基于Vasicek和CIR模型的SHIBOR期限结构实证分析  

An Empirical Analysis on Term Structure of SHIBOR Using Vasicek and CIR Models

作　　者：张玉桂[1] 苏云鹏[1] 杨宝臣[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《统计与信息论坛》2009年第6期44-48,共5页Journal of Statistics and Information

基　　金：国家自然科学基金项目(70771075);教育部博士点基金项目<利率风险动态定价方法及应用研究>(200800560032)

摘　　要：基于无损卡尔曼滤波(UKF)估计方法,分别使用Vasicek模型和CIR模型对上海银行间同业拆放利率(SHIBOR)的动态特性进行刻画,并对其期限结构进行实证研究。在此基础上,对比分析两模型对SHIBOR数据的拟合性,结果表明:Vasicek模型和CIR模型对SHIBOR市场利率的动态特性均具有很好的刻画和描述能力,而Vasicek模型的数据拟合效果更好一些。Using the UKF- based estimation method, this paper makes an empirical analysis on the term structure of SHIBOR under Vasicek and CIR models respectively, aimed at describing the dynamics of SHIBOR. Based on the result the fimess of Vasicek model and CIR model is compared, which indicates that both the models perform well in capturing the dynamics of the interest rates, while Vasicek model does even better. The research will. help understand the behavior of SHIBOR.

关 键 词：利率期限结构模型 极大似然估计 无损卡尔曼滤波 上海银行间同业拆借利率 

分 类 号：O212[理学—概率论与数理统计]