{"created":"2023-10-13T10:28:18.546048+00:00","id":2000011,"links":{},"metadata":{"_buckets":{"deposit":"af5850b9-0b4b-4255-9227-21c92e623bab"},"_deposit":{"created_by":18,"id":"2000011","owner":"18","owners":[18],"pid":{"revision_id":0,"type":"depid","value":"2000011"},"status":"published"},"_oai":{"id":"oai:konan-u.repo.nii.ac.jp:02000011","sets":["10:197:1697182121386:1697182223383"]},"author_link":["3221"],"control_number":"2000011","item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2023-09-15","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1・2","bibliographicPageEnd":"42","bibliographicPageStart":"29","bibliographicVolumeNumber":"64","bibliographic_titles":[{"bibliographic_title":"甲南経済学論集","bibliographic_titleLang":"ja"},{"bibliographic_title":"Konan economic papers","bibliographic_titleLang":"en"}]}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"本稿は，実現GARCH モデルによるVIX 指数プライシングのHansen et al.［2022］の方法を日経ボラティリティ・インデックスのプライシングに適用した石田［2022b］の実証分析を発展させる標本外パフォーマンス評価の結果を報告するものである。主要な発見は次のとおりである：① プライシング誤差低減を直接，目的関数（モデル推定の尤度関数）に含めるアプローチは標本内フィットの向上だけでなく，標本外のパフォーマンス向上効果も大きい，② 日経平均株価リターン・データだけを用いて比較的短期間の移動窓方式でEGARCH モデルを推定する場合，持続性のパラメータの推定値が1 に近い値となり，結果的にVIX 理論値がオーバーシュートしてしまいパフォーマンスが悪くなることが多い，③ ボラティリティの日次実現測度をモデルに取り込む実現GARCH モデルもパフォーマンス向上に繋がる可能性が高い，④ 純ボラティリティ・リスクプレミアム項を含むモデルは最近，その重要性が低下しているように見えるが，以前は有効であった可能性がある。","subitem_description_language":"ja","subitem_description_type":"Abstract"}]},"item_10002_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.14990/0002000011","subitem_identifier_reg_type":"JaLC"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"甲南大学経済学会","subitem_publisher_language":"ja"}]},"item_10002_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00084529","subitem_source_identifier_type":"NCID"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"04524187","subitem_source_identifier_type":"PISSN"}]},"item_10002_version_type_20":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"open access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_abf2"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"ISHIDA, Isao","creatorNameLang":"en"},{"creatorName":"石田, 功","creatorNameLang":"ja"},{"creatorName":"イシダ, イサオ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{"nameIdentifier":"3221","nameIdentifierScheme":"WEKO"},{"nameIdentifier":"20361579","nameIdentifierScheme":"e-Rad","nameIdentifierURI":"https://kaken.nii.ac.jp/ja/search/?qm=20361579"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_access","date":[{"dateType":"Available","dateValue":"2023-10-13"}],"filename":"K04515.pdf","filesize":[{"value":"375 KB"}],"format":"application/pdf","mimetype":"application/pdf","url":{"objectType":"fulltext","url":"https://konan-u.repo.nii.ac.jp/record/2000011/files/K04515.pdf"},"version_id":"c3eff374-88ef-429e-9c25-a08158e4537b"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"ボラティリティ指数","subitem_subject_language":"ja","subitem_subject_scheme":"Other"},{"subitem_subject":"GARCH 型モデル","subitem_subject_language":"ja","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classifications : G12，G13，G17","subitem_subject_language":"ja","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"[研究ノート] 日経平均ボラティリティ・インデックスのプライシング： GARCH型モデルの標本外パフォーマンス","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"[研究ノート] 日経平均ボラティリティ・インデックスのプライシング： GARCH型モデルの標本外パフォーマンス","subitem_title_language":"ja"},{"subitem_title":"[Note] Evaluating the pricing performance of GARCH-type models for the Nikkei Volatility Index: An out-of-sample analysis","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"18","path":["1697182223383"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2023-10-13"},"publish_date":"2023-10-13","publish_status":"0","recid":"2000011","relation_version_is_last":true,"title":["[研究ノート] 日経平均ボラティリティ・インデックスのプライシング： GARCH型モデルの標本外パフォーマンス"],"weko_creator_id":"18","weko_shared_id":-1},"updated":"2024-04-15T07:05:30.418669+00:00"}