基于非对称动态波动性的上海同业拆放利率模型研究

摘要

在单因子短期利率CKLS模型的基础上，对扩散项采用包含非对称GARCH的设定，从而允许利率波动率的动态性既依赖于未预期信息的影响，也依赖于信息正负性的差异化影响。利用极大似然法估计了上海银行同业拆放利率市场（SHIBOR）数据的模型参数，并评价了模型的拟合优度和预测能力。结论显示，非对称GARCH模型反映了SHIBOR利率市场存在显著的均值回复效应、未预期信息冲击效应和非对称效应。而相比之下，忽视了未预期信息影响的标准CKLS模型的实证显示，利率均值回复效应在1％的水平上并不显著，均值回复速度明显较低，而利率弹性参数虽然显著，但却过高地估计了利率市场水平效应的程度。同时，非对称GARCH模型也具有较高的拟合优度和波动率预测能力。%In this paper,based on the single factor CKLS model for the short-term interest rate,we fo-cus on the Asymmetric GARCH specification for diffusion terms and allow the dynamics of the short-term interest rate volatility to be determined by the unexpected information shocks and the differential effect on the positive and negative information. Using maximum likelihood approach,we give an esti-mation of the dynamic behavior of short term rates of the Shanghai Inter-Bank Offer Rate(SHIBOR), and conclude that the asymmetric GARCH model can explain the clear effect of mean reversion,infor-mation shock and asymmetric impact. However,our empirical results of standard CKLS model also show that there are a non-significant mean reversion effect on 1% level and a lower reversion speed, and an overstated significant elasticity parameter estimator. And the Asymmetric GARCH model gives better goodness of fit and the capability of level and volatility forecast.