我国国债收益率波动的Padé逼近模型研究

Study on return rate volatility of treasury bonds in China with padé approximants

利用Padé逼近模型,研究我国国债收益率的变动规律.在分析国债日收益率分布特性的基础上,运用Hill估计器通过检验分布的尾部特征,发现收益率服从负幂律分布.根据计算的Pareto指数,选定的Padé逼近模型为P^([0,4])模型.运用该模型对我国不同到期期限国债收益率的检验发现,该模型可以较好地拟合各种期限国债的收益率波动.

This paper studies the volatility rules of the treasury bonds return rate by using the Padé approximants model. It is shown that the return rate obeys the negative power laws distribution. This discovery is made by using the Hill estimator which is to test the distribution tails. All of these are based on the analyses of the distribution character of the treasury bonds daily return rate, According to the calculated Pareto index, this paper chooses the p^[0,4] model to examine China＇ s treasury bonds return rate which belongs to different maturity date. This examination suggests the p^[0,4] model can approximate the return rate volatility of different term treasury bonds well.