| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2019: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2018: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2017: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Outline of Final Research Achievements |
Asset pricing theories on variance risk premium document that the Variance Risk Premium(VRP) defined by the difference between realized variance calculated from high-frequency data and volatility index(VI, VIX for S&P) calculated from option data has predictability of underlying asset returns. Our research provides theoretical explanation of such predictability. We conduct Bayesian statistical inference of various stochastic volatility(SV) models such as SV model with self-exciting jumps. Moreover, we investigate the positive relationship between hierarchical structure of VIX(model-free implied volatility of S&P500 options) and VVIX(model-free implied volatility of VIX-options), using non-affine SV model.
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