【摘要】 利用中国银行间同业拆借市场1996年12月29日至2008年5月30日全部拆借品种每周加权平均利率,对正态分布t、分布和GED分布下的GARCH模型族进行对比分析,构建出衡量利率波动的ARMA-GARCH模型。结果显示中国银行间同业拆借利率(CHIBOR)序列杠杆效应不明确;拆借利率分布对模型拟和结果影响较大。t分布不适合描述中国银行间利率序列的分布状况。GED分布能更好刻画同业拆借利率序列的分布状况,并且在GED分布下,EGARCH模型较GARCH和TARCH模型更适合描述中国银行间同业拆借利率序列。更多还原

【Abstract】 The paper tests the model with weekly weighted average of Chinese Inter-Bank Offered Rate(CHIBOR)from 29,December of 1996 to 30,May of 2008 based on Analysis the Characteristics of CHIBOR,and establishes offered Rate Fluctuation of ARMA-GARCH models.According to the results of the study,the leverage effect of CHIBOR is uncertain.The offered rate distribution influence the model value largely and is closer to GED than Normal and t-distribution.The EGARCH model is better than GARCH and TARCH model under GED distribution.更多还原