我国国债收益率的预测与评价  

Our Country National Debt Returns Ratio Forecast and Appraisal

作　　者：李龙泰[1] 何树红[2] 

机构地区：[1]四川建筑职业技术学院经管系,四川德阳618000 [2]云南大学数统学院,云南昆明650091

出　　处：《枣庄学院学报》2011年第4期98-100,共3页Journal of Zaozhuang University

基　　金：云南省教育厅重点科研项目(项目编号:07Z11063)

摘　　要：由于我国的债券市场被人为地分成交易所市场和银行间市场,不同的国债投资主体被限制在不同的国债流通市场进行交易,因此国外的债券收益率的理论和模型并不能完全的适用于中国现状。目前,我国相关的主要研究大都针对某个特定的市场或某种特定的方法,缺乏一种完整的收益率模拟方法和评价体系,其一般仅对其中一个市场进行收益率的波动性分析,本文对交易所国债收益率建立ARIMA-TARCH模型并进行预测,预测评价指标和误差分析指标表明其具有很高的精度和预测能力。because our country＇s bond market by people into exchange market and interbank market, different national debt investment entities in different national debt is limited circulation market transactions, so foreign bond yields theory and model and could not fully is applicable for the status quo. At present, our country related research mostly aimed at a particular market or a specific method, a lack of complete yields simulation method and evaluation system, its general only to one of the market, the paper analyzes the volatility return to exchange Treasury yields establish ARIMA model and forecasting - TARCH, predicting evaluation index and error analysis index shows that it has high accuracy and forecasting ability.

关 键 词：交易所国债收益率 ARIMA—TARCH模型 协变率 

分 类 号：F832.5[经济管理—金融学]