基于ARIMA-GARCH模型对上海银行间隔夜拆放利率的实证分析

Empirical Analysis of Interbank Overnight Interest Rates in Shanghai Based on ARIMA-GARCH Model

通过以上海银行间隔夜拆放利率为研究对象,选取2015年1月4日至2015年12月28日的数据作为样本数据,通过Eviews软件分别建立ARMA模型和ARMA-GARCH模型对2015年12月29日至2015年12月31日的上海银行间隔夜拆放利率进行分析,以期望为金融产品的定价和投资套利提供参考。研究结果表明:ARIMA(2,2,1)-GARCH(1,0)-GED模型相较于ARIMA(2,2,1)模型很好地消除了ARCH效应,并且能够更好地对上海银行间隔夜拆放利率作出短期预测。

Taking overnight interest rates between banks in Shanghai as the object, the study selected the sample data from January 4, 2015 to December 28, 2015 and established an ARMA model and ARMA-GARCH model with Eviews software to analyze the overnight interest rates between banks in Shanghai from December 29 to 31, 2015 in an effort to provide a reference for pricing financial products and investment arbitrage. The results showed that compared to ARIMA （2,2,1） model, ARIMA （2,2,1） -GARCH （1,0） -GED model elimi- nated the ARCH effect well, which can be used to make short-term predictions for the overnight interest rates.