1000通貨単位の南アフリカランド投資でFX資産運用 | HV | 260 | |||||||||||||
外為どっとコム ランド円分析(1ヶ月毎の推移) | VaR | 99.0% | |||||||||||||
3年 | 2005/1/1 | 2005/2/1 | 2005/3/1 | 2005/4/1 | 2005/5/1 | 2005/6/1 | 2005/7/1 | 2005/8/1 | 2005/9/1 | 2005/10/1 | 2005/11/1 | 2005/12/1 | 2006/1/1 | ||
2007/12/31 | 2008/1/31 | 2008/2/29 | 2008/3/31 | 2008/4/30 | 2008/5/31 | 2008/6/30 | 2008/7/31 | 2008/8/31 | 2008/9/30 | 2008/10/31 | 2008/11/30 | 2008/12/31 | 備考 | ||
期間終値 | 16.28 | 14.21 | 13.24 | 12.28 | 13.69 | 13.81 | 13.49 | 14.69 | 14.10 | 12.79 | 10.07 | 9.41 | 9.55 | 期間最終日の外為どっとコム終値 | |
平均値 | 17.06 | 17.01 | 16.92 | 16.79 | 16.67 | 16.58 | 16.51 | 16.43 | 16.35 | 16.23 | 16.03 | 15.81 | 15.54 | 外為どっとコム終値ベース | |
最高値 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 外為どっとコム高値ベース | |
最安値 | 14.69 | 13.93 | 13.15 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 7.66 | 7.66 | 7.66 | 外為どっとコム安値ベース | |
変動率 | 25.58% | 29.43% | 33.38% | 41.39% | 41.39% | 41.39% | 41.39% | 41.39% | 41.39% | 41.39% | 61.20% | 61.20% | 61.20% | =(最高値−最安値)/最高値 | |
HV | 17.20% | 17.54% | 17.95% | 18.87% | 19.11% | 19.10% | 19.09% | 19.12% | 19.23% | 20.25% | 25.73% | 26.95% | 27.28% | =STDEVP(期間)*SQRT(営業日数) | |
VaR | -40.02% | -40.81% | -41.77% | -43.90% | -44.45% | -44.44% | -44.40% | -44.47% | -44.74% | -47.11% | -59.85% | -62.69% | -63.47% | =NORMINV(1-信頼区間,HV) | |
予想下落値幅 | -6.52 | -5.80 | -5.53 | -5.39 | -6.08 | -6.14 | -5.99 | -6.53 | -6.31 | -6.03 | -6.03 | -5.90 | -6.06 | =期間終値*VaR | |
予想最低レート | 9.76 | 8.41 | 7.71 | 6.89 | 7.61 | 7.67 | 7.50 | 8.16 | 7.79 | 6.76 | 4.04 | 3.51 | 3.49 | =期間終値+予想下落値幅 | |
予想上昇値幅 | 6.52 | 5.80 | 5.53 | 5.39 | 6.08 | 6.14 | 5.99 | 6.53 | 6.31 | 6.03 | 6.03 | 5.90 | 6.06 | =期間終値*ABS(VaR) | |
予想最高レート | 22.80 | 20.01 | 18.77 | 17.67 | 19.77 | 19.95 | 19.48 | 21.22 | 20.41 | 18.82 | 16.10 | 15.31 | 15.61 | =期間終値+予想上昇値幅 | |
1年 | 2007/1/1 | 2007/2/1 | 2007/3/1 | 2007/4/1 | 2007/5/1 | 2007/6/1 | 2007/7/1 | 2007/8/1 | 2007/9/1 | 2007/10/1 | 2007/11/1 | 2007/12/1 | 2008/1/1 | ||
2007/12/31 | 2008/1/31 | 2008/2/29 | 2008/3/31 | 2008/4/30 | 2008/5/31 | 2008/6/30 | 2008/7/31 | 2008/8/31 | 2008/9/30 | 2008/10/31 | 2008/11/30 | 2008/12/31 | |||
平均値 | 16.67 | 16.56 | 16.33 | 16.06 | 15.77 | 15.47 | 15.17 | 14.88 | 14.72 | 14.48 | 13.87 | 13.32 | 12.70 | 外為どっとコム終値ベース | |
最高値 | 17.80 | 17.80 | 17.80 | 17.80 | 17.80 | 17.80 | 17.80 | 17.73 | 17.73 | 17.73 | 17.73 | 16.81 | 16.39 | 外為どっとコム高値ベース | |
最安値 | 14.69 | 13.93 | 13.15 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 7.66 | 7.66 | 7.66 | 外為どっとコム安値ベース | |
変動率 | 17.47% | 21.74% | 26.12% | 35.00% | 35.00% | 35.00% | 35.00% | 34.74% | 34.74% | 34.74% | 56.80% | 54.43% | 53.26% | =(最高値−最安値)/最高値 | |
年利 | 9.33% | 9.39% | 9.49% | 9.61% | 9.80% | 9.88% | 9.99% | =((合計スワップ*365)/データ数)/(平均値*10000) | |||||||
平均スワップ | \38.79 | \38.28 | \38.28 | \38.13 | \37.25 | \36.03 | \34.77 | =スワップの期間平均値 | |||||||
合計スワップ | \14,198 | \14,011 | \14,009 | \13,956 | \13,632 | \13,186 | \12,727 | =スワップの期間合計値 | |||||||
HV | 20.98% | 21.91% | 22.44% | 23.74% | 24.33% | 24.59% | 24.66% | 24.62% | 23.73% | 25.82% | 37.41% | 38.67% | 39.14% | =STDEVP(期間)*SQRT(営業日数) | |
VaR | -48.80% | -50.97% | -52.20% | -55.24% | -56.61% | -57.19% | -57.37% | -57.29% | -55.20% | -60.08% | -87.03% | -89.97% | -91.04% | =NORMINV(1-信頼区間,HV) | |
予想下落値幅 | -7.94 | -7.24 | -6.91 | -6.78 | -7.75 | -7.90 | -7.74 | -8.42 | -7.78 | -7.68 | -8.76 | -8.47 | -8.69 | =期間終値*VaR | |
予想最低レート | 8.34 | 6.97 | 6.33 | 5.50 | 5.94 | 5.91 | 5.75 | 6.27 | 6.32 | 5.11 | 1.31 | 0.94 | 0.86 | =期間終値+予想下落値幅 | |
予想上昇値幅 | 7.94 | 7.24 | 6.91 | 6.78 | 7.75 | 7.90 | 7.74 | 8.42 | 7.78 | 7.68 | 8.76 | 8.47 | 8.69 | =期間終値*ABS(VaR) | |
予想最高レート | 24.22 | 21.45 | 20.15 | 19.06 | 21.44 | 21.71 | 21.23 | 23.11 | 21.88 | 20.47 | 18.83 | 17.88 | 18.24 | =期間終値+予想上昇値幅 |