{"id":10987,"date":"2026-09-20T00:12:26","date_gmt":"2026-09-19T15:12:26","guid":{"rendered":"https:\/\/triumphmind.com\/cma\/2026\/09\/20\/g2-quant-28\/"},"modified":"2026-09-20T00:19:04","modified_gmt":"2026-09-19T15:19:04","slug":"g2-quant-28","status":"publish","type":"post","link":"https:\/\/triumphmind.com\/cma\/2026\/09\/20\/g2-quant-28\/","title":{"rendered":"\u6642\u7cfb\u5217\u30e2\u30c7\u30eb\u306e\u8a3c\u5238\u30fb\u5e02\u5834\u5206\u6790\u3078\u306e\u5fdc\u7528\u3068\u306f\uff1f\u610f\u5473\u3068\u8a66\u9a13\u3067\u554f\u308f\u308c\u308b\u30dd\u30a4\u30f3\u30c8\uff5c\u8a3c\u5238\u30a2\u30ca\u30ea\u30b9\u30c82\u6b21\u30fb\u6570\u91cf\u5206\u6790\u3068\u78ba\u7387\u30fb\u7d71\u8a08"},"content":{"rendered":"<style>.cma-tbl{margin:1.2em 0 1.6em;overflow-x:auto;-webkit-overflow-scrolling:touch;border-radius:8px;box-shadow:0 1px 4px rgba(34,0,94,.12);}.cma-tbl 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class=\"cma-answer-title\">\u3072\u3068\u3053\u3068\u3067\u8a00\u3046\u3068<\/p>\n<ul>\n<li>\u6642\u7cfb\u5217\u30e2\u30c7\u30eb\u306f\u3001\u682a\u4fa1\u30fb\u91d1\u5229\u30fb\u70ba\u66ff\u306a\u3069\u306e<strong>\u30ea\u30bf\u30fc\u30f3\u306e\u4e88\u6e2c\u53ef\u80fd\u6027<\/strong>\u306e\u691c\u8a3c\u3001<strong>\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\uff08\u30ea\u30b9\u30af\uff09\u306e\u4e88\u6e2c<\/strong>\u3001\u5909\u6570\u9593\u306e<strong>\u9577\u671f\u95a2\u4fc2<\/strong>\u306e\u5206\u6790\u306b\u4f7f\u308f\u308c\u307e\u3059\u3002<\/li>\n<li>AR\u30e2\u30c7\u30eb\u306f\u5e73\u5747\u56de\u5e30\u3084\u52b9\u7387\u6027\u306e\u691c\u8a3c\u306b\u3001GARCH\u306fVaR\u306a\u3069\u306e\u30ea\u30b9\u30af\u7ba1\u7406\u306b\u3001\u5171\u548c\u5206\u306f\u30da\u30a2\u30fb\u30c8\u30ec\u30fc\u30c7\u30a3\u30f3\u30b0\u3084\u88c1\u5b9a\u95a2\u4fc2\u306e\u5206\u6790\u306b\u5fdc\u7528\u3055\u308c\u307e\u3059\u3002<\/li>\n<li>\u4f7f\u3046\u524d\u306b<strong>\u5b9a\u5e38\u6027\u306e\u78ba\u8a8d<\/strong>\u3084\u69cb\u9020\u5909\u5316\u306e\u30c1\u30a7\u30c3\u30af\u3092\u884c\u3044\u3001\u898b\u305b\u304b\u3051\u306e\u95a2\u4fc2\u306b\u6ce8\u610f\u3059\u308b\u3053\u3068\u304c\u5927\u5207\u3067\u3059\u3002<\/li>\n<\/ul>\n<\/div>\n<p>\u3053\u306e\u8a18\u4e8b\u3067\u306f\u3001\u8a3c\u5238\u30a2\u30ca\u30ea\u30b9\u30c82\u6b21\u300c\u6570\u91cf\