{"id":24562,"date":"2023-12-06T12:22:18","date_gmt":"2023-12-06T12:22:18","guid":{"rendered":"https:\/\/masterskills.org\/blog\/phuong-sai-thay-doi-heteroskedasticity-la-gi-hau-qua.html"},"modified":"2023-12-22T09:54:10","modified_gmt":"2023-12-22T02:54:10","slug":"phuong-sai-thay-doi-heteroskedasticity-la-gi-hau-qua","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/phuong-sai-thay-doi-heteroskedasticity-la-gi-hau-qua.html","title":{"rendered":"Ph\u01b0\u01a1ng sai thay \u0111\u1ed5i (Heteroskedasticity) l\u00e0 g\u00ec? H\u1eadu qu\u1ea3"},"content":{"rendered":"<div class=\"vnbcbc-body vceditor-content wi-active\" data-role=\"content\">\n<figure class=\"VCSortableInPreviewMode\" type=\"Photo\" style=\"\">\n<div><\/div><figcaption class=\"PhotoCMS_Caption\">\n<p data-placeholder=\"[Nh\u1eadp ch\u00fa th\u00edch \u1ea3nh]\" class=\"\">H\u00ecnh minh h\u1ecda.<\/p>\n<\/figcaption><\/figure>\n<h2><font style=\"line-height: 22px; font-size: 22px;\" color=\"#3d85c6\">\u00a0Ph\u01b0\u01a1ng sai thay \u0111\u1ed5i<\/font><\/h2>\n<p><b>Kh\u00e1i ni\u1ec7m<\/b><\/p>\n<p><b>\u00a0Ph\u01b0\u01a1ng sai thay \u0111\u1ed5i<\/b> trong ti\u1ebfng Anh l\u00e0 <b>Heteroskedasticity<\/b> ho\u1eb7c <b>Heteroscedasticity<\/b>.<\/p>\n<p><b>\u00a0Ph\u01b0\u01a1ng sai thay \u0111\u1ed5i<\/b> l\u00e0 m\u1ed9t t\u00ecnh hu\u1ed1ng trong th\u1ed1ng k\u00ea x\u1ea3y ra khi l\u1ed7i ti\u00eau chu\u1ea9n c\u1ee7a m\u1ed9t bi\u1ebfn kh\u00f4ng \u0111\u1ed5i trong m\u1ed9t kho\u1ea3ng th\u1eddi gian c\u1ee5 th\u1ec3 trong m\u00f4 h\u00ecnh h\u1ed3i qui tuy\u1ebfn t\u00ednh.<\/p>\n<h3><font style=\"line-height: 22px; font-size: 22px;\" color=\"#3d85c6\">Ph\u00e2n lo\u1ea1i ph\u01b0\u01a1ng sai thay \u0111\u1ed5i<\/font><\/h3>\n<p>C\u00f3 2 lo\u1ea1i ph\u01b0\u01a1ng sai thay \u0111\u1ed5i: Kh\u00f4ng c\u00f3 \u0111i\u1ec1u ki\u1ec7n v\u00e0 c\u00f3 \u0111i\u1ec1u ki\u1ec7n<\/p>\n<p><b>&#8211; Ph\u01b0\u01a1ng sai thay \u0111\u1ed5i kh\u00f4ng c\u00f3 \u0111i\u1ec1u ki\u1ec7n<\/b> x\u1ea3y ra khi ph\u01b0\u01a1ng sai thay \u0111\u1ed5i <b>kh\u00f4ng<\/b> t\u01b0\u01a1ng quan v\u1edbi c\u00e1c bi\u1ebfn \u0111\u1ed9c l\u1eadp trong h\u1ed3i qui. M\u1eb7c d\u00f9, h\u00ecnh th\u1ee9c n\u00e0y vi ph\u1ea1m Gi\u1ea3 \u0111\u1ecbnh 4 (Ph\u01b0\u01a1ng sai c\u1ee7a ph\u1ea7n sai s\u1ed1 l\u00e0 gi\u1ed1ng nhau cho t\u1ea5t c\u1ea3 c\u00e1c quan s\u00e1t) c\u1ee7a m\u00f4 h\u00ecnh h\u1ed3i qui tuy\u1ebfn t\u00ednh nh\u01b0ng n\u00f3 kh\u00f4ng t\u1ea1o ra v\u1ea5n \u0111\u1ec1 l\u1edbn cho k\u1ebft qu\u1ea3 c\u1ee7a th\u1ed1ng k\u00ea.<\/p>\n<p><b>&#8211; Ph\u01b0\u01a1ng sai thay \u0111\u1ed5i c\u00f3 \u0111i\u1ec1u ki\u1ec7n<\/b> x\u1ea3y ra khi ph\u01b0\u01a1ng sai thay \u0111\u1ed5i <b>c\u00f3 <\/b>t\u01b0\u01a1ng quan v\u1edbi c\u00e1c bi\u1ebfn \u0111\u1ed9c l\u1eadp trong h\u1ed3i qui. \u0110\u00e2y l\u00e0 lo\u1ea1i g\u00e2y ra nhi\u1ec1u v\u1ea5n \u0111\u1ec1 nh\u1ea5t cho k\u1ebft qu\u1ea3 c\u1ee7a th\u1ed1ng k\u00ea.