Tap chi Khoa hpc Truang Dgi hoc Can Tha Tdp 54 So 6D (2018): 188-195
^ ^ ^ ^ Tap chi Khoa hpc Tru'dng Dai hpc Can Thd
*^^HP^p>^ Phan D: Kinh te v^ Phap lu^t
^ ^ ^ website: sj.ctu.edu.vn DOL10.22144/ctu.jvn. 2018.111
1
^^SS^MO HINH Dir BAO GIA TOM SU XUAT KHAU VIET NAM
Le Nhi B a o N g p c ' * , L e Q u a n g Thong^ v a Thai A n h Hoa^
'Khoa Kinh te - Thiiy sdn. Trudng Cao ddng Cgng ddng Cd Mau
^Khoa kinh te, Trudng Dai hgc Nong Lam Thdnh pho Ho Chi Minh
^Khoa Kinh te - Luat, Truong Dai hoc Trd Vinh
'Ngudi chiu trdch nhiim vi bdi viit Le Nhi Bdo Ngoc (email. baongoccamau80@gmail com) Thong tin chung:
Ngdy nhdn bdi- 29/11/2017 Ngdy nhdn bdi sira 06/02/2018 Ngdy duyet ddng- 31/08/2018
Forecasting model of export price of tiger shrimp in Viet Nam
Tir khoa:
Du bdo gid, gid xudt khdu.
lorn su, SARIMA Keywords:
Black tiger shrimp forecast, prices. Seasonal ARIMA model (SARIMA model)
ABSTRACT
Forecasting export prices is very important for exporters and policymakers to make strategic business decisions The objective of the study was to apply the seasonal autoregressive integrated moving average (SARIMA) model lo predict ihe short-term export price of tiger shrimp using the monthly lime series data of free on board (FOB) price at size 30- 40 pieces/kg in the period jrom January 2011 to December 2016. The results confirmed that Ihe SARIMA (2,l,l)(0.},ll)i2 model was the most suitable for explaining the fluctuation of black tiger shnmp prices. The forecasting model was proved to be very reliable; the predicted shrimp prices in January 2017 were rouglily equal to the real ones with the 95%
confidence interval.
TOM T A T
Dy: bdo gid xudt khdu co vai trd quan trong doi voi doanh nghiip xudt khdu vd cdc nhd Igp chinh sdch de dua ra quyet dinh kinh doanh cd tinh chien luoc. Muc lieu cita nghiin ciru Id sic dung mo hinh SARIMA di du bdo gid giao lin tdu (FOB) thuc tdm su ngdn hgn vdi nguon so lieu Id chuoi gid tdm su co kich cd 30-40 con/kg theo thoi gian tir thdng 1/2011 din thdng 12/2016. Kit qua nghien ciru khdng dinh mo hinh (2,l,l)(0,l.ll)i2ldphu hgp degidi thich dugc su bien ddng gid FOB thuc cua tdm sit trong giai doan noi tren. Dong thdi, mo hinh du bdo rdt ddng tin cgy, gid tn thuc cua thdng 1 trong nam 2017 nam trong khoang tin cdy 95% vd gdn bang vdi gid tri du bdo vol diem sai so du bdo nho.
Trich dan: Le Nhi Bao Ngoc, Le Quang Thong va Thai Anh Hoa, 2018 Mo hinh du bao gia torn su xuat khau Viet Nam. Tap chi Khoa hoc Truang Dai hoc CSn Tha. 54(6D). 188-195.
1 DAT VAN DE
Tom su ia mpt trong nhiing mat hang thiiy san xult khdu chu luc ciia Viet Nam va la mot nganh quan trpng a D6ng bang song Cihi Long. Nam thang diu nam 2014, Viet Nam vin duy tri duoc vi tri din dku v i cung torn cho thi trucmg My voi 206 nghin tan torn xuat khiu, tang 9% so vai ciing ky nam 2013. Gia trung binh xuit khau dat 12,5 USD/kg, tang 40%. Nhirng thang dau nam 2015, tinh hinh
tieu thu torn tren the gioi trong giai doan nay lai chua on dinh nen da lara cho gia torn xuat khau cua Viet Nam qua timg thang co nhieu bien dong, cii the gia torn xuat khau sang Trung Quoc va Han Quoc cilng giam lan luat 28% va 17%. Nhu cau nhap khdu tom cua Trung Quoc giam do bat on kinh t8 va sir sup d6 thi truong chung khoan da khien cho tieu thu ciia tang lop trung va thuang luu nuoc nay giam manh.
