This paper looks into economic insights offerred by considerations of two important
financial markets in Vietnam, gold and USD. In general, the paper focuses on time series
properties, mainly returns at different frequencies, and test the weak-form efficient market
hypothesis. All the test rejects the efficiency of both gold and foreign exchange markets. All
time series exhibit strong serial correlations. ARMA-GARCH specifications appear to have
performed well with different time series. In all cases the changing volatility phenomenon ...