{"created":"2023-07-25T10:29:11.355691+00:00","id":437,"links":{},"metadata":{"_buckets":{"deposit":"ab0fbaf8-e3c9-4848-b480-6ec8749177c7"},"_deposit":{"created_by":1,"id":"437","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"437"},"status":"published"},"_oai":{"id":"oai:hue.repo.nii.ac.jp:00000437","sets":["46:120:132:133"]},"author_link":["1116","1115"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2020-03-31","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3","bibliographicPageEnd":"18","bibliographicPageStart":"5","bibliographicVolumeNumber":"42","bibliographic_titles":[{"bibliographic_title":"広島経済大学経済研究論集"},{"bibliographic_title":"HUE Journal of Economics and Business","bibliographic_titleLang":"en"}]}]},"item_10002_description_19":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"近年，資産価格のボラティリティの推定量として，日中の高頻度データから計算される実現ボラティリティ（Realized Volatility; RV) を用いることが多い。RVの変動を表すモデルに Heterogeneous Autoregressive (HAR) モデルがあり，このモデルは日次RVの変動を過去の日次，週次，月次といった周期の異なるRVの関数として表す。RVは長期記憶性を持つ可能性が指摘されており，HARモデルは長期記憶モデルではないが，少ないパラメータで長期記憶過程をうまく近似できるのでボラティリティの予測精度が高いこと，パラメータを最小2乗法で簡単に推定できること，週次や月次のボラティリティを予測したい時には被説明変数を週次や月次のRVに置き換えるだけで良いことから、よく用いられる。その後，このモデルは様々な拡張が行われているので，本稿ではまずHARモデルの発展についてサーベイする。次に，日経225株価指数のRVに応用し，これまでに行われている様々な拡張によって，ボラティリティの予測精度が改善するかどうか分析する。その結果，日次ボラティリティの予測では，ボラティリティ変動の非対称性を加える以外の拡張はボラティリティの予測精度を改善しないことが明らかになった。また月次ボラティリティの予測では，ボラティリティ変動の非対称性を考慮しても予測精度が改善しないことが明らかになった。","subitem_description_type":"Abstract"}]},"item_10002_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"依頼論文","subitem_description_type":"Other"}]},"item_10002_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.18996/keizai2020420301","subitem_identifier_reg_type":"JaLC"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"広島経済大学経済学会"}]},"item_10002_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00212083","subitem_source_identifier_type":"NCID"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"0387-1436","subitem_source_identifier_type":"ISSN"}]},"item_10002_version_type_20":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"渡部, 敏明"},{"creatorName":"ワタナベ, トシアキ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{"nameIdentifier":"1115","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Watanabe, Toshiaki","creatorNameLang":"en"}],"nameIdentifiers":[{"nameIdentifier":"1116","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2023-02-24"}],"displaytype":"detail","filename":"keizai2020420301.pdf","filesize":[{"value":"1.8 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"keizai2020420301.pdf","url":"https://hue.repo.nii.ac.jp/record/437/files/keizai2020420301.pdf"},"version_id":"57ed0232-841e-49b5-8148-c1384ad1944e"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Heterogeneous Autoregressive モデル ─サーベイと日経225株価指数の実現ボラティリティへの応用─","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Heterogeneous Autoregressive モデル ─サーベイと日経225株価指数の実現ボラティリティへの応用─"},{"subitem_title":"Heterogeneous Autoregressive Models :  Survey with the Application to the Realized Volatility of Nikkei 225 Stock Index","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"1","path":["133"],"pubdate":{"attribute_name":"公開日","attribute_value":"2023-02-24"},"publish_date":"2023-02-24","publish_status":"0","recid":"437","relation_version_is_last":true,"title":["Heterogeneous Autoregressive モデル ─サーベイと日経225株価指数の実現ボラティリティへの応用─"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-07-25T11:14:43.143352+00:00"}