戦略学習がGARCH効果に及ぼす影響のシミュレーションと分析

抄録

The GARCH model is effective to describe the fluctuation process of financial price. It is a model to observe the non-uniform variance of time-series data of financial prices. However, definite theory to reveal how the GARCH effect is produced yet although behavioral characteristics of investors seem to be involved in the causes of GARCH effect. In this study, we aim to reveal the mechanism of producing the GARCH effect in artificial market simulations. We focus on frequency of learning investment strategy.
The simulation yielded the results as follows: the lower the probability of changing investment strategy, the higher the GARCH effect. Results suggested that the GARCH effect relate to the ratio of changing strategies. Another simulation showed that inefficient market can occur the GARCH effect. All simulations same result, these findings could be regarded as general differences, caused by an uniform frequency of learning. The GARCH effect is caused by inefficient markets and ineffective investors.