ARCHモデルのミクロ的基礎付けの試み (Micro-Foundation of ARCH Model)

4 Pages Posted: 5 Jan 2016 Last revised: 5 Apr 2016

See all articles by Takanobu Mizuta

Takanobu Mizuta

SPARX Asset Management Co., Ltd.

Date Written: January 4, 2016


The English version of this paper can be found at

Japanese Abstract: 経済のマクロモデルは,ミクロプロセスの積み上げによって構築する,いわいる``ミクロ的基礎付け''(micro-foundation)がなされるべきとの主張が多くなされ,ミクロ的基礎付けがなされた経済のマクロモデルが多く生まれた.一方,リスク資産の価格変動というマクロ量をモデル化したものは多く存在するが,これらのモデルをミクロ的基礎付けしようという試みは多くない.そこで本研究では人工市場研究からの知見を用いて,ARCHモデルのミクロ的基礎付け,すなわち,各係数がどのミクロプロセスから生じているのかを明らかにすることを試みた.その結果,投資家の予想価格のばらつきと需給の歪みが大きくなるとボラティリティは大きくなり,流動性を奪う投資家の存在割合が大きくなったり投資家のリスク回避度が小さくなるとボラティリティクラスタリングは大きくなることが分かった.

English Abstract: Many macroeconomic study argued macroeconomic models should be aggregated by micro processes models ("micro-foundation'') and many micro-founded macroeconomic models were built. On the other hand, there are many models for price variation of a risk asset, which is macro phenomena, however, there are few studies for micro-foundation of such models. In this study we tried micro-foundation of an ARCH model using intelligence of artificial market simulation studies. That is we tried to clarify which micro processes determine each coefficient of an ARCH model. Then, we showed that the dispersion of investors' estimated prices is larger or the orders by the buy-sell imbalance taking liquidity are more, the volatility is larger. And we showed that the ration of the normal investors taking liquidity to the noise traders providing liquidity is higher or the measure of risk aversion of the normal investors is lower, the magnitude of volatility clustering is larger.

Note: Downloadable document is in Japanese.

Keywords: micro-foundation, ARCH, GARCH, ミクロ的基礎付け

JEL Classification: G13

Suggested Citation

Mizuta, Takanobu, ARCHモデルのミクロ的基礎付けの試み (Micro-Foundation of ARCH Model) (January 4, 2016). Available at SSRN: or

Takanobu Mizuta (Contact Author)

SPARX Asset Management Co., Ltd. ( email )



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