u5206\u6790\u3068\u78ba\u7387\u30fb\u7d71\u8a08\u300d\u306e\u5b66\u7fd2\u30dd\u30a4\u30f3\u30c8\u306e\u3072\u3068\u3064\u300c\u8a3c\u5238\u30fb\u5e02\u5834\u5206\u6790\u3078\u306e\u5fdc\u7528\u300d\u306b\u3064\u3044\u3066\u3001\u610f\u5473\u3068\u8a66\u9a13\u3067\u554f\u308f\u308c\u3084\u3059\u3044\u30dd\u30a4\u30f3\u30c8\u3092\u89e3\u8aac\u3057\u307e\u3059\u3002<\/p>\n<div class=\"cma-tbl kv\">\n<table>\n<tbody>\n<tr>\n<th>\u5206\u91ce<\/th>\n<td>2\u6b21 \u5e02\u5834\u3068\u7d4c\u6e08\u306e\u5206\u6790\uff0f\u6570\u91cf\u5206\u6790\u3068\u78ba\u7387\u30fb\u7d71\u8a08<\/td>\n<\/tr>\n<tr>\n<th>\u5927\u5206\u985e<\/th>\n<td>(13) \u6642\u7cfb\u5217\u5206\u6790<\/td>\n<\/tr>\n<tr>\n<th>\u5354\u4f1a\u306e\u5b66\u7fd2\u30dd\u30a4\u30f3\u30c8<\/th>\n<td>\u6642\u7cfb\u5217\u30e2\u30c7\u30eb\u3092\u8a3c\u5238\u5206\u6790\u3084\u5e02\u5834\u5206\u6790\u306b\u5fdc\u7528\u3067\u304d\u308b\u3002<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n<h2>\u6642\u7cfb\u5217\u30e2\u30c7\u30eb\u306e\u8a3c\u5238\u30fb\u5e02\u5834\u5206\u6790\u3078\u306e\u5fdc\u7528\u3068\u306f<\/h2>\n<p>\u3053\u3053\u307e\u3067\u5b66\u3093\u3060AR\u30e2\u30c7\u30eb\u3001\u5358\u4f4d\u6839\u3001\u69cb\u9020\u5909\u5316\u3001GARCH\u3001\u5171\u548c\u5206\u3068\u3044\u3063\u305f\u9053\u5177\u306f\u3001\u5b9f\u969b\u306e\u8a3c\u5238\u5206\u6790\u30fb\u5e02\u5834\u5206\u6790\u306e\u4e2d\u3067\u305d\u308c\u305e\u308c\u5f79\u5272\u3092\u6301\u3063\u3066\u3044\u307e\u3059\u3002\u5927\u5207\u306a\u306e\u306f\u3001\u300c\u3069\u3093\u306a\u554f\u3044\u306b\u3001\u3069\u306e\u30e2\u30c7\u30eb\u3092\u4f7f\u3046\u306e\u304b\u300d\u3092\u5bfe\u5fdc\u3065\u3051\u3066\u7406\u89e3\u3059\u308b\u3053\u3068\u3067\u3059\u3002<\/p>\n<h3>\u30ea\u30bf\u30fc\u30f3\u306e\u4e88\u6e2c\u53ef\u80fd\u6027\u3068\u5e02\u5834\u306e\u52b9\u7387\u6027<\/h3>\n<p>\u682a\u4fa1\u306e\u6c34\u6e96\u306f\u5358\u4f4d\u6839\u3092\u6301\u3064\uff08\u30e9\u30f3\u30c0\u30e0\u30a6\u30a9\u30fc\u30af\u306b\u8fd1\u3044\uff09\u3053\u3068\u304c\u591a\u3044\u305f\u3081\u3001\u5206\u6790\u306b\u306f\u901a\u5e38<strong>\u30ea\u30bf\u30fc\u30f3\uff08\u5bfe\u6570\u4fa1\u683c\u306e\u968e\u5dee\uff09<\/strong>\u3092\u4f7f\u3044\u307e\u3059\u3002\u30ea\u30bf\u30fc\u30f3\u306bAR(1)\u3092\u5f53\u3066\u306f\u3081\u3066\u4fc2\u6570\u304c\u6709\u610f\u306