ECONOMETRICS WEBINAR: COMPARISON OF ARMA/GARCH MODEL WITH ANN/GARCH AND ANN/ANN

The Department of Mathematics is very pleased to invite students to attend the following webinar:

COMPARISON OF ARMA/GARCH MODEL WITH ANN/GARCH AND ANN/ANN IN PREDICTING THE
CLOSED PRICE IN VIETNAMESE STOCK MARKET

Speaker: Dr. Ta Quoc Bao, International University, Vietnam National University-HCMC.

Time: 1 PM-4 PM, Saturday, December 19 and December 26, 2021.

Online via Zoom. Please check here for the link to join the Zoom meeting.

Abstract: In this talk, we introduce the basic theory of ARMA, GARCH, and ANN models and applications of combined models ARMA-GARCH, ANN-GARCH, and ANN in predicting the future closing prices of Vietnamese stocks. The empirical results show that overall ANN-GARCH gives better performances as compared to other models.

Some mathematical background to prepare for the Olympic Contest of Econometrics and Applications in 2022 is also presented.