关于制度转换Vasicek利率期限结构模型

The Empirical Research on Regime-switching Vasicek Model

在Vasicek模型的基础上加入制度转换因素,研究制度转换是否能对模型的修正起帮助作用。结果显示,制度转换能够捕捉到利率变动中的大部分异方差现象。在中国金融市场上单制度模型的建模能力是远远不够的,但仍有一部分异方差现象不能由制度转换所解释。因此,在加入制度转换的同时,还须对短期利率的波动项进行更丰富的参数设置。

A regime-switching Vasicek model is developed. The result shows that regime-switching is an important component for improving the model and can capture much of the conditional heteroskedasticity. And the single-regime model does a poor job of modeling the volatility of short-term interest rates. But regime-switching alone is insufficient to account for the conditional heteroskedasticity in the short rate. So a regime-switching model with richer parameterization of the conditional variance within each regime is needed. These and other related issues are currently being explored in ongoing research.