b\u30bc\u30ed\u3068\u7570\u306a\u308c\u3070\u3001\u904e\u53bb\u306e\u30ea\u30bf\u30fc\u30f3\u304b\u3089\u5c06\u6765\u3092\u3042\u308b\u7a0b\u5ea6\u4e88\u6e2c\u3067\u304d\u308b\u3053\u3068\u306b\u306a\u308a\u3001\u30a6\u30a3\u30fc\u30af\u578b\u306e\u52b9\u7387\u7684\u5e02\u5834\u4eee\u8aac\u306b\u53cd\u3059\u308b\u53ef\u80fd\u6027\u3092\u793a\u3057\u307e\u3059\u3002\u305f\u3060\u3057\u3001\u7d71\u8a08\u7684\u306b\u6709\u610f\u3067\u3082\u53d6\u5f15\u30b3\u30b9\u30c8\u3092\u8003\u3048\u308b\u3068\u5229\u76ca\u306b\u306a\u3089\u306a\u3044\u5834\u5408\u3082\u591a\u304f\u3001\u7d4c\u6e08\u7684\u306a\u610f\u5473\u3082\u5408\u308f\u305b\u3066\u8a55\u4fa1\u3057\u307e\u3059\u3002<\/p>\n<h3>\u91d1\u5229\u30fb\u70ba\u66ff\u30fb\u7d4c\u6e08\u6307\u6a19\u306e\u5206\u6790<\/h3>\n<p>\u91d1\u5229\u3084\u30a4\u30f3\u30d5\u30ec\u7387\u306f\u9577\u671f\u7684\u306b\u4e00\u5b9a\u306e\u6c34\u6e96\u3078\u623b\u308b<strong>\u5e73\u5747\u56de\u5e30<\/strong>\u306e\u6027\u8cea\u3092\u6301\u3064\u3068\u8003\u3048\u3089\u308c\u308b\u3053\u3068\u304c\u591a\u304f\u3001AR(1)\u578b\u306e\u30e2\u30c7\u30eb\uff08\u96e2\u6563\u6642\u9593\u7248\u306e\u91d1\u5229\u30e2\u30c7\u30eb\uff09\u3067\u8868\u3055\u308c\u307e\u3059\u3002AR\u30e2\u30c7\u30eb\u3067\u63a8\u5b9a\u3057\u305f\u6301\u7d9a\u6027\u306e\u5f37\u3055\u304b\u3089\u3001\u30b7\u30e7\u30c3\u30af\u306e\u534a\u6e1b\u671f\u306a\u3069\u3092\u8a55\u4fa1\u3067\u304d\u307e\u3059\u3002\u6708\u6b21\u30fb\u56db\u534a\u671f\u306e\u7d4c\u6e08\u6307\u6a19\u3092\u4f7f\u3046\u3068\u304d\u306f\u5b63\u7bc0\u8abf\u6574\u6e08\u307f\u30c7\u30fc\u30bf\u3092\u4f7f\u3044\u3001\u653f\u7b56\u306e\u67a0\u7d44\u307f\u304c\u5909\u308f\u3063\u305f\u6642\u671f\u306b\u306f\u69cb\u9020\u5909\u5316\u3092\u78ba\u8a8d\u3057\u307e\u3059\u3002<\/p>\n<h3>\u30ea\u30b9\u30af\u7ba1\u7406\u3078\u306e\u5fdc\u7528<\/h3>\n<p>GARCH\u30e2\u30c7\u30eb\u3067\u7fcc\u65e5\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u3092\u4e88\u6e2c\u3057\u3001\u305d\u308c\u3092\u3082\u3068\u306b<strong>VaR\uff08\u30d0\u30ea\u30e5\u30fc\u30fb\u30a2\u30c3\u30c8\u30fb\u30ea\u30b9\u30af\uff09<\/strong>\u3092\u8a08\u7b97\u3059\u308c\u3070\u3001\u5e02\u5834\u306e\u8352\u308c\u5177\u5408\u306b\u5fdc\u3058\u3066\u5909\u5316\u3059\u308b\u30ea\u30b9\u30af\u91cf\u3092\u628a\u63e1\u3067\u304d\u307e\u3059