Volatility Research Based on SHIBOR

摘要：

the research makes quantitative analysis of the volatility of SHIBOR based on the mainly four interest rates through the family of GARCH models by Eviews 6.0. Empirical results show that the family of GARCH models eliminates correlation of the original overnight interest rate and 1-week interest rate series successfully and there is an obvious reversions in the asymmetric behavior of the volatility. All the results reflect that our interest rate setting mechanism is still not fully determined by the market, but influenced by government soundly. So it is necessary for all price offers to promote their internal management level, improve the pricing mechanism, especially the accuracy of SHIBOR which the term is more than 3 months so as to consolidate SHIBOR benchmark status.

关键词： SHIBOR volatility TARCH PARCH GARCH

作者: Xiaofeng Zhang Lan Yao Qi Yang

作者单位: School of Economics & Management, Changsha University of Science & Technology, Changsha, P.R. China, School of Economics & Management,Changsha University of Science & Technology,Changsha, P.R. China, 4

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 77-81

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）