随机波动和跳跃下的短期利率动态  

Short rate dynamics with stochastic volatilities and jumps

作　　者：郑挺国[1] 刘金全[2] 

机构地区：[1]厦门大学王亚南经济研究院,厦门361005 [2]吉林大学数量经济研究中心,长春130012

出　　处：《系统工程理论与实践》2012年第11期2372-2380,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71001087;70971055);福建省自然科学基金(2010J01361);国家留学基金委资助(201208350111)

摘　　要：在短期利率模型中引入随机波动和跳跃两种因素,利用序贯参数更新思想和粒子滤波方法实现模型的估计,并对中国银行间短期利率进行实证分析.研究结果显示短期利率存在显著的随机波动和跳跃特征,表明CIR-SV-J模型在描述短期利率动态中拟合效果最优,而且忽视随机波动或跳跃因素会使拟合变差,影响对利率均值回复特征的描述,并证明了随机波动因素在模拟中比跳跃因素起着更为重要的作用.This paper introduces stochastic volatility and jump ~kctors into the short-rate models, and uses a method combining sequential parameter updating and particle filter to implement the estimation of both states and parameters. Then, we use this extended models to analyze the Chinese inter-bank short-term interest rate. The empirical results show that the short-rate has obvious features of stochastic volatility and jump, and the CIR-SV-J model is the best one for describing the short-rate dynamics. If any factor of stochastic volatility or jump is ignored, the model-fitting performance would be worse, and the mean-reversion feature could not be accurately identified. Finally, our results indicate that the stochastic volatility factor is relatively more important in modeling short-rate dynamics than the jump factor.

关 键 词：短期利率 随机波动 跳跃 粒子滤波 

分 类 号：F830.9[经济管理—金融学]