<\/p>\n<h3><font style=\"line-height: 22px; font-size: 22px;\" color=\"#3d85c6\">H\u1eadu qu\u1ea3 c\u1ee7a ph\u01b0\u01a1ng sai thay \u0111\u1ed5i<\/font><\/h3>\n<p>\u00a0Ph\u01b0\u01a1ng sai thay \u0111\u1ed5i l\u00e0 m\u1ed9t tr\u01b0\u1eddng h\u1ee3p c\u1ee7a vi\u1ec7c vi ph\u1ea1m c\u00e1c gi\u1ea3 \u0111\u1ecbnh c\u1ee7a m\u00f4 h\u00ecnh h\u1ed3i qui tuy\u1ebfn t\u00ednh. Do \u0111\u00f3, n\u00f3 c\u00f3 th\u1ec3 \u1ea3nh h\u01b0\u1edfng \u0111\u1ebfn k\u1ebft qu\u1ea3 khi ph\u00e2n t\u00edch kinh t\u1ebf l\u01b0\u1ee3ng ho\u1eb7c m\u00f4 h\u00ecnh t\u00e0i ch\u00ednh nh\u01b0 CAPM.<\/p>\n<p>M\u1eb7c d\u00f9, ph\u01b0\u01a1ng sai thay \u0111\u1ed5i kh\u00f4ng \u1ea3nh h\u01b0\u1edfng \u0111\u1ebfn t\u00ednh nh\u1ea5t qu\u00e1n c\u1ee7a vi\u1ec7c \u01b0\u1edbc l\u01b0\u1ee3ng tham s\u1ed1 h\u1ed3i qui, nh\u01b0ng n\u00f3 c\u00f3 th\u1ec3 d\u1eabn \u0111\u1ebfn l\u1ed7i trong k\u1ebft lu\u1eadn. Khi l\u1ed7i ph\u01b0\u01a1ng sai thay \u0111\u1ed5i x\u1ea3y ra, ph\u00e9p th\u1eed F (F-test) l\u00e0 kh\u00f4ng \u0111\u00e1ng tin c\u1eady. H\u1eadu qu\u1ea3 trong th\u1ef1c t\u1ebf c\u00f3 th\u1ec3 nghi\u00eam tr\u1ecdng n\u1ebfu ch\u00fang ta s\u1eed d\u1ee5ng ph\u00e2n t\u00edch h\u1ed3i qui trong vi\u1ec7c ph\u00e1t tri\u1ec3n c\u00e1c chi\u1ebfn l\u01b0\u1ee3c \u0111\u1ea7u t\u01b0.<\/p>\n<p>V\u00ed d\u1ee5 d\u01b0\u1edbi \u0111\u00e2y cho th\u1ea5y v\u1ea5n \u0111\u1ec1 n\u00e0y th\u1eadm ch\u00ed c\u00f2n \u1ea3nh h\u01b0\u1edfng \u0111\u1ebfn s\u1ef1 hi\u1ec3u bi\u1ebft c\u1ee7a ch\u00fang ta v\u1ec1 c\u00e1c m\u00f4 h\u00ecnh t\u00e0i ch\u00ednh:<\/p>\n<p>MacKinlay v\u00e0 Richardson (1991) \u0111\u00e3 ki\u1ec3m tra m\u1ee9c \u0111\u1ed9 \u1ea3nh h\u01b0\u1edfng c\u1ee7a ph\u01b0\u01a1ng sai thay \u0111\u1ed5i \u0111\u1ebfn c\u00e1c th\u1eed nghi\u1ec7m c\u1ee7a m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n v\u1ed1n (CAPM). T\u00e1c gi\u1ea3 l\u1eadp lu\u1eadn r\u1eb1ng n\u1ebfu CAPM l\u00e0 ch\u00ednh x\u00e1c, h\u1ecd s\u1ebd kh\u00f4ng t\u00ecm th\u1ea5y s\u1ef1 kh\u00e1c bi\u1ec7t \u0111\u00e1ng k\u1ec3 n\u00e0o gi\u1eefa t\u1ec9 su\u1ea5t l\u1ee3i nhu\u1eadn c\u00f3 \u0111i\u1ec1u ch\u1ec9nh r\u1ee7i ro (risk-adjusted return) khi n\u1eafm gi\u1eef c\u1ed5 phi\u1ebfu nh\u1ecf so v\u1edbi c\u1ed5 phi\u1ebfu l\u1edbn.<\/p>\n<p>\u0110\u1ec3 th\u1ef1c hi\u1ec7n th\u1eed nghi\u1ec7m c\u1ee7a m\u00ecnh, MacKinlay v\u00e0 Richardson \u0111\u00e3 nh\u00f3m t\u1ea5t c\u1ea3 c\u00e1c c\u1ed5 phi\u1ebfu tr\u00ean S\u00e0n giao d\u1ecbch ch\u1ee9ng kho\u00e1n New York v\u00e0 S\u00e0n giao d\u1ecbch ch\u1ee9ng kho\u00e1n M\u1ef9 (ng\u00e0y nay g\u1ecdi l\u00e0 NYSE MKT) th\u00e0nh 10 nh\u00f3m theo gi\u00e1 tr\u1ecb th\u1ecb tr\u01b0\u1eddng v\u00e0 c\u00f3 s\u1ef1 s\u1eafp x\u1ebfp l\u1ea1i h\u00e0ng n\u0103m.