1
100 5 11 66 2
AR t = R Rˆ = R ( α + β R ) t t t mt AR t t R t t Rˆ t t R mt t ( α, β ) MVR MVR = 1 N t VR t N = 1 t VR t V V t = mt / V / V m Vt t V V t V mt t V m V mt VR t t VR t AR t = R R t mt AR t t R t t R mt t T AAR CAAR MVR t t t 3
(%) CAARn CAARout MVRn MVRout 4
CAR ( 1, t) = AR(0) CAR ( 1, t) t AR ( 0) CAR( 0, t) = a + bcar( t + 1, T ) + ε CAR ( 0, t) t CAR ( t + 1, T ) 5
y x a b -0.20 CAR(0,7) CAR(8,14) AD7-1.16 (-1.696) -0.206 CAR(0,3) CAR(4,6) AD3-0.922 (-1.192) -0.327 CAR(0,18) CAR(19,25) AD18-1.723 (-3.367) 6
7
CAARn CAARout MVRn MVRout 8
y x a b CAR(-30,-1) CAR(0,25) AD0 0.942 CAR(-30,-1) CAR(0,25) AD0-6.447-0.394-1.332-0.779-2.679 9
10
11
2 3 4 180 12
1 180 2 2 13