| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2015: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
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| Outline of Final Research Achievements |
1. Data manipulation: We used Reuters Japan's online news article as a proxy variable for information supply. Then, we executed morphological analysis on the acquired online news articles and converted these into data for each word class.
2. Model formulation: We implemented time series models with lag values of topic score calculated using a dynamic topic model which is one of stochastic generating models of documents and volatility as explanatory variables.
3. Outcome: By using the model including the topic score, we could demonstrate empirically that the predictive power of volatility improves.
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