基于GARCH族模型的国债市场收益特征识别及风险测度

摘要

This study focuses on the daily yield of SSE government bond index to construct GARCH group model to realize the features of the fluctuation of the yield; the study shows that there are two features of SSE government bond which are agglomeration and leverage effect by calculating the VaR to measure the risk of the government bond market. In case of that, this study provides some suggestions for the investment on the government bond market which are based on the fluctuation and risk.%以上证国债指数日收益率作为研究对象,构造GARCH族模型识别收益波动特征;通过计算上证国债日对数收益率在险价值,测度国债市场的风险.结果表明,AR-GARCH(2,2)模型在测度上证国债指数日对数收益率风险时表现良好,上证国债指数对数收益率序列具有集聚性和杠杆效应.据此,对国债市场投资的策略选择提出了相关建议.