基于非对称动态波动性的上海同业拆放利率模型研究

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 focus 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 estimation 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, information 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