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International Econometric Conference of Vietnam

ECONVN 2018: Econometrics for Financial Applications pp 562–583Cite as

Constructing a Financial Stress Index for Vietnam: An Application of Autoregressive Conditional Heteroskedastic Models

Part of the Studies in Computational Intelligence book series (SCI,volume 760)

Abstract

This paper constructs an index to measure financial stress for Vietnam with monthly data from April 2007 to December 2016. Various measures of stress are selected based on literature and Vietnam’s practice. An important stress measure, the volatility of stock market, bond market, money market and banking sector, is estimated by variants of the general autoregressive conditional heteroskedasticity (GARCH) model. Individual stress variables are combined together to make an aggregate index using equal variance weighting scheme. The constructed index is a useful tool for policy makers to monitor the riskiness of domestic financial system as well as academics to conduct further research about financial crisis.

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Author information

Authors and Affiliations

  1. Banking University of Ho Chi Minh City, 36 Ton That Dam, District 1, Ho Chi Minh City, Vietnam

    Nguyen Chi Duc & Ho Thuy Ai

  2. Lingnan University, 8 Castle Peak Road, Tuen Mun, New Territories, Hong Kong

    Ho Thuy Ai

Authors
  1. Nguyen Chi Duc
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  2. Ho Thuy Ai
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Corresponding author

Correspondence to Nguyen Chi Duc .

Editor information

Editors and Affiliations

  1. Banking University HCMC, Ho Chi Minh City, Vietnam

    Ly H. Anh

  2. Banking University HCMC, Ho Chi Minh City, Vietnam

    Le Si Dong

  3. Computer Science Department, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  4. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Ngoc Thach

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Duc, N.C., Ai, H.T. (2018). Constructing a Financial Stress Index for Vietnam: An Application of Autoregressive Conditional Heteroskedastic Models. In: Anh, L., Dong, L., Kreinovich, V., Thach, N. (eds) Econometrics for Financial Applications. ECONVN 2018. Studies in Computational Intelligence, vol 760. Springer, Cham. https://doi.org/10.1007/978-3-319-73150-6_45

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  • DOI: https://doi.org/10.1007/978-3-319-73150-6_45

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