{"created":"2023-05-15T15:30:21.726873+00:00","id":2868,"links":{},"metadata":{"_buckets":{"deposit":"f55d57c7-aa33-4b49-b107-21dbe00310c1"},"_deposit":{"created_by":3,"id":"2868","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"2868"},"status":"published"},"_oai":{"id":"oai:barrel.repo.nii.ac.jp:00002868","sets":["1:477"]},"author_link":["6117","6118"],"item_1_biblio_info_5":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2005-03","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicPageEnd":"44","bibliographicPageStart":"29","bibliographicVolumeNumber":"12","bibliographic_titles":[{"bibliographic_title":"Asia-Pacific Financial Markets"}]}]},"item_1_description_18":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"The GARCH model is modified to capture the effect on volatilities of the consecutive number of days of positive or negative shocks. The new model is applied to the Shanghai Shcomp and Nikkei225 indices and found particularly useful in analyzing the Shcomp index. Similarly, the EGARCH model is extended along the same line as the GARCH model and is applied to the same sets of data. Stationarity of the new GARCH(1,1) model is proved, and also derived is the asymptotic distribution of the quasimaximum likelihood estimator.","subitem_description_type":"Abstract"}]},"item_1_publisher_6":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Springer Netherlands"}]},"item_1_relation_8":{"attribute_name":"DOI","attribute_value_mlt":[{"subitem_relation_type":"isVersionOf","subitem_relation_type_id":{"subitem_relation_type_id_text":"info:doi/10.1007/s10690-006-9011-z","subitem_relation_type_select":"DOI"}}]},"item_1_rights_12":{"attribute_name":"権利表記","attribute_value_mlt":[{"subitem_rights":"The original publication is available at www.springerlink.com."}]},"item_1_rights_13":{"attribute_name":"出版社版URI","attribute_value_mlt":[{"subitem_rights":"http://www.springerlink.com/content/w85r5g077p800570/"}]},"item_1_source_id_11":{"attribute_name":"書誌ID（NCID）","attribute_value_mlt":[{"subitem_source_identifier":"AA11224457","subitem_source_identifier_type":"NCID"}]},"item_1_source_id_7":{"attribute_name":"ISSN / EISSN","attribute_value_mlt":[{"subitem_source_identifier":"1387-2834","subitem_source_identifier_type":"ISSN"}]},"item_1_subject_16":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_1_subject_17":{"attribute_name":"NIIサブジェクト","attribute_value_mlt":[{"subitem_subject":"経済学","subitem_subject_scheme":"Other"}]},"item_1_version_type_15":{"attribute_name":"テキストバージョン","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_ab4af688f83e57aa","subitem_version_type":"AM"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Liu, Qingfeng"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Morimune, Kimio"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2016-01-23"}],"displaytype":"detail","filename":"APFM12(1)_29-44.pdf","filesize":[{"value":"237.1 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"APFM12(1)_29-44.pdf","url":"https://barrel.repo.nii.ac.jp/record/2868/files/APFM12(1)_29-44.pdf"},"version_id":"50e61859-1b4b-4662-ae72-1010d9826301"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"stock market","subitem_subject_scheme":"Other"},{"subitem_subject":"GARCH model","subitem_subject_scheme":"Other"},{"subitem_subject":"Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"spells of positive or negative shocks","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"journal article","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"A Modified GARCH Model with Spells of Shocks","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Modified GARCH Model with Spells of Shocks"}]},"item_type_id":"1","owner":"3","path":["4","477"],"pubdate":{"attribute_name":"公開日","attribute_value":"2009-09-25"},"publish_date":"2009-09-25","publish_status":"0","recid":"2868","relation_version_is_last":true,"title":["A Modified GARCH Model with Spells of Shocks"],"weko_creator_id":"3","weko_shared_id":3},"updated":"2023-07-20T07:50:17.374092+00:00"}