Tai thi truong Nhat Ban va EU, san lugng torn nhap giam lan lugt 19% va 14% do ddng Yen va d6ng
Tap chiKhoa hoc Tnrdng Dgi lioc Cdn Tha Euro giam gia manh so v6i d6ng do ia My (USD) khign cac nha nhap khdu han che mua vao hoac tim each ha gia nhap. Nguo'c lai, nhu cau nhap khau torn cua thi trudng My v i n tang nhimg gia giam 20% tit 12,5 USD/kg xu6ng con 10,0 USD/kg (VASEP, 2014,2015).
Cling nhu cac mat hang nong san khac, tom su dang d6i mat vai nhiing bien dpng gia Gia tom sii tren dii truong xuit khdu bien dpng that thuang la do cong tac m a rong thi trucmg cua doanh nghiep chg bi6n xudt khdu v i n con han chg, dong thai nhirng chinh sach vS kiSm soat ve sinh an toan thuc phdm o cac nuac nhap khau ngay cang khat khe hon (VASEP, 2015) Gia tora sii xudt khdu biln dpng chii yeu phu thupc cung cau torn tren the gioi. Nam 2016, cung torn the gicn co kha nang giam idioang 5% so vai nam 2015, san luong giam chii yeu d Tmng Qudc va Viet Nam trong khi san lupng cr An Do va Indonesia khong tang trucmg. Day la ly do din dSn gia torn th6 gioi tang ni 10%-15% (SCAP, 2016)
Nganh torn Viet Nara giir mpt vai tro chii luc trong toan nganh thuy san va da gop phSn quan trpng vao ca cau xuat khau, lam gia tang thu nhap dang ke cho ngn kinh te Viet Nam. Vai xu huang phat trien raanh rae, thi trudng xuat khau ciia mat hang tdm Viet Nam ngay cang duac md rdng. Den nam 2016, Viet Nam xuat tdra den 92 qudc gia va vung lanh tho va dat kim ngach xuat khau tren 3,15 ty dong dd la My (VASEP, 2017). Mac du, cd rat nhieu nghien cuu phan tich ve vai tro cua tdm, ve chudi gia tri cila torn va phan tich hieu qua kinh te ciia nuoi tom a Viet Nam, tuy nhien nghien ciru ve gia, dac biet la nhiing phan tich du bao gia bi anh hudng bed raiia vu la rat hiem. Theo Loomis et al., (2000) du bao CO vai trd quan trpng trong xay dung ke hoach, chien lupc, phan tich tinh huong kmh doanh, lap kg hoach dau tu, ... Hon nua, du bao la ca sd cho cac quyet dinh ciia cac cap quan ly dan den su thanh cong. Ket qua khao sat tai My va cac nude phat trien co den 92,0% doanh nghiep khdng dinh du bao la ySu td quan trpng anh hudng den hieu qua hoat dpng ctia doanh nghiep (Nguyen Trgng Hoai vd ctv., 2009).
Tir nhung thuc trang tren, viec xay dung md hinh du bao gia torn sii xuat Idiau Viet Nam cd dd chinh xac cao nhara cung cap ca sd tin cay cho co quan hiiu quan trong qua trinh hoach dinh chinh sach, xay dung cac chign luac kinh doanh phat tndn nganh, vung la that su can thiet Nghien nay vai rauc tieu xay dung mo hinh du bao gia xudt khdu thuc hang thang cua tora su dua tren chudi sd lieu hang thang cua gia giao len tau (Free On Board -FOB) do AgroMonitor cung cap. Mo hinh SARIMA (seasonal autoregressive integrated moving average) dugc sir dung dg cho phep du bao sir bign
Tdp 54 So 6D (2018): 188-195 ddng cd tinh mua vu cua gia FOB tom sii. Ket qua du bao CO the cung cap thdng tm cho cac nha dieu hanh, nha hoach dinh chinh sach, nha quan ly san xuat cung nhu cac nha kmh doanh trong tien trinh ra quyet dinh phuang an san xuat kinh doanh. Ben canh do, nghien cuu la ngudn tai lieu bo sung cho linh vuc nghien cuu cdn han che ve phan tich thi trudng trong nganh thuy san Viet Nara.
2 P H i r O N G P H A P N G H I E N C i r u 2.1 Mo hinh dir bao ARBMA
ARJMA (autoregressive integrated movmg average) la rad hinh dir bao vai sd ligu chudi thai gian duac su dung phd bien tir khi dugc Box and Jenkins (1970) phat tnen phuang phap luan, do vay con dugc ggi la phuang phap Box-Jenkins. Trong md hinh nay, su van dpng cua bign sd nghign cihi (yt) duoc xem nhu phu thupc vao cac gia tn qua khir cua chinh n6 (tu hoi quy - autoregressive) va vao cac phdn nhilu qua khii trong md hinh hdi quy (trung binh di ddng - moving average). Cu the:
.v,=«)+Z*iJ'^'+"'+2*j"'-j
Trong dd, yt la gia tri cua bien sd can du bao d ky t; y,.i la cac dp tre i ky ciiay,; Ut va u,., lan lupt la phdn nhilu trdng d ky / va cdc do tre cua no; ^va^
la cac tham sd can udc lugng. Cac tham sd nay co the duac udc luang bang phucmg phap thich hap cue dgi (Maximum likelihood estimation - MLE) (Box elal, 1970).
