基于机制转换的SHIBOR市场利率研究
Regime Switching in Shanghai Interbank Offered Rate
本文利用2006年10月8日至2013年3月29日间每周三的月度上海银行间同业拆放利率（SHIBOR）数据，采用极大似然估计技术分别估计固定波动率模型，GARCH模型和马氏机制转换模型，并实证分析比较固定波动率模型，GARCH模型和马氏机制转换模型对SHIBOR利率的估计效果。研究结果表明，引入GARCH和马氏机制转换的模型效果更好，可大大地提高短期利率动态模型的拟合水平。
his paper emprically compares the performance of constant volatility model, GARCH model and Markov-swithing model in estimating the monthly Shanghai Interbank Offered Rate (SHIBOR) , and the data is constructed from October 8th, 2006 to March 29th, 2013 every Wednesday. The results show that the Regime-GARCH model is the best for estimating.And this paper applies maximum likelihood estimation technique to estimate the regime switching model.
陈艳、柳向东
财政、金融
机制转换SHIBOR极大似然估计
Regime swithingSHIBORMLE
陈艳,柳向东.基于机制转换的SHIBOR市场利率研究[EB/OL].(2013-07-05)[2025-08-19].http://www.paper.edu.cn/releasepaper/content/201307-81.点此复制
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