| CHIB市场SV模型与GRS模型的比较研究 |
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| 引用本文： | 陈晖,谢赤.CHIB市场SV模型与GRS模型的比较研究[J].系统管理学报,2005,14(2):153-158. |
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| 作者姓名： | 陈晖 谢赤 |
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| 作者单位： | 湖南大学,工商管理学院,长沙,410082 |
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| 基金项目： | 国家社会科学基金资助项目(03BJY099)，国家自然科学基金资助项目(79970015)，教育部博士点专项科研基金资助项目(20020532005)，全国高校青年教师奖励基金资助项目 |
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| 摘 要： | 利用中国银行同业间拆借(CHIB)市场数据,估计并比较了目前国际上普遍采用的SV模型和GRS,研究发现,在样本期间内GRS比SV模型能更好的描述利率的均值和波动行为,在样本期间外SV比GRS模型能更好的预测未来利率的走势,而GRS比SV模型能更好的预测未来利率的波动。
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| 关 键 词： | 利率 中国银行同业间拆借 随机波动(SV)模型 一般结构转换(GRS)模型 |
| 文章编号： | 1005-2542(2005)02-0153-06 |
| 修稿时间： | 2004年1月10日 |
A Comparative Study between SV Model and GRS Model in the China-inter-bank Market |
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| CHEN Hui,XIE Chi.A Comparative Study between SV Model and GRS Model in the China-inter-bank Market[J].Systems Engineering Theory·Methodology·Applications,2005,14(2):153-158. |
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| Authors: | CHEN Hui XIE Chi |
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| Abstract: | In this paper we make use of the data obtained from the China-inter-bank market and estimate the parameters of the stochastic model and the general regime-switching model. We compare the estimation results under the two models and find that GRS model have more power to describe the behavior of the short-term interest rates in the whole sample period, and have more power to predict the future volatility behavior in the out-of sample period, while SV model can predict the future interest rates much more accurate in the out-of sample period. |
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| Keywords: | interest rate China-inter-bank market stochastic volatility(SV) model general regime switching(GRS) model |
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