De md binh (1) cd gia tri trong du bao, y, phai co tinh dimg (stationary). Do vay, budc dau tien trong phuong phap Box-Jenkins la xac dinh tinh dimg va tinh miia vu (seasonality) ciia chudi yt. Neu chuoi khdng cd tinh dimg, viec lay sai phan bac d de bign ddi thanh chuoi tich hgp (integration) dugc thyc hign. Ngu chudi c6 tinh miia vu, cac dp tri mua vu can dugc bao gdm vao rad hinh. Mdt khi da tao dugc chudi dimg, buac ti6p theo la xac dinh bac pvaq thich hgp dua vao he sd tu tuang quan rieng (PACF) va he so tu tuang quan (ACF) trong gian dd tu tuong quan. Viec xac dinh bac pvaq ciing gmp xac dinh cac thara sd can udc luong trong rad hinh (1) (Gujarati, 2004).
2.2 Mo hinh d u bao SARIMA Md hinh du bao SARIMA duac phat trign tu rao hinh ARIMA khi chudi so lieu cd tinh miia vu. Do la hien tugng chudi thdi gian cd su dao dpng va lap lai qua mdi nam (Martinez el al., 2011). Cac do tre theo raiia ciia y, se dugc bao gdm trong md hhih ARIMA dd trd thanh mo hinh SARIMA. Liic nay, md hinh SARIMA tdng quat co dang SARIMA
Tap chi Khoa hpc Trudng Dgi hpc Can Tha (p,d,q)(P,D,Q)s, trong do, P va Q idn lugt la bac thanh phan miia AR va MA, D la bac sai phan c6 tinh miia, s la sd ky trong mot vdng chu ky (s = 12 khi chudi dii lieu theo thang) Viec khao sat tren ACF va PACF tai cac tre la boi s6 ciia do dai miia s cung se giup kgt luan cac gia tri P, Q phu hgp cho mo hinh. Ddi vdi thanh phdn miia MA, bigu dd ACF cho thay mpt dinh nhpn d cac tri miia, cdn ddi vai thanh phan raua AR thi bigu dd PACF thd hien dinh nhpn nay. Dang md hinh nhan tmh (multiplicative model) trgn cho phep dua s6 hang bd sung (extra terra) vao mo hinh ma khdng phai tang thera tham sd.
Gia t n d, D lan lupt dugc xac dinh dua vao sd lan lay sai phan binh thudng va sai phan cd tinh raiia nham tinh hoa dii lieu (lam cho chuoi dimg)
2.3 Tien t r i n h x l y d u n g mo hinh du- bao SARIiVIA
Trong cac nghien cim thuc nghiem, tign trinh thyc hien nghien ciiu du bao dugc thirc hien qua 6 hudc sau:
Bu^c 1: Kiem dinh tinh dumg, tinh miia vu ciia dir llf u gdc
Cac chudi dugc kiem dinh tinh dimg cila dii ligu thdi gian bang phuong phap kiem dinh dan vi (unit root test)- kiem dinh Dickey-Fuller (ADF) dg fratih hdi quy gia mao (spurious regression).
Biro'c 2: Chuyen diJIieu sang sai p h a n Ngu dii lieu gdc khdng dimg can phai dupe chuyen ddi thanh chudi dung trudc khi tinh udc lupng cac tham sd bang phuong phap thich hgp cue dai. Viec chuyen ddi nay dugc thuc hien bang each tinh sai phan giiia cac gia tri quan sat dira vao gia dinh cac phan khac nhau ctia cac chudi thdi gian dgu dugc xem xet tuong tu, ngoai tru cac khac biet d gia
\n trung binh. Ngu viec chuyen ddi nay khdng thanh cong, cac kigu chuyen doi khac dugc ap dung nhu la chuygn ddi logarithm sau do tigp tuc lay sai phan.
Lim y, nghien cim thirc nghiem khi chuygn chuoi dir lieu sang sai phan nen dimg lai sai phan bac 2.
Bud'c 3: U'de lirffng cac gia tri tham so ciia m6 hinh
Sau khi chuygn thanh chudi sai phan bac d dg dat tinh diing, ta duac chudi tich hgp, 1(d), ta se xac dinh bac thanh phan ciia md hinh bao gdm hai phan, phdn tu hdi quy (AR) va phan trung binh trucrt (MA) thdng qua gian dd tu tuong quan (ACF) va tu tucmg quan rieng (PACF).
