GARCH phenomenon Vietnam Emerging Market Financial Time Series
Université Libre de Bruxelles
Abstract: This paper confirms presence of() 1, 1 GARCH effect on stock return time series of
Vietnam's newborn stock market. We performed tests on four different time series, namely
market returns (VN-Index), and return series of the first four individual stocks listed on the
Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000.
The results have been quite relevant to previously reported empirical studies on different