Constructing a financial stress index for Vietnam : an application of autoregressive conditional heteroskedastic models

Nguyen Chi DUC; Thuy Ai HO

doi:10.1007/978-3-319-73150-6_45

Constructing a financial stress index for Vietnam : an application of autoregressive conditional heteroskedastic models

Nguyen Chi DUC, Thuy Ai HO

Department of Economics

Research output: Book Chapters | Papers in Conference Proceedings › Book Chapter

2 Citations (Scopus)

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.

Original language	English
Title of host publication	Econometrics for financial applications
Publisher	Springer-Verlag GmbH and Co. KG
Pages	562-583
Number of pages	22
ISBN (Print)	9783319731490
DOIs	https://doi.org/10.1007/978-3-319-73150-6_45
Publication status	Published - 1 Jan 2018

Publication series

Name	Studies in Computational Intelligence
Volume	760
ISSN (Print)	1860-949X

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Cite this

DUC, N. C., & HO, T. A. (2018). Constructing a financial stress index for Vietnam : an application of autoregressive conditional heteroskedastic models. In Econometrics for financial applications (pp. 562-583). (Studies in Computational Intelligence; Vol. 760). Springer-Verlag GmbH and Co. KG. https://doi.org/10.1007/978-3-319-73150-6_45

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Constructing a financial stress index for Vietnam : an application of autoregressive conditional heteroskedastic models. / DUC, Nguyen Chi; HO, Thuy Ai.

Econometrics for financial applications. Springer-Verlag GmbH and Co. KG, 2018. p. 562-583 (Studies in Computational Intelligence; Vol. 760).

Research output: Book Chapters | Papers in Conference Proceedings › Book Chapter

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10.1007/978-3-319-73150-6_45