上海证券交易所R091国债回购利率行为的描述与分析

Description and Analysis on Behavior of the Interest Rates of the R091 in the Shanghai Security Exchange

通过对上海证券交易所R091国债回购利率建模分析,发现研究期间内利率水平表现出明显的均值回复现象,但其回复速度较慢。在分析比较的3个模型中,考虑了GARCH效应和水平效应的利率波动模型是最优的,无论是样本内还是样本外对利率水平和利率波动的预测能力都很强。

In this paper we model the interest rates of the R091 in Shanghai Security Exchange and find that there shows great mean reversion in the studying period and the velocity of the mean reversion is slow. Of the three models we considered, the model with the GARCH effect and level effect is the best. The ability of forecasting is strong not only in the sample test but also outside of the sample test.