EGARCH模型在同业拆借利率预测中的应用

Application of EGARCH Model in CHIBOR Forecast

中国银行间同业拆借利率(CHIBOR)是我国货币市场上最早市场化的利率.选择隔夜拆借利率为研究对象并选择GARCH族模型对其进行建模,发现EGARCH(1,3)模型拟合效果最好,并进行了短期预测且取得了理想的短期预测效果,从而确定了适合我国同业拆借市场的利率预测模型.该研究结果不仅可以帮助金融机构对金融产品合理定价,防范风险,也可以帮助央行准确估计CHIBOR走势,达到既定货币政策目标.

CHIBOR （China inter -bank offered rates） is the earliest market rate in China＇s currency market. This paper uses overnight CHIBOR for research subject and establishes GARCH models to forecast short term overnight CHIBOR. We find that the result of EGARCH（ 1,3 ） model is the best. So we decide the rate forecast model fits CHIBOR. This study can not only help financial organizations fix prices for financial products properly to avoid risks,but can also help the central bank estimate the tendency of CHIBOR exactly so as to attain the aim of monetary policy.