| Project/Area Number |
08650075
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Engineering fundamentals
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| Research Institution | University of Tsukuba |
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Principal Investigator |
KISHIMOTO Kazuo University of Tsukuba, Institute of Policy and Planning Science Professor, 社会工学系, 教授 (90136127)
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| Project Period (FY) |
1996 – 1997
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| Project Status |
Completed (Fiscal Year 1997)
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| Budget Amount *help |
¥2,100,000 (Direct Cost: ¥2,100,000)
Fiscal Year 1997: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1996: ¥1,600,000 (Direct Cost: ¥1,600,000)
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| Keywords | Simulation / Time Series / Serial Correlation / Non-Parametric Test / Heteroskedasticity / GARCH / Optimum Allocation / Rational Voting / シミュレーション / GARCHモデル / 分散変動 / Markov過程 / 収益率 / 合理的投票理論 / 頑健性 |
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| Research Abstract |
This investigation is an extenstion of my previous work on the serial correlation test of heteroskedasitc time series data.
I have shown that it is applicable to the test of zero risk-premium in the framework of GARCH-M model. It application to some Japanese stock indices has shown the existence of risk-premium which is consistent with the ordinary risk premium theory in economics.
I have also shown that this approach is applicable to the test of cross-correlation between two time series.
In the process of this work, I found a method for efficient generation of a GARCH sample path. It is expected to be used for the efficient estimation of GARCH parameters in the future.
I have also found the rate of convergence of distribution to the limit equilibrium distribution when we regard the GARCH model as a Markov process.
I have also shown empirically that the parameter estimation of GARCH is robust when the sampling period is enough long.
As a by-product of this work, I found a new equilibrium in the two dimensional rational voting theory.
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