中国国债回购利率波动率预测

The Forecast on the Volatility of Treasury Bonds Repurchasing Interest Rate in China

利率风险是金融中最受人们关注的热点之一,通常是用方差或标准差来衡量利率风险。为了更好地探讨利率风险,必须对利率的动态行为进行研究,一般是通过利率模型来反映其动态特征。文章把常见单因子利率模型同GARCH模型相结合,通过对波动性的预测达到对未来风险的一种直观认识。

The risk of Interest rate is one of the important topics in financial market. Generally speaking, the interest rate risk is measured by its variance and standard variance. For discussing interest rate risk much better, we must study its dynamic behavior which is reflected by the interest rate risk models. This paper forecasts the volatility of interest rate by integrating the single factor interest rate models and GARCH models.