债券收益率的模型研究

Research on the Model of Bond Yield

利用计量经济学的模型和知识对国债市场的走势进行研究,并对国债的收益率进行分析。主要以近5年国债指数的收盘价来研究国债指数的收益率,建立ARMA-GARCH模型,用ARMA模型说明收益率数据,用GARCH模型来模拟偏差。探索我国国债指数收益率的模型,为投资者投资和避险提供参考。

The use of econometric model and knowledge to study the trend of the national bond market, and to analyze the yield of national debt. The yield of the Treasury bond index is mainly based on the elosing priee of the Treasury bond index for the past five years. The ARMA-GARCH model is established. The ARMA model is used to deseribe the yield data and the GARCH model is used to simulate the deviation. Exploring the model of the yield of China＇s national debt index, and providing a referenee for investors to invest and hedge.