基于EGRACH模型的我国中债国债收益率预测

Prediction of Treasury Bond Yield in China based on EGRACH Model

中债国债收益率是包括国债在内的各信用等级的到期、即期和远期收益率的综合性指标,该指标的应用进一步提升了中国债券市场的透明度,进一步发挥国债等市场化利率的定价参考基准作用,助力人民币国际化进程。科学预测中债国债收益率对指导金融机构资本投资、金融产品价格拟定、债券交易、金融风险控制等具有重要意义,EGARCH模型能较好解决异方差性、非对称性时间序列的预测问题,参数少,效率高,易实现。文中运用EGARCH模型预测中债国债收益率,取得了理想的效果,平均预测误差仅为1.4058%。

Treasury bond yield is a comprehensive index of the maturity,spot and forward yields including government bonds credit rating.The applications of indicators further enhanced the transparency of the Chinese bond market,further played the role of pricing reference benchmark of market interest rate such as government bonds,and help the process of RMB internationalization.Treasury bond yield is of great significance to guide the capital investment of financial institutions,financial product pricing,bond trading,financial risk control,and so on.EGARCH model can solve the heteroscedasticity,predict the non-symmetric time series,and the parameters are small,efficient and easy to achieve.This paper used the GARCH model to predict the yield of treasury bonds,the effect is satisfactory,and the average prediction error is only 1.4058%.