仿射期限结构模型的非包含随机波动局限

Unspanned Stochastic Volatility Restriction of Affine Term Structure Models

一般的,含随机波动率成分的仿射期限结构模型认为,即时收益率瞬时方差是收益率水平的线性组合.本文利用我国银行间固定利率国债数据,构建了不依赖于特定仿射模型的检验方法,并对该推论进行了检验.实证结果表明,无论是事前估计还是事后估计的收益率方差,都不能表示成为横截面收益率的仿射函数.即尽管先前许多研究说明仿射模型能非常好地描述我国国债收益率曲线水平动态特征,仿射模型对收益率波动率过程的刻画能力却非常之差.因此,现有的仿射利率期限结构模型存在着非包含随机波动局限.

Generally, affine term structure models with stochastic volatility predict that the instantaneous variance of spot rate is a linear combination of yields. Using data of China＇s inter-bank fixed-rate bonds, this paper investigatesd such implication. The empirical results reveal that, neither the realized nor expected yield volatility is the affine function of cross-section yields. We conclude that although many previous studies have proved affine models capture yields＇ dynamic process very well, they have serious difficulties in accommodating yield volatility dynamics. Consequently, the existing affine term structure models exhibit ＇Unspanned Stochastic Volatility＇ restriction.