\u3002\u4e00\u5b9a\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u3092\u4eee\u5b9a\u3059\u308b\u3088\u308a\u3001\u5e02\u5834\u304c\u6025\u5909\u3057\u305f\u5c40\u9762\u306e\u5b9f\u614b\u306b\u8fd1\u3044\u30ea\u30b9\u30af\u8a55\u4fa1\u304c\u671f\u5f85\u3067\u304d\u307e\u3059\u3002<\/p>\n<h3>\u9577\u671f\u95a2\u4fc2\u306e\u5206\u6790\u3068\u88c1\u5b9a<\/h3>\n<p>\u73fe\u7269\u3068\u5148\u7269\u3001\u540c\u696d2\u9298\u67c4\u306e\u682a\u4fa1\u3001\u7570\u306a\u308b\u5e74\u9650\u306e\u91d1\u5229\u306a\u3069\u306b<strong>\u5171\u548c\u5206<\/strong>\u95a2\u4fc2\u304c\u3042\u308c\u3070\u3001\u4e56\u96e2\u304c\u5e83\u304c\u3063\u305f\u3068\u304d\u306b\u7e2e\u5c0f\u3092\u898b\u8fbc\u3093\u3067\u58f2\u8cb7\u3059\u308b<strong>\u30da\u30a2\u30fb\u30c8\u30ec\u30fc\u30c7\u30a3\u30f3\u30b0<\/strong>\u3084\u3001\u88c1\u5b9a\u95a2\u4fc2\u306e\u691c\u8a3c\u306b\u5229\u7528\u3067\u304d\u307e\u3059\u3002\u5171\u548c\u5206\u304c\u306a\u3044\u306e\u306b\u6c34\u6e96\u56de\u5e30\u306e\u7d50\u679c\u3060\u3051\u3067\u5224\u65ad\u3059\u308b\u3068\u3001\u898b\u305b\u304b\u3051\u306e\u56de\u5e30\u306b\u3060\u307e\u3055\u308c\u308b\u304a\u305d\u308c\u304c\u3042\u308a\u307e\u3059\u3002<\/p>\n<h2>\u6574\u7406\u3057\u3066\u304a\u304d\u305f\u3044\u30dd\u30a4\u30f3\u30c8<\/h2>\n<div class=\"cma-tbl three\">\n<table>\n<thead>\n<tr>\n<th>\u5206\u6790\u306e\u76ee\u7684<\/th>\n<th>\u4f7f\u3046\u30e2\u30c7\u30eb\u30fb\u624b\u6cd5<\/th>\n<th>\u6ce8\u610f\u70b9<\/th>\n<\/tr>\n<\/thead>\n<tbody>\n<tr>\n<td data-label=\"\u5206\u6790\u306e\u76ee\u7684\">\u30ea\u30bf\u30fc\u30f3\u306e\u4e88\u6e2c\u30fb\u52b9\u7387\u6027\u306e\u691c\u8a3c<\/td>\n<td data-label=\"\u4f7f\u3046\u30e2\u30c7\u30eb\u30fb\u624b\u6cd5\">AR\u30e2\u30c7\u30eb\uff08\u30ea\u30bf\u30fc\u30f3\u306b\u9069\u7528\uff09<\/td>\n<td data-label=\"\u6ce8\u610f\u70b9\">\u7d71\u8a08\u7684\u6709\u610f\u6027\u3068\u53d6\u5f15\u30b3\u30b9\u30c8\u5f8c\u306e\u53ce\u76ca\u6027\u306f\u5225\u7269<\/td>\n<\/tr>\n<tr>\n<td data-label=\"\u5206\u6790\u306e\u76ee\u7684\">\u91d1\u5229\u30fb\u30a4\u30f3\u30d5\u30ec\u306e\u5e73\u5747\u56de\u5e30<\/td>\n<td data-label=\"\u4f7f\u3046\u30e2\u30c7\u30eb\u30fb\u624b\u6cd5\">AR(1)\u3001\u5358\u4f4d\u6839\u691c\u5b9a<\/td>\n<td