Value at Risk for Repo Interest Rate Based on TGARCH

摘要：

There is a great significance to research the interest rate risk on the background of Chinas gradual marketization of interest rates.The paper takes the 7 days repo interest rates as the target.First,introduce the calculating method for value at risk.Second,give the sample characters and the dynamic model of the 7 days repo interest rate.Third,using the GARCH and TGARCH model,at 99％ confidence level and 95％ confidence level,calculate the value at risk and the exception rate for the 7 days repo interest rates.The empirical results show that the value at risk of 7days repo interest rate has positive correlation with the level of interest rates,and whatever at 95％ confidence level or at 99％ confidence level,both GARCH model and TGARCH model can cover the real forecasting losses,and the exception rate is lower than the significance level.

关键词： repo interest rate GARCH TGARCH Value at Risk

作者: Qizhi He

作者单位: School of Statistics and Applied Mathematics Anhui University of Finance and Economics Bengbu 233030,P.R.china

会议类型: 国际会议

会议名称: 2008 IEEE International Conference on Service Operations and Logistics, and Informatics(IEEE/SOLI’2008)(IEEE服务运作、物流与信息年会)

会议地点: 北京

会议语种:英文

在线出版日期: 2008-10-12（万方平台首次上网日期，不代表论文的发表时间）