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Non-rational agents explain GARCH model: agent simulation for behavioral finance

机译：非合理代理商解释GARCH模型：行为金融的代理模拟

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摘要

GARCH (Generalized Autoregressive Conditional Hetero-scedasticity) is a macro level model to estimate the volatility of financial markets. Although the model is very fundamental in the financial and economic domain, however, there have been no clear explanation about the model from the micro-level financial behaviors. This paper develops agent-based simulation models, which consists of simple agents with rational and/or non-rational decision making functionalities for investment. Using the simulation model with both rational and non-rational agents, the paper has shown that the behaviors of the non-rational agents with the characteristics of prospect theory coincide with the estimation by GARCH model.
机译：GARCH（广义自回归条件异质 - SCEDACTITY）是估计金融市场波动性的宏观水平模型。虽然该模型在金融和经济领域是非常基础的，但是，对来自微级金融行为的模型并没有明确解释。本文开发了基于代理的仿真模型，包括具有合理和/或非合理决策的简单代理商进行投资功能。本文利用仿真模型具有理性和非合理代理，本文表明，非合理试剂的行为与前景理论的特征与GARCH模型的估计一致。

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