摘要
利率期限结构反映不同期限的资金供求关系,揭示市场利率的总体水平和变化方向,是投资者从事债券投资和政府有关部门加强债券管理的依据。通过建立均衡-GARCH动态利率模型,利用极大似然估计方法估计出模型的参数,并对SHIBOR短期利率进行了仿真,验证了模型的有效性。
The term structure of interest rates reflects the relationship between supply and demand of funds in different periods,which reveals the general level and direction of changes in market interest rates. It is the basis for investors to engage in bond investment and for government departments to strengthen bond management. By establishing the equilibrium-GARCH dynamic interest rate model,the parameters of the model are estimated by using the maximum likelihood estimation method,and the short-term interest rate of SHIBOR is simulated. Finally,the validity of the model is verified.
作者
黄日朋
王学金
Huang Ripeng;Wang Xuejin(School of Mathematics and Finance, Chuzhou University, Chuzhou 239000 ,Anhui, Chin)
出处
《计算机应用与软件》
北大核心
2018年第5期120-123,共4页
Computer Applications and Software
基金
滁州学院校级规划项目(2014GH11)
安徽省教育厅自然科学研究一般项目(KJ2016B15)
