摘要
建立描述中国金融市场国债回购利率行为的随机波动利率期限结构模型.通过将观测数据映射成EGARCH(1,1)辅助模型描述利率行为的异方差特征,以协方差矩阵为矩条件,用有效矩估计方法得出模型参数,避免了最大似然估计法似然函数不可知或难以求积分的缺陷.参数估计结果均显著,表明该方法能够反映利率行为的均值回复和异方差特征,得出中国金融市场国债回购利率能够较好地用随机波动利率模型进行描述的结论.
It builds up a stochastic volatility interest rate term structure model to describe the behavior of financial market repo rate of national debt in China. It describes the heteroskedasticity character of interest rate by projecting the sample data onto the EGARCH （1, 1） auxiliary model, makes making the covariance matrix as moment conditions and uses EMM to estimate the parameters. EMM avoids the disadvantage of infeasible or computationally intensive of maximum likelihood functions. The estimated parameters are all significant and reflect the mean reversion and heteroskedasticity characters. It concludes that the financial market repo rate of national debt in China can be described well by the stochastic volatility model.
出处
《北京理工大学学报》
EI
CAS
CSCD
北大核心
2006年第5期468-470,共3页
Transactions of Beijing Institute of Technology
基金
国家部委预研项目(A2220060059)
关键词
利率期限结构
随机波动率
有效矩
异方差
term structure of interest rate
stochastic volatility
efficient method of moments
heteroskedasticity
