报告详情
Quantitative Analysis of Selected Stocks Based on Time Series Approach
编号：24
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更新：2025-12-29 02:32:56
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张贴报告
摘要
This study develops a concise quantitative framework for forecasting Vietnamese stock prices by integrating econometric models with technical and fundamental indicators. Using data from 392 HOSE-listed stocks during 2020–2025 (over 45 million data points), the analysis incorporates Multiple Regression, GARCH(1,1), and VAR, along with MA, MACD, RSI, and valuation ratios. Results show that the banking sector leads overall market movements by 2–3 days, while foreign net buying Granger-causes VN-Index returns and explains 22.4% of their variance. The GARCH(1,1) model confirms persistent volatility clustering (α+β=0.95). Back-testing indicates 74.6% and 81.2% directional accuracy for RSI and MACD, with forecast errors (RMSE/MAE) improving by 12–18% over baseline models. These findings demonstrate that combining econometric and indicator-based analysis enhances short-term prediction and supports data-driven investment decisions in emerging markets.
关键词
Time Series, Stock Market, GARCH, VAR, Regression, Quantitative Finance.
报告人
Thuy Le Nguyen Thanh
Student Master Vietnam；University of Information Technology； VNU-HCM稿件作者
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重要日期
-
会议日期
12月29日
2025
至12月31日
2025
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12月30日 2025
报告提交截止日期
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02月10日 2026
初稿截稿日期
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02月10日 2026
注册截止日期
主办单位
国际科学联合会
承办单位
扎尔卡大学
联系方式
- Miss AsianComNet
- as******@usssociety.org
历届会议
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2024年10月24日 泰国 Bangkok
2024亚洲通讯与网络会议
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