Presentation Details
Quantitative Analysis of Selected Stocks Based on Time Series Approach
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Updated Time：2025-12-29 02:32:56
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Poster Presentation
Start Time：2025-12-29 08:20（Asia/Amman）
Duration：5min
Session：PS Poster Session »
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Abstract
This study develops a concise quantitative framework for forecasting Vietnamese stock prices by integrating econometric models with technical and fundamental indicators. Using data from 392 HOSE-listed stocks during 2020–2025 (over 45 million data points), the analysis incorporates Multiple Regression, GARCH(1,1), and VAR, along with MA, MACD, RSI, and valuation ratios. Results show that the banking sector leads overall market movements by 2–3 days, while foreign net buying Granger-causes VN-Index returns and explains 22.4% of their variance. The GARCH(1,1) model confirms persistent volatility clustering (α+β=0.95). Back-testing indicates 74.6% and 81.2% directional accuracy for RSI and MACD, with forecast errors (RMSE/MAE) improving by 12–18% over baseline models. These findings demonstrate that combining econometric and indicator-based analysis enhances short-term prediction and supports data-driven investment decisions in emerging markets.
Keywords
Time Series, Stock Market, GARCH, VAR, Regression, Quantitative Finance.
Speaker
Thuy Le Nguyen Thanh
Student Master Vietnam；University of Information Technology； VNU-HCMSubmission Author
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Important Date
-
Conference Date
Dec 29
2025
toDec 31
2025
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Dec 20 2025
Draft paper submission deadline
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Dec 31 2025
Contribution Submission Deadline
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Dec 31 2025
Registration deadline
Sponsored By
United Societies of Science
Organized By
Zarqa University
Contact Information
- Miss AsianComNet
- as******@usssociety.org
Previous Conferences
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2024-10-24 Thailand Bangkok
2024 Asian Conference on Communication and Networks
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