Ddi vdi thanh phan MA(q), ta cd phuang trinh:
Ngu chuoi cd dang MA(q) thi bidu dd ACF se co cac he sd tucmg quan cd y nghia thdng ke tir 1 tdi q
Tap 54 So 6D (2018): 188-195 va cac gia tri sau do se giam nhanh ve gia tri 0. Con ddi vdi PACF, cac he sd tucmg quan rieng phan se giam dan ve khdng
Gia tri p duoc nhan dang thdng qua bidu do ACF va PACF. Neu chudi cd dang AR(p) thi bieu do PACF se cd cac he sd tuong quan ndng cd y nghTa thong kg tir 1 tdi p va cac gia tri sau dd se giara nhanh ve khdng, ddng thai ACF cd cac he so tuong quan se giam dan ve ve gia tri 0.
Birofc 4: XSy d u n g md hinh SAIUMA Dg xay dung md hinh SARIMA, nghien cuu tien hanh hdi qui dir hgu gdc vdi 11 bign gia de chi cac thang trong nam (dii lieu thang s=12). Dua vao kiem dinh t xac dinh tinh miia vu ciia cac thang trong nam chudi so lieu vdi 11 bign gia thang trong nam.
Buffc 5: L u a chon mo hinh va kiem dinh mo hinh
Cac tham so ciia md hinh se dugc udc lugng bang MLE. Qua trinh lira chon rad hinh la qua trinh thuc nghigra va so sanh tira ra md hinh tot nhat cho viec du bao. Md hinh dugc lira chpn dira vao cac tieu chuan Akaike Info Cnterion (AIC), Schwarz (SIC), va Hannan - Quinn (HQ). Gia tri cac thdng ke nay cang nhd, md hinh cang phu hgp. Trong sd cac tidu chuan lira chpn thi tigu chuan SIC la khat khe nhat.
Dg dam bao md hinh la phii hgp, sai sd cila rad hinh phai la nhidu trang (white noise) va kiem dmh tu tuong quan bang kigm dinh Durbin-Watson,
Budc 6: D u bao
Sau khi kiem dinh sai sd, neu md hinh la phii hop, se dugc su dung vao viec du bao. Cac tieu chuan dugc sir dung dg danh gia md hinh du bao la chi tieu root mean square error (RMSE), mean absolute percent error (MAPE) va chi sd sai so U- Theil. Nghign cuu tidn hanh du bao trong raau va du bao ngoai raau. Ddng thin, nghign ciru tinh chi tieu
% sai sd cua du bao so vdi gia tri quan sat duoc va dupe tinh bang sir chenh lech giiia gia tri quan sat so vdi gia tri du bao.
2.4 So lieu nghien ciru
Sd lieu trong bai nghien ciiu nay dupe tdng hgp tir nhieu ngudn dang tin cay khac nhau. Cu the, chi sd gia USD (CPI ciia dd la) dugc thu thap tir Nien giam Thdng kg ciia Tdng cue Thdng kg; gia FOB cua tdm sii xuat khau binh quan theo timg thang tir AgroMonitor Cac chuoi so lieu theo ky hang thang, tir thang 1 nam 2011 den thang 12 nam 2016.
Nghign cim tign hanh tinh gia FOB thuc ciia tdm sii, sau dd xay dung rad hinh du bao SARIMA va tien hanh du bao. Cong thuc xac djnh gia FOB torn sii thuc hang thang theo cdng thirc cu the nhu sau:
Tap chi Khoa hpc Truang Dgi hpc Cdn Tha Gid FOB thuc cua tom su Gid FOB cua torn su
binh quan thdngt binh qudn/thdng, (USD/Ian) = CPI USD </.««« t 3 T O N G QUAN CAC NGHIEN C i a i THV'C N G H I E M
Ngay cang nhidu nghign cim thuc nghiera vg du bao dugc tign hanh nhigu noi tren thg gidi. Paul va Das (2010) sii dung rad hinh ARIMA vdi phuotig phap Box-Jenkins (1970) de nghign cim sir bign dpng san lugng ca noi dia d An Dp. Cac tac gia da khdng dinh rad hinh ARIMA dua ra ket qua du bao phli hgp. Dong thdi, phuong phap nay dugc AInaa and Ferdmand (2011) sir dung de xay dung mo hinh va du bao ty le lam phat d Ghana. Trong khi dd, Vo Van Tai (2012) su dung cac mo hinh khac nhau ciia hoi quy va chudi thdi gian ARIMA dg du bao san luong Ilia cua Viet Nara dua tren cac sd lieu cua qua khir. Lg Van Gia Nhd (2016), vdi sd lieu chudi thdi gian ve gia xuat khau hd tieu ciia Viet Nam ciing md hinh ARIMA (1,0,0) cd kgt hgp ham xu the theo thdi gian, da du bao gia hd tieu xuat khau theo thang la phil hgp Theo tac gia nay, md hinh cd the dieu chlrdi khi xem xet tinh miia vu cua chuoi thdi gian gia hd tieu xuat khau theo thang dg ket qua du bao dugc hiru hieu.
