手法を比較

	ARIMA（自己回帰和分移動平均）モデル	条件付きバリュー・アット・リスク（期待ショートフォール）	実現ボラティリティとHARモデル
分野	計量経済学	ファイナンス	ファイナンス
系統	Regression model	Regression model	Regression model
提唱年	2015	2000	2009
提唱者	Box & Jenkins (Box-Jenkins methodology)	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)
種類	Univariate time-series model	Coherent tail-risk measure	Time-series regression of realized variance
原典	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.
別名	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	CVaR, expected shortfall, average value-at-risk, tail VaR	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV
関連	5	5	5
概要	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	Conditional Value-at-Risk (CVaR), also called Expected Shortfall, is a coherent tail-risk measure that quantifies the conditional expectation of losses beyond the Value-at-Risk threshold. It was introduced for optimization by Rockafellar and Uryasev (2000) and shown to be coherent by Acerbi and Tasche (2002), and it has replaced VaR as the regulatory standard under Basel III/IV.	Realized volatility estimates an asset's variance directly from high-frequency intraday returns rather than from a parametric latent process. The Heterogeneous Autoregressive (HAR) model of Corsi (2009), building on the realized-volatility framework of Andersen, Bollerslev, Diebold and Labys (2003), forecasts this measure by combining daily, weekly, and monthly volatility components, and is a strong alternative to GARCH for volatility prediction.