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An Analysis of SHIBOR Based on Asymmetric Dynamic Volatility(PDF)

《南京师大学报》(社会科学版)[ISSN:1006-6977/CN:61-1281/TN]

Issue:
2014年04期
Page:
60-
Research Field:
Publishing date:

Info

Title:
An Analysis of SHIBOR Based on Asymmetric Dynamic Volatility
Author(s):
KONG Ji-hong
Keywords:
single-factor interest rate model asymmetric dynamic volatility maximum likelihood Shanghai Inter-Bank Offer Rate
PACS:
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DOI:
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Abstract:
In this paper, based on the single factor CKLS model for the short-term interest rate, we focus on the Asymmetric GARCH specification for diffusion terms and allow the dynamics of the short-term interest rate volatility to be determined by the unexpected information shocks and the differential effect on the positive and negative information. Using maximum likelihood approach, we give an estimation of the dynamic behavior of short term rates of the Shanghai Inter-Bank Offer Rate(SHIBOR), and conclude that the asymmetric GARCH model can explain the clear effect of mean reversion, information shock and asymmetric impact. However, our empirical results of standard CKLS model also show that there are a non-significant mean reversion effect on 1% level and a lower reversion speed, and an overstated significant elasticity parameter estimator. And the Asymmetric GARCH model gives better goodness of fit and the capability of level and volatility forecast.

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Last Update: 2014-08-15