短期利率动态模型收益率和波动参数的估计

The Estimations of Yields and Volatility for Short-term Interest Rate Dynamic Models

利用局部逼近的方法研究了短期利率动态扩散模型中参数的局部估计问题,给出了动态CKLS模型中的收益率参数的局部加权最小二乘估计和波动率参数的局部极大似然估计.基于上海银行间市场同业拆借利率(Shibor)的实证分析,展示了局部估计的效果,并研究了动态CKLS模型在利率波动率预报上的表现,结果显示,利率波动率的预报能较好地反映利率的实际波动.

This paper studies local estimations of the parameters for short-term interest rate dynamic diffusion models by using local approximate method. In the dynamic CKLS models, the local weighted least-square estimations of the parameters of yields are gained, and local maximum likelihood estimation of the volatility parameter is proposed. Based on the real data analy- sis for Shanghai Inter-bank Offered Rate（Shibor）, we display the performance of the local estimations proposed and study the forecasting power of the volatility for dynamic CKLS model. The results show that the forecast of the volatility reflects the real volatility well.