| Project/Area Number |
16K03603
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Soka University |
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Principal Investigator |
Asai Manabu 創価大学, 経済学部, 教授 (90319484)
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| Project Period (FY) |
2016-04-01 – 2019-03-31
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| Project Status |
Completed (Fiscal Year 2018)
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| Budget Amount *help |
¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Fiscal Year 2018: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
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)
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| Keywords | 実現ボラティリティ / 長期記憶 / 計量ファイナンス |
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| Outline of Final Research Achievements |
In recent years, in the analysis of financial markets, utilization of high-frequency data such as data observed every minute and tick data recorded for each transaction has attracted attention. This data can be used to obtain "realized volatility" as an estimate of the daily changing volatility. This realized volatility is used to predict the risk of financial assets. In this study, I have extended volatility models in various ways using recent researches in the field of time series analysis. As a result, the new models showed improvement on forecasting. The research results are summarized in eight articles.
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| Academic Significance and Societal Importance of the Research Achievements |
例えば、日経新聞社は日経225株価指数のボラティリティとして、日経RVを公表している。実現ボラティリティについて、その変動特性を明らかにすることは単に研究者の間だけでなく、金融実務家にとっても重要なことである。また、この研究成果の一つとして、モデルの推定と予測を比較的簡単に行えるように、カルマン・フィルターによる推定方法について検討し、その有用性を示した。
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