Md hinh du bao ARIMA se khdng that sir hieu qua ddi vdi dir lieu thdi gian cd tinh mua vu. De phat trign md hinh du bao phii hgp vdi chudi sd lieu cd tinh miia vu, md hinh ARIMA dugc md rdng bang each bd sun^ them tinh tu hdi quy va trung binh di ddng vdi sd ky mila vy (Brockwell and Davis, 2016). Tir do, md hinh SARIMA dugc su dung rpng
Tap 54 So 6D (2018): 188-19}
rai ddi vdi cac chudi sd lieu cd tinh miia vu trot^
nganh ndng san Bang rad hinh SARIMA (1,1,1)(1,0,0),2, Chandran and Pandey (2007) da chiing minh sir bien dpng ciia gia khoai tay theo miia vu d Delhi va nhan thay md hinh co kgt qua du bao hpp ly nhat. Tuang t^, Adanaciogluand and Yercan (2012) tign h^nh d\i bao gia ca chua d thanh phd Antalya thupc Thd Nhi Ky. Nghien cuu da chi ra md hinh SARIMA (1,0,0)(1, l,l)i2 la thich hgp nhat doi vdi chudi dii lieu gia ban buon theo thang.
Phucmg phap Box-Jenkms cd linh ling dyng cao va hieu qua vdi md hinh ARIMA trong linh virc di;
bao ngan han. Trong nghign cihi nay sir dung phuong phap Box-Jenkins dg thigt lap md hinh SARIMA du bao gia (FOB) thuc cua tdm su ciia Viet Nam va du bao gia cho 12 thang tiep theo.
4 XAY D U N G M 6 H I N H D l / B A O GlA 4.1 Khao sat chuoi gia FOB thuc cua tdm su Chudi sd lieu qua khii cua gia tdra sii xuat khau dugc dat tdn la Pw. Hinh 1 bigu dign sir bien dong cua gia FOB thirc cua tdm sii tii thang 1/2011 d6n thang 12/2016. Nhin chung, chudi sd lieu gia co tinh xu the, tang theo thdi gian. Gia trung binh vao thang 1/2011 vao khoang 6.917 USD/tdn va tang ddn den 15.546 USD/tdn vao thang 12/2016. Trong giai doan khao sat, cd nhung khoang thdi gian gia giam sau nhu thang 1/2012, thang 1/2014 va thang 12/2105.
Tai nhirng thdi digra, sir bien ddng gia bieu hien tinh miia vu kha ro rang. Gia thudng cao vao cac thSng 7, 9 trong nam va thap vao cac thang 12, va thang 1 nam sau.
P W
!l III IV I El Mt 2 0 - 1 5 2 0 1 6 Hinh I : Sirbi^n dgng cua gia F O B t h u c cua torn sii theo t h a n g
4.2 X&y dirng mo hinh d u bao 4 21 Kiem dinh tinh dung vd tao chudi dirng Do chudi gia FOB thuc cd thd vira mang tinh xu thg vita raang tinh mua vu (Hinh 1) nen kgt qua kidm
dinh tinh dung bang kiem djnh Dickey-Fuller cho thay chudi khdng dimg vdi thdng kg ( = -2,33; co gia tn Uiyet ddi nhd ban gia t n rXai han (t= -2,90 d miic y nghia 5%) tai Bang 1. Dg tao ra chuoi dimg, chudi gia FOB thuc dugc lay sai phan bac 1 (DPW).
Tgp chi Khoa hpc Truang Dgi hpc Can Tha Tap 54 So 6D (2018). 188-195
Bang 1: K^t qua kilm dmh ADF doi vdi chuoi gia tom FOB thuc ChuSi s6 ligu Ky hieu Gi4 tri t
Chudi sd lieu FOB Pw -2,33 Chuoi sai phan bac 1 FOB DPw -10,73
Muc y nghTa th6ng kg 0,1644 0,0000
•Mdn: Tdng hgp tir ket qud kiim dinh
^ , o o o -
Hinh 2: ChuSi sai phan bac 1 cua gia FOB thuc tdm su theo thang
Kgt qua lay sai phan bac 1 ciia chudi gia tdm su xuat khau cho thay chudi cd thg cd tinh dimg (Hinh 2). Kgt qua kiem dinh Dickey-Fuller dugc trinh bay tai Bang 1 cho thay, tri thdng kg t = -10,07; cd gia tri tuyet ddi Idn hem gia tri rtdi han. Budc tiep theo H^ sd tu tucmg quan He so tu tuong quan r
trong phuong phap Box-Jenkins la dua vao cdc gian dd cua he sd tu tuong quan (ACF) va tu tuang quan rieng (PACF) tai Hinh 3 dg xac dinh cac dp frg p va q cua su tu hdi quy va ttung binh di ddng trong md hinh SARIMA.
