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武蔵大学論集 「The Journal of Musashi University」 >
2009年度・第57巻 第3・4号 >

Please use this identifier to cite or link to this item: http://hdl.handle.net/11149/1376

Title: Leptokurtic Properties of JGB Yield Processes Some Comments about the Changes of the Meaning/ Concept of "Keiei" Compared with "Management"
Authors: KAGRAOKA, Yusho
神楽岡, 優昌
Keywords: yield processes
GARCH
leptokurtic
Issue Date: 10-Mar-2010
Publisher: 武蔵大学経済学会
Abstract: Yield processes of the Japanese Government Bonds(JGBs)are investigated by applying a GARCH-type model allowing for time-varying volatility, skewness and kurtosis[Leon, Rubio and Serna(2005). Autoregressive conditional volatility, skewness and kurtosis. The Quarterly Review of Economics and Finance 45, 599-618]. A yield change is represented as (数式については省略)The model parameters are estimated with the maximum likelihood. The model is applied to daily yields of JGBs from January 2000 to December 2004. Empirical results unveil the following new findings;(i)kurtosis are signicant and comparable for all JGBs(in the range of 3.387-3.445), and the distributions of yield changes have leptokurtic properties;(ii)skewnesses are weak for all JGBs;(iii)volatilities are comparable for all JGBs.
URI: http://hdl.handle.net/11149/1376
Appears in Collections:2009年度・第57巻 第3・4号

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