基于GARCH模型的上海同业拆借利率风险度量

Risk Measurement about Shanghai Interbank Offered Rate Based on GARCH Models

本文采用2006年10月8日至2012年9月29日的上海银行间同业拆借利率(SHIBOR)中的隔夜拆借利率数据作为研究对象,利用VaR模型对上海同业拆借利率进行度量,得出GARCH(1,2)-GED分布较好地刻画SHIBOR对数日收益率序列的分布,在考虑利率非对称性进行检验时,得出EGARCH(1,2)-GED分布最能刻画SHIBOR对数日收益率序列的分布,且非对称项的估计值为大于零且显著,表明存在"反杠杆效应",即正的冲击比负的冲击会引起同业拆借利率市场更大的波动性。最后对GARCH(1,2)-GED与EGARCH(1,2)-GED分别在95%与99%的置信水平下得出上海同业拆借利率的VaR值。这两个模型都通过了模型回测检验,可用于测算上海银行间同业拆借利率市场对数收益率的风险价值。

In this paper, we make the overnight lending rate data of SHIBOR from October 8, 2006 to September 29, 2012 as an object for our study, useing VaR model to measure the Shanghai Interbank Offered Rate.We find GARCH （1,2）-GED distribution could characterize SHIBOR logarithmic distribution of daily return series betterly, in considering asymmetric rates tested, the EGARCH （1,2）-GED distribution can best portray SHIBOR logarithmic the distribution of daily return series and the estimated value of the asymmetric term is greater than zero and significant, indicating the presence of ＂anti-leverage effect＂, that is the impact of a negative impact for the interbank interest rate markets will cause greater volatility. Finally, we use the GARCH （1,2）-GED and EGARCH （1,2）-GED, respectively 95% and 99% confidence level to get VaR values about Shanghai interbank interest rate. Both models have passed the test back to test, and the models can be used to measure VaR values about the Shanghai interbank offered rate market.