摘要
利用中国银行间同业拆借市场1996年12月29日至2008年5月30日全部拆借品种每周加权平均利率,对正态分布t、分布和GED分布下的GARCH模型族进行对比分析,构建出衡量利率波动的ARMA-GARCH模型。结果显示中国银行间同业拆借利率(CHIBOR)序列杠杆效应不明确;拆借利率分布对模型拟和结果影响较大。t分布不适合描述中国银行间利率序列的分布状况。GED分布能更好刻画同业拆借利率序列的分布状况,并且在GED分布下,EGARCH模型较GARCH和TARCH模型更适合描述中国银行间同业拆借利率序列。
The paper tests the model with weekly weighted average of Chinese Inter - Bank Offered Rate （CHIBOR）from 29, December of 1996 to 30, May of 2008 based on Analysis the Characteristics of CHIBOR, and establishes offered Rate Fluctuation of ARMA- GARCH models. According to the results of the study, the leverage effect of CHIBOR is uncertain. The offered rate distribution influence the model value largely and is closer to GED than Normal and t- distribution. The EGARCH model is better than GARCH and TARCH model under GED distribution.
出处
《统计与信息论坛》
CSSCI
2008年第12期59-63,共5页
Journal of Statistics and Information