<\/p>\n<p>Sau \u0111\u00f3, h\u1ecd \u0111\u00e3 ki\u1ec3m tra s\u1ef1 kh\u00e1c bi\u1ec7t c\u00f3 h\u1ec7 th\u1ed1ng trong t\u1ec9 su\u1ea5t l\u1ee3i nhu\u1eadn c\u00f3 \u0111i\u1ec1u ch\u1ec9nh r\u1ee7i ro c\u1ee7a c\u00e1c danh m\u1ee5c \u0111\u1ea7u t\u01b0 ch\u1ee9ng kho\u00e1n d\u1ef1a tr\u00ean v\u1ed1n h\u00f3a th\u1ecb tr\u01b0\u1eddng. H\u1ecd \u01b0\u1edbc t\u00ednh h\u1ed3i qui sau:<\/p>\n<p style=\"text-align: center;\"><b>r<sub>i,t<\/sub>  = \u03b1<sub>i <\/sub> + \u03b2<sub>i\u00a0<\/sub>x r<sub>m,t<\/sub>  + \u03b5<sub>i,t<\/sub><\/b><\/p>\n<p>Trong \u0111\u00f3:<br \/>&#8211; r<sub>i, t<\/sub>\u00a0l\u00e0 l\u1ee3i nhu\u1eadn th\u1eb7ng d\u01b0 (l\u1ee3i nhu\u1eadn cao h\u01a1n l\u00e3i su\u1ea5t phi r\u1ee7i ro) c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 i trong giai \u0111o\u1ea1n t<br \/>&#8211; r<sub>m, t<\/sub>\u00a0l\u00e0 l\u1ee3i nhu\u1eadn th\u1eb7ng d\u01b0 c\u1ee7a to\u00e0n b\u1ed9 th\u1ecb tr\u01b0\u1eddng trong giai \u0111o\u1ea1n t<\/p>\n<p>C\u00f4ng th\u1ee9c c\u1ee7a CAPM\u00a0\u0111\u01b0a ra gi\u1ea3 thuy\u1ebft r\u1eb1ng\u00a0<font color=\"#ff9900\"><font color=\"#ff9900\">l\u1ee3i nhu\u1eadn th\u1eb7ng d\u01b0<\/font>\u00a0<\/font>c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u01b0\u1ee3c gi\u1ea3i th\u00edch b\u1edfi l\u1ee3i nhu\u1eadn th\u1eb7ng d\u01b0 c\u1ee7a to\u00e0n th\u1ecb tr\u01b0\u1eddng n\u00f3i chung. Gi\u1ea3 thuy\u1ebft \u0111\u00f3 ng\u1ee5 \u00fd r\u1eb1ng \u03b1<sub>i<\/sub> = 0 cho m\u1ecdi danh m\u1ee5c \u0111\u1ea7u t\u01b0 i, trung b\u00ecnh, kh\u00f4ng c\u00f3 l\u1ee3i nhu\u1eadn th\u1eb7ng d\u01b0 t\u00edch l\u0169y cho danh m\u1ee5c \u0111\u1ea7u t\u01b0 khi t\u00ednh \u0111\u1ebfn r\u1ee7i ro h\u1ec7 th\u1ed1ng (r\u1ee7i ro th\u1ecb tr\u01b0\u1eddng) c\u1ee7a n\u00f3.<\/p>\n<p>(T\u00e0i li\u1ec7u tham kh\u1ea3o: <i>CFA level II, , Quantitative methods<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"<div class=\"vnbcbc-sapo\" data-role=\"sapo\">\n                            Ph\u01b0\u01a1ng sai thay \u0111\u1ed5i (Heteroskedasticity ho\u1eb7c Heteroscedasticity) l\u00e0 m\u1ed9t t\u00ecnh hu\u1ed1ng trong th\u1ed1ng k\u00ea x\u1ea3y ra khi l\u1ed7i ti\u00eau chu\u1ea9n c\u1ee7a m\u1ed9t bi\u1ebfn kh\u00f4ng \u0111\u1ed5i trong m\u1ed9t kho\u1ea3ng th\u1eddi gian c\u1ee5 th\u1ec3 trong m\u00f4 h\u00ecnh h\u1ed3i qui tuy\u1ebfn t\u00ednh.\n                        <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[414],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/24562"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=24562"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/24562\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=24562"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=24562"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=24562"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}