国债回购利率模型的实证研究

An empirical study on the volatility of treasury bond repurchasing rate model

波动率是利率期限结构模型的重要因素，基于CKLS模型并运用SV模型对对国债券市场中具有基准性质的市场利率国债回购利率波动性建模，运用Bayes方法对模型参数进行估计，效果良好。

The volatilityi is the important factor of the model on term structure of interest rate, the paper constructs the volatility model of Treasury Bonds Repurchasing Interest Rate basing on the CKLS interest model and the SV volatility model and estimates the paramaters of the model using Bayesian estimation.