GARCH模型在我国商业银行利率风险研究中的应用
GARCH model and its application in the research of commercial interest rate risk
中国银行间同业拆借利率(CHIBOR)是我国货币市场上最早市场化的利率。选择七日拆借利率为研究对象对其进行建模，发现银行间同业拆借利率时间序列数据存在着ARCH效应，具有金融时间序列的尖峰厚尾性以及波动率集聚性；GARCH(1, 1)模型拟合效果较好，拆借利率的波动非常频繁，波动强度也十分大。EGARCH(1, 1)模型发现正的冲击比负的冲击会引起同业拆借利率市场更大的波动性
hinese inter-bank offered rate (CHIBOR) is the first market-based interest rate in China’s currency market. Seven days offered rate was selected as the object of study. And it is found that the time-series data of the interbank offered rate exist with ARCH effects, thick tail spikes in financial time series and volatility clustering; the fitting results of the GARCH (1, 1) model are satisfied and the fluctuations of the offered rate is very frequently and intensity. And it is also found that positive impact will cause greater volatility in the LIBOR market with EGARCH (1, 1) model.
王永勤
财政、金融
拆借利率GARCH模型利率风险波动性
offered rateGARCH modelinterest rate riskvolatility
王永勤.GARCH模型在我国商业银行利率风险研究中的应用[EB/OL].(2010-08-02)[2025-08-23].http://www.paper.edu.cn/releasepaper/content/201008-10.点此复制
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