| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2010: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Research Abstract |
An asymmetric GARCH model is constructed with a rational function, called “R-GARCH” model. We compare the R-GARCH model with other asymmetric GARCH models such as EGARCH and GJR models by information criterions. We find that the R-GARCH model is superior to other models, depending on stock data we use. We also construct a GARCH model with an error term by a rational function and find that the model is superior to the GARCH model with a standard normal distribution.
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