\c
1 2 3 4 5 6 7 8 9 10 11 12 U 14 15 16 17 IS 19 20 21 22 23 24-0,203 -0,103 -0,006 -0,167 -0,017 -0,029 0,112 -0,007 -0,029 0,142 -0,078 -0,045 0,013 0,023 -0,028 0,015 -0,028 -0,046 -0,139 0,124 -0,106 0,107 0,117 0,008
PAC -0,203 -0,151 -0,065 -0,213 -0,131 -0,140 0,029 -0,044 -0,057 0,113 0,004 -0,021 0,002 0,059 -0,009 0,017 -0,059 -0,060 -0,211 -0,018 -0,205 0,005 0,035 0,082
Q-Stat 3,0605 3,8580 3,8612 6,0108 6,0326 6,0976 7,1196 7,1241 7,1939 8,9072 9,4356 9,6116 9,6269 9,6762 9,7488 9,7701 9,8456 10,055 11,970 13,521 14,690 15,906 17,390 17,398
Prob 0,080 0,145 0,277 0,198 0,303 0,412 0,417 0,523 0,617 0,541 0,582 0,650 0,724 0,785 0,835 0,878 0,910 0,930 0,887 0,854 0,838 0,821 0,790 0,831 Hinh 3: Gian do tu tuong quan chuoi sai phan bac I
Tap chiKhoa hoc Tnrdng&gi hpc Cdn Tha 4.3 Xay d u n g md hinh SARIMA
Xac dinh cac md hinh ARIMA cd did dugc udc lucmg vdi cac p va q. Dua vao gian do tu tuang quan, ta Uidy ACF =0 ngay sau do tri 1; do dd gia tri q Idn nhdt la 1. Vay liic nay, MA nhan gia tq 0 hay 1.
Tuong tu qua gian dd tir tuang quan ta thdy PAC =0 ngay ky thuc; do dd gia tri p Idn nhat la 1. Vay liic nay AR nhan gia tri 0 hay 1.
Bang 2: Kgt qua hdi qui tinh mila vu md hinh SARIMA (2,0,2)(0,l,ll)ii
Bien so Hang so SMA(l) SMA(2) SMA(3) SMA(4) SMA(5) SMA(6) SMA{7) SMA(8) SMA(9) SMA(IO) SMA(ll) R' Gia tn thong ke F Miic y nghia cua F
He so 12221,53***
0,57***
0,39***
0,41***
0,12 -0,09 - 0 , 2 4 * "
-0,42***
0,47***
0,30***
0,57***
0,50***
Thong ke t
0.79 20,54 0,00
16,59 5,01 3,55 3,58 1,09 0,91 2,86 4,80 5,00 2,89 5,30 4,48
Ghichu **, *** Idn luat tuang img vdi mice y nghia Ihong ke, 5%, 1%
Dign bign gia tdm sii xuat khau thdi gian qua cho thay c6 ygu to miia vu. Gia xuat khau thudng cao Bang 3: Tong hgp Itet qua 4 md hinh d u bao SARIMA
Tap 54 So 6D (2018) 188-195 vao nhiing thang cudi nam. Mo hinh dir bao se khdng hoan hao ndu ta khong xet them ygu td miia vu khi thuc hien dir bao. Vi vay, ygu td miia vy duoc xem xet khi thuc hien du bao bang md hinh SARIMA. Md hinh tdng quat ciia SARIMA (p,d,ci)(P,D,Q)5 va thuc hien nhu sau:
Dg xay dung mo hinh SARIMA nghien cim ti^n hanh hoi quy dii lieu gdc lap lai ("budc 4") (dit lieu thang s = 12). Ket qua udc lugng dugc trinh bay tai Bang 2 cho thay dir lieu cd tinh mua do cac h? sd udc lugng ciia cac thang deu cd mirc y nghia thong ke d miic 1%, ngoai trir he sd cua thang 4 va thang 5. K i t qua nay cho thay gia cac thang cd su khac bift so vdi thang ca sd (thang 12), chi tru gia ciia thang 4 v a 5 .
