随机波动和跳跃下的短期利率动态

在短期利率模型中引入随机波动和跳跃两种因素,利用序贯参数更新思想和粒子滤波方法实现模型的估计,并对中国银行间短期利率进行实证分析. 研究结果显示短期利率存在显著的随机波动和跳跃特征,表明CIR-SV-J模型在描述短期利率动态中拟合效果最优,而且忽视随机波动或跳跃因素会使拟合变差,影响对利率均值回复特征的描述,并证明了随机波动因素在模拟中比跳跃因素起着更为重要的作用.

Short rate dynamics with stochastic volatilities and jumps

This paper introduces stochastic volatility and jump factors into the short-rate models, and uses a method combining sequential parameter updating and particle filter to implement the estimation of both states and parameters. Then, we use this extended models to analyze the Chinese inter-bank short-term interest rate. The empirical results show that the short-rate has obvious features of stochastic volatility and jump, and the CIR-SV-J model is the best one for describing the short-rate dynamics. If any factor of stochastic volatility or jump is ignored, the model-fitting performance would be worse, and the mean-reversion feature could not be accurately identified. Finally, our results indicate that the stochastic volatility factor is relatively more important in modeling short-rate dynamics than the jump factor.