基于ARFIMA-FIGARCH模型的利率市场风险度量  

A Study on Risk Measurement of Inter-bank lending Interest Rate Based on ARFIMA-FIGARCH Model

作　　者：王宣承[1,2] 陈艳[2] 

机构地区：[1]深圳市福田区发展研究中心,广东深圳518048 [2]上海财经大学统计与管理学院,上海200433

出　　处：《统计与信息论坛》2014年第6期40-47,共8页Journal of Statistics and Information

基　　金：国家自然科学基金青年科学基金项目<基于软计算与统计方法的股票交易智能系统研究>(71101083);国家自然科学基金项目<复杂因素下金融风险度量与风险传染建模与风险管理>(71331006);国家自然科学基金重点项目<复杂环境下资产定价与风险管理的金融计量理论及其应用>(71331006);上海市教育委员会科研创新项目<人工智能技术及其在金融风险控制中的应用研究>(12ZZ072)

摘　　要：随着中国利率市场化改革的加速,利率市场的风险管理问题引发了广泛的关注,作为筹集短期流动性资金的主要工具,同业拆借利率(Shibor)逐渐成为各金融机构决策参考的基准利率。在传统的ARMA-GARCH模型的基础上,引入Hurst指数捕捉Shibor的分形特征,使用扩展后的ARFIMA-FIGARCH模型对Shibor的隔夜和7日利率收益率的VaR进行度量和回测检验。结果显示:隔夜和7日利率收益率都具有反持续性,即收益率过去是上升趋势,则未来倾向于下降;考虑分形特征的ARFIMA-FIGARCH模型,比原模型对Shibor的度量更准确;在同业拆借市场中,Ged分布是解释多头VaR的理想选择,而正态分布是解释空头VaR的理想选择。With the acceleration of China＇s market-oriented interest rate reform and the implementation of Basel III ,the risk management in interest market causes widespread concern .As the main tool to raise short-term liquidity ,Shanghai Interbank Offered Rate （Shibor ） has become the benchmark rate w hen financial institutions make decisions ,and is playing an increasingly important role .In this paper ,based on the traditional ARMA-GARCH model ,Hurst index is introduced to capture the fractal characteristics of Shibor ,the expanded ARFIMA-FIGARCH model is used to measure the risk of overnight and 1 week interest rates in Shanghai interbank market , and back-testing is performed for VaR constructed by different models .The results show that Shibor yields have fractal characteristics and anti-persistent ,which means today＇s earnings brings on tomorrow＇s losing ;Compared with the original one ,ARFIMA-FIGARCH model is more accurate measure of Shibor after consideration of fractal characteristics ;in the interbank market ,Ged distribution is an ideal choice for explaining long VaR ,and Normal distribution is an ideal choice for short VaR .

关 键 词：同业拆借利率 风险度量 分形理论 ARFIMA-FIGARCH模型 

分 类 号：F830.9[经济管理—金融学]