安庆师范学院学报（自然科学版）Issue(1)：27-30,4.DOI:10.13757/j.cnki.cn34-1150/n.2016.01.008
我国银行间同业拆借利率的实证分析－基于CIR模型
Empirical Analysis for the Term Structure of Interest Rates in China Based on CIR Model
摘要
Abstract
This paper gives a comprehensive introduction to the term structure of interest rates .However, in the actual eco-nomic life, instantaneous interest rate volatility will be affected by some other factors, such as time, external shocks.Since the time and external impact factors of actual economic life can affect rates of instantaneous fluctuation rate , we add GARCH model in CIR model to simulate the dynamic change .In this paper we put up an empirical analysis to China's inter-bank lending market interest rates based on the CIR model and CIR-GARCH model, and obtain the conclusion that CIR-GARCH(1,1) can simulate the inter-bank lending market interest rates better .关键词
利率期限结构/CIR模型/GARCH模型Key words
interest term structure/CIR model/GARCH model分类
管理科学引用本文复制引用
唐恩林..我国银行间同业拆借利率的实证分析－基于CIR模型[J].安庆师范学院学报（自然科学版）,2016,(1):27-30,4.基金项目
淮南师范学院校级科研项目（2015xj23）。 （）