Tigp theo, tac gia se hoi quy dit lieu gia kdt hep vdi cac md hinh SARIMA kha di, sau dd nghien ciiu dua vao cac tigu chuan gdra AIC, SIC, HQ de l\ra chpn md hinh tdt nhat trong bdn md hinh sau:
(i)Md hmh SARIMA (0,0,1)(0,1,2)i2 (ii)M6 hinh SARIMA (I,0,2)(0,l,2)i2 (iii)Md hinh SARIMA (11,0,11)(11,1,11)12 (iv) Mo hinh SARIMA (2,0,2)(0,I,1 l)i2 Kgt qua danh gia 4 md hinh du bao SARIMA theo cac tieu chuan IC dupe trinh bay tai Bang 3 cho thdy mo hinh (iii) tdt nhdt do cd AIC, SIC, HQ nho nhat. Vi vay, md hinh (iii) md hinh SARIMA (2,0,2)x(0,l,ll) 12 la mo hinh phii hgp nhdt vdi bo sd ligu nghign ciiu.
Mo hinh SARIMA (0,0,l)(0,l,2)i, (1,0,2X0,1,2)12 (2,0,2X0,1,1 l)i2 (11,0,11X11,1,11)12
AIC 17,32 17,04 16,62 16,99
SIC 17,42 17,20 16,85 17,25
HO 17,36 17,10 16,71 17,09
Durbin-Watson 1,72 2,03 1,96 1,20 Ngudn • Tong hgp ket qud u&c lugng
Bang 4: Ket qua hdi qui tinh miia vu md hinh SARIMA (2,0,2)(0,l,ll)i2
Bien so Hang sd AR(1) AR(2) MA(1) MA(2) SMA(2) SMA(ll) R'
Gia tn thong ke cua F Muc y nghia ciia F Thong ke Durbin-Watson
H e s 6 13414,07***
0,38***
0,55***
0 2 8 "
0,24*
-1,18***
-0,65***
0,85 62,78 0,00 1,96
Thong k e t 75,11 7,68 9,85 1,94 1,75 -56,51 -6,08
Ghichu. *. **, *** Idn lugt luang ung vai n
Ihong ke 10%. 5%, 1% cy nghia
Bang 4 the hien ket qua hdi quy ciia md hinh SARIMA (2,0,2)(b,l,l l)i2 da chgn cac hp sd uoc lupng deu dat raiic y nghia thdng kg 1%, va 5% va 10% va thdng kg Durbin-Watson gan bang 2.
Dg kiem djnh cac gia dinh ciia md hinh hdi quy tuygn tinh cd dien (CLRM) cua mo hinh SARIMA (2,0,2)(0,l,ll)i2, nghien ciiu thirc hien kiem dinh White ve phucmg sai sai sd thay doi. Ket q^ua cho thay md hinh cd phuang sai sai sd ddng nhat. Dua vao thdng kg Diubin-Watson, rad hinh khdng co hien tugng tu tuong quan Do vay, md hinh SARIMA (2,0,2)(0,l,l I)i2 cd sai sd la phin nhigu trdng. Ddng thdi, cac chi tieu RMSE = 891,4626, MAE = 680,798 va phdn tram sai sd (U-Theil) = 0,0375 cua md hmh nhd. Do dd, ta cd thg kgt luan mo hinh trgn thich hgp cho viec du bao.
Tap chi Khoa hoc Tni&ng Dat hoc Can Tha 4.4 D y bao ngoai m a u
Nghien cuu dua vao mo hinh SARIMA {2,0,2)(0,1,1 l)i2, duac sij dung de dtr bao duoc gia FOB thuc cho cac ky tiep theo, Dua vao dii lieu gia torn su FOB thuc hi thang 1/2011 dSn thang 12/2016, mo hinh du bao duoc gia torn sii FOB thuc cho thing 1/2017. Sau do, diing gia tri du bao gia tom su FOB thuc o thang 1/2017 d i du bao ti6p cho gia tom sii FOB thuc thang 2/2017 va tiep tuc du bao cho gia torn sii FOB thuc thang 3/2017. Tuong tu, nghien ciru se tiep tuc du bao gia torn sii FOB thuc thang 2/2017 cho cac thang 4, 5 va cac thang tiep
Tap 54. So 6D (201S)- 188-195 theo den thang 12. Ket qua du bao ngoai mau duac trinh bay tai Bang 5.
T u ket qua du bao ngoai mau cua mo hinh, ta thay gia FOB torn su thuc tir 1/2017 den thang 12/2017 dao dong tir 14.281,59 USD/tin dSn 16.224,76 USD/tin Wong irng thang 12/2017 la thang CO muc gia thiip nhiit va thang 6/2017 la thing CO mirc g i i FOB cao nhat. Hinh 4 cho thay gia du bao gan bang voi gia tri thuc ke ca khi so lieu gii trong q u i khir gap nhieu cu soc. Minh chiing la do thi cua mo hinh du bao PWSMAT bam sit voi do thi chuoi so lieu goc Pw.
