Testing and forecasting the VNINDEX of Hostc in the weak-form market efficiency

Abstract

This study tests the weak-form efficient market hypothesis for the case of VNINDEX, the stock index of Ho Chi Minh Securities Trading Center. The stock market is found to be weak-form inefficient, which means prices are predictable. Therefore, forecasting models ARIMA, ARCH and GARCH of are applied into the data series. Goodness of fit of those models shall be subject to further analysis. Keywords: Efficient market, weak-form, ARIMA, ARCH, GARCH