data-label=\"\u6ce8\u610f\u70b9\">\u5358\u4f4d\u6839\u3068\u5f37\u3044\u6301\u7d9a\u6027\u306e\u533a\u5225\u306f\u96e3\u3057\u3044<\/td>\n<\/tr>\n<tr>\n<td data-label=\"\u5206\u6790\u306e\u76ee\u7684\">\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u4e88\u6e2c\u30fbVaR<\/td>\n<td data-label=\"\u4f7f\u3046\u30e2\u30c7\u30eb\u30fb\u624b\u6cd5\">GARCH\u7cfb\u30e2\u30c7\u30eb<\/td>\n<td data-label=\"\u6ce8\u610f\u70b9\">\u5206\u5e03\u306e\u88fe\u306e\u539a\u3055\u3001\u975e\u5bfe\u79f0\u6027\u306e\u8003\u616e<\/td>\n<\/tr>\n<tr>\n<td data-label=\"\u5206\u6790\u306e\u76ee\u7684\">\u9577\u671f\u5747\u8861\u30fb\u30da\u30a2\u53d6\u5f15<\/td>\n<td data-label=\"\u4f7f\u3046\u30e2\u30c7\u30eb\u30fb\u624b\u6cd5\">\u5171\u548c\u5206\u3001\u8aa4\u5dee\u4fee\u6b63\u30e2\u30c7\u30eb<\/td>\n<td data-label=\"\u6ce8\u610f\u70b9\">\u95a2\u4fc2\u304c\u69cb\u9020\u5909\u5316\u3067\u5d29\u308c\u308b\u3053\u3068\u304c\u3042\u308b<\/td>\n<\/tr>\n<tr>\n<td data-label=\"\u5206\u6790\u306e\u76ee\u7684\">\u7d4c\u6e08\u6307\u6a19\u306e\u57fa\u8abf\u5224\u65ad<\/td>\n<td data-label=\"\u4f7f\u3046\u30e2\u30c7\u30eb\u30fb\u624b\u6cd5\">\u5b63\u7bc0\u8abf\u6574\u3001\u30c8\u30ec\u30f3\u30c9\u63a8\u5b9a<\/td>\n<td data-label=\"\u6ce8\u610f\u70b9\">\u30c7\u30fc\u30bf\u6539\u5b9a\u3084\u69cb\u9020\u5909\u5316\u306e\u78ba\u8a8d<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n<h2>\u5177\u4f53\u4f8b\u3067\u78ba\u8a8d<\/h2>\n<p>1\u5104\u5186\u306e\u682a\u5f0f\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306b\u3064\u3044\u3066\u3001GARCH\u30e2\u30c7\u30eb\u3067\u7fcc\u65e5\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u30921.5\uff05\u3068\u4e88\u6e2c\u3057\u305f\u3068\u3057\u307e\u3059\u3002\u30ea\u30bf\u30fc\u30f3\u304c\u6b63\u898f\u5206\u5e03\u306b\u5f93\u3046\u3068\u4eee\u5b9a\u3057\u3001\u4fe1\u983c\u6c34\u6e9699\uff05\u306e1\u65e5VaR\u3092\u6c42\u3081\u307e\u3059\uff08\u7247\u507499\uff05\u70b9\u30922.33\u3068\u3057\u307e\u3059\uff09\u3002<\/p>\n<ol>\n<li>VaR \uff1d 2.33 \u00d7 1.5\uff05 \u00d7 1\u5104\u5186 \uff1d <strong>349.5\u4e07\u5186<\/strong><\/li>\n<li>\u5e02\u5834\u304c\u843d\u3061\u7740\u3044\u3066GARCH\u306e\u4e88\u6e2c\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u304c1.0\uff05\u306b\u4e0b\u304c\u308c\u3070\u3001VaR\u306f 2.33 \u00d7 1.0\uff05 \u00d7 1\u5104\u5186 \uff1d 233\u4e07\u5186 \u306b\u306a\u308a\u307e\u3059\u3002<\/li>\n<\/ol>\n<p>\u3053\u306e\u3088\u3046\u306b\u3001\u6642\u7cfb\u5217\u30e2\u30c7\u30eb\u3092\u4f7f\u3046\u3068\u30ea\u30b9\u30af\u91cf\u3092\u5e02\u5834\u74b0\u5883\u306b\u5408\u308f\u305b\u3066\u66f4\u65b0\u3067\u304d\u307e\u3059\u3002\u305f\u3060\u3057\u5b9f\u969b\u306e\u30ea\u30bf\u30fc\u30f3\u306f\u6b63\u898f\u5206\u5e03\u3088\u308a\u88fe\u304c\u539a\u3044\u3053\u3068\u304c\u591a\u304f\u3001\u6b63\u898f\u5206\u5e03\u3092\u4eee\u5b9a\u3057\u305fVaR\u306f\u6975\u7aef\u306a\u640d\u5931\u3092\u904e\u5c0f\u8a55\u4fa1\u3057\u3084\u3059\u3044\u70b9\u306b\u6ce8\u610f\u304c\u5fc5\u8981\u3067\u3059\u3002<\/p>\n<div class=\"cma-exam\">\n<p class=\"cma-exam-title\">\u8a66\u9a13\u3067\u554f\u308f\u308c\u3084\u3059\u3044\u30dd\u30a4\u30f3\u30c8<\/p>\n<ul>\n<li>\u682a\u4fa1\u306f<strong>\u6c34\u6e96\u3067\u306f\u306a\u304f\u30ea\u30bf\u30fc\u30f3<\/strong>\u3067\u5206\u6790\u3059\u308b\u7406\u7531\uff08\u5358\u4f4d\u6839\u30fb\u898b\u305b\u304b\u3051\u306e\u56de\u5e30\uff09\u3092\u8aac\u660e\u3067\u304d\u308b\u3088\u3046\u306b\u3057\u307e\u3057\u3087\u3046\u3002<\/li>\n<li>\u30ea\u30bf\u30fc\u30f3\u306eAR\u4fc2\u6570\u304c\u6709\u610f\u3067\u3042\u308b\u3053\u3068\u3068<strong>\u52b9\u7387\u7684\u5e02\u5834\u4eee\u8aac<\/strong>\u3068\u306e\u95a2\u4fc2\u3001\u305d\u3057\u3066\u53d6\u5f15\u30b3\u30b9\u30c8\u3092\u8003\u3048\u308b\u3068\u5fc5\u305a\u3057\u3082\u8d85\u904e\u53ce\u76ca\u306b\u306a\u3089\u306a\u3044\u70b9\u304c\u554f\u308f\u308c\u3084\u3059\u3044\u3067\u3059\u3002<\/li>\n<li>GARCH\u3067\u4e88\u6e2c\u3057\u305f\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u304b\u3089<strong>VaR\u3092\u8a08\u7b97<\/strong>\u3059\u308b\u554f\u984c\u3084\u3001\u6b63\u898f\u5206\u5e03\u306e\u4eee\u5b9a\u306e\u9650\u754c\u3092\u554f\u3046\u554f\u984c\u306b\u5099\u3048\u307e\u3057\u3087\u3046\u3002<\/li>\n<li>\u5171\u548c\u5206\u3092\u4f7f\u3063\u305f<strong>\u30da\u30a2\u30fb\u30c8\u30ec\u30fc\u30c7\u30a3\u30f3\u30b0<\/strong>\u306e\u8003\u3048\u65b9\u3068\u3001\u95a2\u4fc2\u304c\u5d29\u308c\u308b\u30ea\u30b9\u30af\u3092\u8aac\u660e\u3067\u304d\u308b\u3088\u3046\u306b\u3057\u3066\u304a\u304d\u307e\u3057\u3087\u3046\u3002<\/li>\n<li>\u8a18\u8ff0\u5f0f\u3067\u306f\u3001\u4e0e\u3048\u3089\u308c\u305f\u5206\u6790\u76ee\u7684\u306b\u5bfe\u3057\u3066\u9069\u5207\u306