Bang 5: K^t q u a d u b i o gia F O B tdm sii t h y c tir t h i n g I d i n t h i n g 12/2017
T h i n g Dir bao d i l m Pw - D y bao khoang Pw (khoang tin cay 9 5 % ) Gia tri nho n h a t G i i tri Ion nhat 1/2017
2/2017 3/2017 4/2017 5/2017 6/2017 7/2017 8/2017 9/2017 10/2017 11/2017 12/2017
14.913,46 14.967,91 15.324,30 15.475,62 15.274,05 16.219,34 15.195,79 15 676,17 15.530,61 14.502,67 14.775,41 14.269,53
12.329,49 11.932,36 12 041,75 12 052,74 11.769,44 12 477,77 11385,71 11.586,83 11.273,23 9.878,83 9.918,31 9.325,10
17.497,44 18.003,46 18.606,84 18 898,49 18.778,67 19.960,91 19.005,87 19.766,58 19.787,98 19.126,50 19.632,52 19.213,97 Nguoti: Tong hpp ket qua uoc lu(mg
Sau khi co kit qua du bao, ket qua nghien cinj dem so voi gia tn thuc quan sat dugc vao thing 1/2017 la 13.626,9o'uSD/tin. Gia tri nay n^m trong khoang tm cay 95% va gin bang voi gia Ui du bao. Sat so du b i o la
18,OOO
nay cho thay
dugc dung cho cong t i c du b i o
13 626,90 -14 913,47 _ t J i e U 14 913,47
hinh du bao dang tin cay va c6 the
I II p w . PWSIVIAF I Hinh 4; Do thi g i i F O B t h y c te va d y b i o ciia torn su theo t h i n g 5 K E T L U A N
Nghien ciiu su dyng phucmg p h i p Box-Jenkins (1970) d i lap mo hinh va du b i o gia FOB tom su
thuc cua Viet Nam theo thing; ket qua nghien ciru cho thiy mo hinh SARIMA (2,0,l)(0,l,ll)i2 dua ra gia tri du b i o tucmg doi phii hgp voi chuoi thiri gian gia FOB torn sii thuc theo thing. Cac chi tieu danh
Tgp chi Khoa hpc Trudng Dai hpc Cm Tha gia do tin cay ciia ket qua dir bao cho thay md hinh du bao dang tin cay. Do vay, rad hinh cd the dugc diing dg du bao gia cho cac ky tigp theo, raot khi dii lieu dugc cap nhat. Tuy nhign, trong giai do^n hien nay, ndn kinh td cd rdt nhieu bign ddng cd thg tac dgng dgn kdt qua du bao, do do viec du bao gia FOB torn sii thuc trong 12 thang tidptheo se tdn tai nhiing sai sd nhit dinh. Mac du vay, kit qua tighten cdu nay ciing phin nao cung c3.p thdng tin thidt thuc cho cac nha dau tu cung nhu cac nha lam chinh sach trong viec tim kigm nhiing giai phap thich hgp de phat trign nganh hang.
Viec du bao gia FOB tdm sii thuc ludn la raot cdng viec khdng de dang. Tir ly thuydt va thirc tg, gia FOB tdm sii thuc phu thupc vao rat nhigu ygu td, trong dd cd nhirng ygu td rat khd xac dinh va thudng xuygn bign ddng bao gdm: cung cau thi trudng, ty gia hdi doai, chdt lugng san phara, dich benh va ngoai ra nhiing chinh sach ve kigm soat ve sinh an toan thuc pham, ... Hon niia, giiia cac yeu td nay cdn cd su tac ddng qua lai lan nhau a radt do trg nhat dinh. Do dd, viec su dung md hinh ARIMA va SARIMA chua cho thdy rd sir anh hudng rieng le ciia tiing nhan td, va chua du dg cd thg do ludng chinh xac su bign ddng ciia gia FOB tdm sii thuc.
Tuy nhien, van de nay cung goi y raot hudng nghign ciiu tigp theo la sir dung rad hinh VAR (vector autoregression model) dg phan tich raoi lign he giira cac nhan td tren vdi gia FOB tdm sii thuc, sau do cd the di sau do ludng anh hudng cua cac cu sdc dgn su bat dinh ciia gia FOB tdra sii, ti gia dd la, chi sd gia ciia dd la My thdng qua cdng cu AutoRegressive conditional heteroskedasticity (ARCH)/
Generalized autoregressive conditional heteroskedasticity (GARCH) va Exponential generalized autoregressive conditional heteroscedastic (EGARCH) (Paul and Himadri, 2009) cd thg sir dung lam md hinh du bao cho gia FOB tdm sii trong tuong lai (Gujarati, 2004).
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