摘要
对2012年1月4日至2013年12月31日的SHIBOR隔夜品种进行实证研究,结果表明:1SHIBOR隔夜利率序列不服从正态分布,且具有尖峰厚尾及右偏的特征;2经过反复试算,发现在假设扰动项服从GED分布的情况下,AR(2)-EGARCH(1,1)-M模型能更好的拟合原序列,而且模型估计结果证明SHIBOR的波动存在反杠杆效应,说明"好消息"能比"坏消息"产生更多的波动。
This article studies on SHIBOR overnight rate' s sample from January 4, 2012 to December 31, 2013.The paper concludes: (1)SHIBOR overnight rate doesn't obey the normal distribution and it has the characteristics of rlepokurtic and skewed distribution. (2)After repeated trial,we find that, in the case of a disturbance is assumed to be GED distribution, AR (2) - the EGARCH ( 1,1 ) - M model can better fit the original sequence, and the model' s estimate result prove that SHIBOR of fluctuations exists the leverage effect, which tell us that compared with the "bad news", "good news" can lead to greater volatility.
出处
《科技与管理》
2014年第5期60-64,共5页
Science-Technology and Management
基金
上海市教委重点学科建设项目(J50504)
上海市社会科学研究项目(2009BJB031)