Emipirical Research on Term Structure of Buy-Back Rates Based on EGARCH Model
There is a great significance to research the term structure of interest rate based on the background of Chinas gradual marketization of interest rates. In the paper, the dynamic changing situations of buy-back rates are researched and time series theories, such as GARCH and EGARCH model, are respectively applied to estimate the term structure of buy-back rates. The empirical results show that (1) as to the fitting results, the EGARCH model is better than the GARCH model for fitting the term structure of 1 day, 7 days, 14 days, 21 days, 2 months, and 3 months buy-back rates; (2) the 1 day, 14 days, 1 month, 2 months, 3 months buy-back rates have very strong mean-reversion characteristic, but 7 days, 21 days buy-back rates have not; (3) diffusions of term structure of the 1 day, 7 days, 14 days, 21 days, three months buy-back rates have reverse lever effect, but 1 month and 2 months buy-back rates have symmetrical fluctuation.
Terw structure Buy-back rates EGARCH heteroscedasticity
Li Ning He Dong-ping
Department of Mathematics, Huainan Normal College, Huainan 232001, P.R.China School of Finance and Public Administration, Anhui University of Finance and Economics, Bengbu 23303
国际会议
Second International Symposium on Electronic Commerce and Security(第二届电子商务与安全国际研究大会)(ISECS 2009)
南昌
英文
112-115
2009-05-22（万方平台首次上网日期，不代表论文的发表时间）