不同期限SHIBOR的波动性研究

Research on Volatility of SHIBOR with Different Term Structure

本文以上海银行间同业拆放利率(SHIBOR)2006年10月8日至2016年7月1日数据为样本,分析了不同期限拆放利率波动性特征。结论表明,隔夜(O/N)、一周(1W)、两周(2W)、一月(1M)及三月(3M)这五类拆放利率存在自回归条件异方差(ARCH)效应,而6月(6M)、9月(9M)及1年(1Y)这三类拆放利率不存在ARCH效应。进一步研究发现,隔夜拆放利率存在逆杠杆效应,即正的未预期收益对条件方差产生了较大的影响,负的未预期收益对条件方差产生的影响反而较小。

This paper investigate the volatility of Shanghai interbank offered rate with different term based on the samples from October 8,2006 to July 1,2016. The results indicate that the interest rates of overnight, 1 week,2 week, 1 month and 3 month have ARCH effect, but the interest rates of 6 month ,9 month and 1 year have not ARCH effect. Further research finds that the interest rate of overnight has Inverse leverage effect, which means positive unexpected gains have greater impact to con- ditional variance than negative unexpected gains.