[1]吴泽福.利率期限结构波动效应协整的实证[J].华侨大学学报(自然科学版),2010,31(1):99-105.[doi:10.11830/ISSN.1000-5013.2010.01.0099]
　WU Ze-fu.An Empirical Study on the Integral Relationship of Volatility Effects of Interest Rate Term Structure[J].Journal of Huaqiao University(Natural Science),2010,31(1):99-105.[doi:10.11830/ISSN.1000-5013.2010.01.0099]
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利率期限结构波动效应协整的实证()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第31卷
期数:
2010年第1期
页码:
99-105
栏目:
出版日期:
2010-01-20

文章信息/Info

Title:
An Empirical Study on the Integral Relationship of Volatility Effects of Interest Rate Term Structure
文章编号:
1000-5013(2010)01-0099-07
作者:
吴泽福
华侨大学工商管理学院
Author(s):
WU Ze-fu
College of Business Administration, Huaqiao University, Quanzhou 362021, China
关键词:
利率;  期限结构;  区制转移;  马尔科夫链;  协整
Keywords:
interest rate;  term structure;  state-switching;  Markov chain;  integral relationship
分类号:
O211.62
DOI:
10.11830/ISSN.1000-5013.2010.01.0099
文献标志码:
A
摘要:
在刻画短期利率波动具有长期回复均值和负向飘移率的非线性均值-广义自回归条件异方差(GARCH)模型中,引入马尔科夫区制转移特征,给出波动区制转移概率的计量递推公式和最大似然函数数值求解程序.对动态模型综合设计的科学性进行参数假设检验,证实非线性均值回复与马尔科夫区制转移效应的GARCH模型相比,其单独或双项组合的杠杆效应、负向信息强响应、高波动低持续等效应模型具有更强的现实数据拟合能力,可从时间序列和横截面角度,进一步揭示短期市场利率期限结构的内在波动规律.
Abstract:
Integral relationship implied in interest rate volatility has been empirically researched based on short-term interest rate data extracted from B-spline function estimation in this paper.We introduced Markov state-switching character into the nonlinear mean-reversal generalized auto-regressive conditional heteroscedasticity(GARCH) model and derived the econometrically recursive formula on state-switching probability and numerical resolution to maximum likelihood function for General Markov GARCH model.Through parameter hypothesis testing,we found that the significant-characters-including-mean-reverse,level-effect,asymmetry-information,regime-switching and jump-diffusion could be more effectively explained by General Markov GARCH model than the other models with only one or two characters mentioned above.This paper contributed to disclose the volatility characters of China’s short-term interest rate structure from time serial and cross-section angles.

参考文献/References:

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更新日期/Last Update: 2014-03-23