a\u30e2\u30c7\u30eb\u3092\u9078\u3073\u3001\u305d\u306e\u7406\u7531\u3068\u6ce8\u610f\u70b9\u3092\u8ff0\u3079\u3055\u305b\u308b\u5f62\u3082\u8003\u3048\u3089\u308c\u307e\u3059\u3002<\/li>\n<\/ul>\n<\/div>\n<h2>\u8981\u70b9\u307e\u3068\u3081<\/h2>\n<ul>\n<li>\u682a\u4fa1\u306f\u6c34\u6e96\u3067\u306f\u306a\u304f\u30ea\u30bf\u30fc\u30f3\u3067\u5206\u6790\u3057\u3001AR\u3067\u4e88\u6e2c\u53ef\u80fd\u6027\u3092\u691c\u8a3c\u3059\u308b<\/li>\n<li>\u91d1\u5229\u306a\u3069\u306e\u5e73\u5747\u56de\u5e30\u306fAR(1)\u3067\u8868\u3057\u3001\u6301\u7d9a\u6027\u3092\u8a55\u4fa1\u3059\u308b<\/li>\n<li>GARCH\u3067\u4e88\u6e2c\u3057\u305f\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306fVaR\u306a\u3069\u30ea\u30b9\u30af\u7ba1\u7406\u306b\u4f7f\u3048\u308b<\/li>\n<li>\u5171\u548c\u5206\u306f\u9577\u671f\u5747\u8861\u3084\u30da\u30a2\u30fb\u30c8\u30ec\u30fc\u30c7\u30a3\u30f3\u30b0\u306e\u5206\u6790\u306b\u4f7f\u3046\u304c\u3001\u69cb\u9020\u5909\u5316\u306b\u6ce8\u610f\u3059\u308b<\/li>\n<\/ul>\n<div class=\"cma-link-box\">\n<p class=\"cma-link-box-title\">\u25b6 \u3042\u308f\u305b\u3066\u8aad\u307f\u305f\u3044<\/p>\n<p><a href=\"https:\/\/triumphmind.com\/cma\/2026\/09\/19\/cma2-quantitative\/\">\u3010\u8a3c\u5238\u30a2\u30ca\u30ea\u30b9\u30c82\u6b21\u3011\u6570\u91cf\u5206\u6790\u3068\u78ba\u7387\u30fb\u7d71\u8a08\u3067\u5b66\u3076\u5185\u5bb9\u306e\u4e00\u89a7\u306b\u623b\u308b<\/a><\/p>\n<p><a href=\"https:\/\/triumphmind.com\/cma\/2026\/09\/20\/g2-quant-23\/\">\u81ea\u5df1\u56de\u5e30\uff08AR\uff09\u30e2\u30c7\u30eb\u306b\u3088\u308b\u4e88\u6e2c<\/a><\/p>\n<p><a href=\"https:\/\/triumphmind.com\/cma\/2026\/09\/20\/g2-quant-26\/\">ARCH\u30fbGARCH\u30e2\u30c7\u30eb<\/a><\/p>\n<p><a href=\"https:\/\/triumphmind.com\/cma\/2026\/09\/20\/g2-quant-27\/\">\u898b\u305b\u304b\u3051\u306e\u56de\u5e30\u3068\u5171\u548c\u5206<\/a><\/p>\n<\/div>\n<p>\u8a3c\u5238\u30a2\u30ca\u30ea\u30b9\u30c8\u30a2\u30ab\u30c7\u30df\u30fc\u306eYouTube\uff08<a href=\"https:\/\/www.youtube.com\/@cma-fa-academy\" target=\"_blank\" rel=\"noopener\">@cma-fa-academy<\/a>\uff09\u3067\u306f\u3001\u5b66\u7fd2\u30dd\u30a4\u30f3\u30c8\u306b\u6cbf\u3063\u3066\u8ad6\u70b9\u30921\u3064\u305a\u3064\u89e3\u8aac\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n<p><a