银行间同业拆借利率的波动性研究  

Research on the Volatility of Interbank Lending Rate

作　　者：冷琦琪 王学军[1] 

机构地区：[1]武汉大学经济与管理学院

出　　处：《统计与决策》2018年第2期147-151,共5页Statistics & Decision

基　　金：国家自然科学基金资助项目(70773084)

摘　　要：为了研究银行间同业拆借利率的运行规律及波动特征,文章选取2006年10月13日至2017年6月9日的7天Shibor的周数据,构建对数收益率r_t序列进行研究。为了消除ARFIMA模型残差的ARCH效应及反映模型波动的非对称性,运用不同分布下的EGARCH模型进行拟合;计算不同分布下的VaR,并运用Kupiec和Christoffersen统计值来对VaR模型进行回验。结果显示,EGARCH-sged模型能比较准确地拟合r_t序列的波动性和计量风险。In order to study the operation and volatility characteristics of interbank lending rate, this paper selects the weekly data of 7-day Shibor from October 13th 2006 to June 9th 2017 and take its yields r, as sample data for study. In order to eliminate the ARCH effect and reflect the asymmetry of the model, the paper uses EGARCH model under different distributions to fit it, and then calculates the VaR of different distribution. Finally the paper employs Kupiec and Christoffersen statistics for a back-testing on the VaR model. The result shows that the EGARCH-sged model is able to fit the volatility of rt sequences and quantitative risk relatively more accurately.

关 键 词：SHIBOR ARFIMA EGARCH VaR 长记忆性 波动聚集性 非对称性 

分 类 号：F832[经济管理—金融学]