Research Projects
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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.
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Keywords
ARCH,
GARCH,
GARCH (1,
1),
MLR,
forecast,
volatility,
transportation,
logistics,
road transportation,
inland water transportation,
sea transportation