href=\"https:\/\/utage-system.com\/page\/98Nqc5o0yBvT\" target=\"_blank\" rel=\"noopener\">\u25b6 \u8a3c\u5238\u30a2\u30ca\u30ea\u30b9\u30c8\u30b3\u30df\u30e5\u30cb\u30c6\u30a3\u30fc\u306b\u53c2\u52a0\u3059\u308b<\/a><\/p>\n<p style=\"font-size:0.85em;\">\u203b\u5b66\u7fd2\u30dd\u30a4\u30f3\u30c8\u306f\u65e5\u672c\u8a3c\u5238\u30a2\u30ca\u30ea\u30b9\u30c8\u5354\u4f1a\u300c\u30102026\u5e74\u5ea6\u3011CMA\u8cc7\u683c\u306e\u53d6\u5f97\u306b\u6c42\u3081\u3089\u308c\u308b\u4e3b\u8981\u5b66\u7fd2\u4e8b\u9805\u3068\u5b66\u7fd2\u30dd\u30a4\u30f3\u30c8\u300d\u3088\u308a\u5f15\u7528\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n","protected":false},"excerpt":{"rendered":"<p>AR\u30e2\u30c7\u30eb\u30fbGARCH\u30fb\u5171\u548c\u5206\u306a\u3069\u306e\u6642\u7cfb\u5217\u30e2\u30c7\u30eb\u3092\u3001\u30ea\u30bf\u30fc\u30f3\u306e\u4e88\u6e2c\u53ef\u80fd\u6027\u306e\u691c\u8a3c\u3001\u91d1\u5229\u306e\u5e73\u5747\u56de\u5e30\u3001VaR\u306b\u3088\u308b\u30ea\u30b9\u30af\u7ba1\u7406\u3001\u30da\u30a2\u30fb\u30c8\u30ec\u30fc\u30c7\u30a3\u30f3\u30b0\u306b\u5fdc\u7528\u3059\u308b\u8003\u3048\u65b9\u3092\u3001\u76ee\u7684\u5225\u306e\u6574\u7406\u8868\u3068VaR\u306e\u8a08\u7b97\u4f8b\u3067\u89e3\u8aac\u3057\u307e\u3059\u3002<\/p>\n","protected":false},"author":1,"featured_media":10986,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jin_ogp_image_url":"","_jin_last_featured_id":0,"footnotes":""},"categories":[22],"tags":[],"class_list":["post-10987","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-glossary"],"_links":{"self":[{"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/posts\/10987","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/comments?post=10987"}],"version-history":[{"count":1,"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/posts\/10987\/revisions"}],"predecessor-version":[{"id":11156,"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/posts\/10987\/revisions\/11156"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/media\/10986"}],"wp:attachment":[{"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/media?parent=10987"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/categories?post=10987"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/triumphmind.com\/cma\/wp-json\/wp\/v2\/tags?post=10987"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}