两类短期利率模型的实证研究——基于GARCH类模型与单因子扩散模型的比较  

Empirical Research on Two Kinds of Short-term Interest Rate Patterns

作　　者：吴恒煜[1] 陈鹏[1] 杨启敏[1] 

机构地区：[1]江西财经大学金融学院,江西南昌330013

出　　处：《河南金融管理干部学院学报》2008年第5期7-12,共6页Journal of Henan College of Financial Management Cadres

基　　金：教育部人文社会科学一般项目(06JA790025);江西省教育厅科技计划项目(赣教技字[2007]261号);江西省教育厅教改重点项目(JXJG-07-4-7);江西财经大学"金融深化过程中信用风险的测度与控制"创新团队基金资助项目(江财科研字[2005]4号)

摘　　要：GARCH类模型和扩散类模型是常用于研究利率的两类模型。运用这两类模型对我国银行间国债隔夜回购利率进行实证研究,结果表明短期利率波动存在明显的非对称性。在预测均值时两类模型表现较差,而在预测波动率水平时,GARCH类模型具有较好的预测效果,其中数GARCH-M和TGARCH表现最好,虽然扩散类模型在预测方面表现不好,但由于具有马尔科夫性,所以在衍生产品定价上具有明显优势。GARCH - typed patterns and decentralizing - typed patterns are two commonly used patterns for research on interest rate. A study is made on interbank T- bond overnight repo interest rate in China by using these two patterns. The result suggests that there is apparent asymmetry for short -term interest rate fluctuation. When antici- pating the averages, performance of these two patterns is rather worse, and when anticipating the levels of fluctua- tion, GARCH- typed patterns show a better anticipating effect, with GARCH -M and TGARCH illustrating the best effect. Though decentralizing - typed patterns illustrate worse anticipating effect, they are with the nature of Markov, hence having an apparent advantage in derivative pricing.

关 键 词：GARCH 扩散模型 CKLS模型 回购利率 

分 类 号：F830.9[经济管理—金融学]