基于Shibor的嵌套类利率期限结构模型的比较研究

Comparative Study of the Nested Interest Rate Term Structure Models Based on the Shanghai Interbank Offered Rate(Shibor)

利用嵌套利率期限结构模型及广义矩估计方法,结合上海银行同业间拆借利率(Shibor)的经验数据,考察了嵌套类利率期限结构模型在中国利率及其衍生品市场显示的统计特性.通过对各模型参数估计值和统计推断值的比较分析,结果表明,只有那些蕴含了利率变动的条件波动率与利率水平高度相关机制的模型才能很好地拟合实际的Shibor市场数据.

Based on the nested interest rate term structure models and general moment estimation,we have studied the statistic dynamics of the Chinese interest rate and its derivative markets with the empirical data of the Shanghai interbank offered rate（Shibor）.The values of estimation and statistic inference were comparatively studied,and the results have indicated that the models most suitable to the data of the Shibor market are those that allow the conditional volatility of interest rate change to be highly dependent on the level of the interest rate.