利率期限结构波动效应协整的实证

在刻画短期利率波动具有长期回复均值和负向飘移率的非线性均值-广义自回归条件异方差(GARCH)模型中,引入马尔科夫区制转移特征,给出波动区制转移概率的计量递推公式和最大似然函数数值求解程序.对动态模型综合设计的科学性进行参数假设检验,证实非线性均值回复与马尔科夫区制转移效应的GARCH模型相比,其单独或双项组合的杠杆效应、负向信息强响应、高波动低持续等效应模型具有更强的现实数据拟合能力,可从时间序列和横截面角度,进一步揭示短期市场利率期限结构的内在波动规律.

An Empirical Study on the Integral Relationship of Volatility Effects of Interest Rate Term Structure

Integral relationship implied in interest rate volatility has been empirically researched based on short-term interest rate data extracted from B-spline function estimation in this paper.We introduced Markov state-switching character into the nonlinear mean-reversal generalized auto-regressive conditional heteroscedasticity(GARCH) model and derived the econometrically recursive formula on state-switching probability and numerical resolution to maximum likelihood function for General Markov GARCH model.Throu...