<p><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> <font color="#3366FF"><span lang="EN-US">ARCH</span>モデル</font></span></p> <p><font color="#33CC00"><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> <span lang="EN-US">ARCH</span></span><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"><span lang="EN-US">(autoregressiveconditionalheteroscedastic)model</span></span></font></p> <p><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> 金融資産価格には「符号は別にして<span lang= "EN-US">,</span>大きな変動の後には大きな変動が<span lang= "EN-US">,</span>小さな変動の後には小さな変動が続く」という変動集積<span lang="EN-US">(volatilityclustering)</span>の傾向があることが<span lang="EN-US">,1960</span>年代に発見された<span lang="EN-US">.ARCH</span>モデルは<span lang="EN-US">,</span>収益率の<span lang="EN-US">t</span>期の分散を<span lang="EN-US">t</span>－<span lang="EN-US">1</span>期までの<span lang="EN-US">2</span>乗収益率の関数とすることで<span lang="EN-US">,</span>変動集積を捉えた条件付分散変動自己回帰モデルである<span lang="EN-US">.1980</span>年代初期に提案されて以来<span lang="EN-US">,</span>現在にいたるまで金融資産価格変動の実証分析に大きな威力を発揮している<span lang="EN-US">.</span></span></p> <p><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> <span lang="EN-US"><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> <font color="#3366FF"><span lang="EN-US">アクティブ</span> 運用</font></span></span></span></p> <p><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> <span lang="EN-US"><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> <span lang="EN-US"><font color= "#33CC00">activemanagement</font></span></span></span></span></p> <p><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> <span lang="EN-US"><span style= "FONT-SIZE: 10.5pt; FONT-FAMILY: 'ＭＳ ゴシック'; mso-bidi-font-family: 'ＭＳ ゴシック'; mso-font-kerning: 1.0pt; mso-ansi-language: EN-US; mso-fareast-language: JA; mso-bidi-language: AR-SA"> パッシブ運用</span></span></span></p>
