Research on the GARCH generation mechanism with experiment, artificial market and simulation.

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As we know, GARCH effect is typical phenomenon in financial markets. But we do not confirm the factors that induce GACRH effect. Thus, we started to search the factors for generating GARCH effect with focusing on dealers' behavioral feature and information structure in the market.On the basis of empirical results, we construct artificial market with the agents who have the information on the asset price that they trade and high information analyze ability. When we control the number of highly informed and high analytical ability agents in the market, we find that GARCH effect is becoming strong as the number of thees agents increases. From this result, we confirm that market structure that means the proportion of highly informed and high analytical agents is a source of GARCH effect.