包含Jump-Arch过程的利率模型及其应用  

Diffusion model including the Jump-Arch process and its application

作　　者：陈晖[1] 谢赤[1] 

机构地区：[1]湖南大学工商管理学院,长沙410082

出　　处：《管理科学学报》2008年第2期80-90,共11页Journal of Management Sciences in China

基　　金：国家社会科学基金资助项目(03BJY099);教育部博士点专项科研基金资助项目(20020532005);全国高校青年教师奖励基金资助项目

摘　　要：从4个方面对比分析了 Jump-Arch 扩散模型、跳跃扩散模型、Arch 扩散模型和扩散模型,发现 Jump-Arch 扩散模型是研究中的最优模型,它在解释和预测利率的波动方面表现出很强的能力,跳跃不仅是利率均值回复的来源,也是利率波动的最主要来源,因此对利率动态行为的描述必须考虑跳跃过程.同时研究发现,R091国债回购市场波动存在明显的"周一"和"周五效应",并利用 Jump-Arch 扩散模型解释了出现这种异象的原因.In this paper, we compared the following four models： Jump-Arch diffusion model, jump diffusion model, arch diffusion model and diffusion model from four aspects. We found that the Jump-Arch model is the best of the four models. It can explain and forecast best the behavior of the volatility of the interest rates. Jump is not only the source of the mean-reversion of the interest rates, but also the main source of the volatility of the interest rates. So when we model the behavior of interest rates, the jump process is the prerequisite factor. At the same time, we found that the market of the R091 interest rate listed in Shanghai Exchange showed the Monday and Friday effects. By making use of the jump-arch diffusion model, we give some explanation to this anomaly.

关 键 词：Jump-Arch扩散模型 尖峰厚尾 周内效应 

分 类 号：F832[经济管理—金融学]