| dc.description.abstract | This thesis aims to implement Dynamic Conditional Correlation - GARCH model
for estimating the conditional covariance matrices in a large dimension for Vietnamese
stocks. We rst randomly select a portfolio contains 10 assets. More speci cally, we
used the daily returns of DHG, DPM, FPT, HPG, PNJ, REE, SSI, VHC, VIC, VNM
through the period of ten years (2008-2018) to nd the volatility of each asset. Next,
we then nd their conditional correlation matrices and conditional covariance matrices
using DCC-GARCH. Finally, we compare the portfolio's performance among DCC-
GARCH and Equally Weight strategies. All the calculations and graphs sketching
have been done under R-studio, and Eviews environments. This study can give an
advantage knowledge for Vietnamese investors on portfolio selection from Viet Nam's
stock market; give empirical evidence supports the suitability of GARCH model to
Vietnam stock exchange. | en_US |
