SHIBOR波动率分析

2010 Third International Joint Conference on Computational Science and Optimization Pub Date : 2010-05-28 DOI:10.1109/CSO.2010.140

Qi Yang, Xiaofeng Zhang

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引用次数: 1

摘要

本文构建GARCH模型对上海银行同业拆放利率(SHIBOR)期限产品的波动性进行分析，发现短期和长期利率产品具有不同的收益波动性、非正态性和条件异方差特征，GARCH模型可以很好地拟合SHIBOR的波动性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Analysis on the Volatility of SHIBOR

This paper constructed GARCH Models to analyze the volatility of term-products of SHIBOR (Shanghai Inter-Bank Offered Rate), and found that short-term and long-term interest rate products have different characteristics of return volatility, non-normality and conditional heteroscedasticity, and GARCH models can fit the volatility of SHIBOR well.

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2010 Third International Joint Conference on Computational Science and Optimization

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