VIETNAM 30 EQUAL WEIGHT INDEX: ANALYSIS AND RISK MANAGEMENT BASED ON ASYMMETRIC DISTRIBUTION MODEL

Abstract

In this paper, an analysis of Vietnam 30 Equal Weight Index (VN30) basket was summarized and the Value at Risk (VaR) approach was performed to analyze the investment risk of VN30 and its constituent stocks. Data set from stock index and stock prices were collected from Ho Chi Minh Stock Exchange (HOSE) from 2012 to 2020 and restricted to continual stocks throughout the period. In order to do this research, the following three distribution models will be applied: Skewed-T Distribution (ST), Generalized Hyperbolic Distribution (GH), and Normal Inverse Gaussian Distribution (NIG) on daily stock returns. Empirical result shows that the evidence from model fitting distribution and VaR calculation of the skewed distributions are better than that of the normal distribution.