本文關(guān)鍵詞： 短期利率 時(shí)變波動(dòng)率 跳躍過程 MCMC　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：利率作為金融市場上最重要的經(jīng)濟(jì)變量之一,一直以來都是金融領(lǐng)域研究的重點(diǎn)。特別是短期利率,其動(dòng)態(tài)行為對金融資產(chǎn)定價(jià)和金融風(fēng)險(xiǎn)管理起著至關(guān)重要的作用。從上個(gè)世紀(jì)九十年代至今,我國的利率市場化改革取得了突破性的進(jìn)展,市場利率的動(dòng)態(tài)行為特征發(fā)生了顯著性的變化,因而對我國短期利率進(jìn)行研究是既有理論意義,又有現(xiàn)實(shí)價(jià)值的一次探索。 本文在分析比較了現(xiàn)有短期利率模型和隨機(jī)建模方法的基礎(chǔ)上,選取了銀行間市場一天期回購R001作為短期利率的替代,建立了多個(gè)模型對短期利率行為的均值回復(fù)特征、時(shí)變異方差特征和跳躍行為特征依次進(jìn)行了檢驗(yàn)。建模中我們用馬爾科夫鏈蒙特卡羅模擬方法(MCMC)給出了參數(shù)估計(jì)。 通過對單因素模型、時(shí)變波動(dòng)率模型和跳躍模型的分析和檢驗(yàn),本文得到了以下結(jié)論：首先,在檢驗(yàn)基本單因素模型的過程中,我們發(fā)現(xiàn)中國市場短期利率的均值回復(fù)特征非常顯著,均值回復(fù)速度很快。通過對單因素模型的比較分析,得出Vasicek模型是表現(xiàn)最好的單因素模型的結(jié)論。其次,我們分別建立了CKLS模型、Vasicek-GARCH(1,1)模型和CKLS-GARCH(1,1)來考察短期利率波動(dòng)率的特點(diǎn)。實(shí)證研究證實(shí)了短期利率的波動(dòng)率受到GARCH(1,1)效應(yīng)的影響很大,而在考慮了GARCH(1,1)效應(yīng)之后,水平效應(yīng)不再明顯。再次,我們建立了Vasicek-JUMP模型和Vasicek-GARCH(1,1)-JUMP模型來考察短期利率的跳躍性。然而,我們的實(shí)證得出,雖然中國市場短期利率的跳躍特征很明顯,但這兩種模型均不是刻畫此跳躍行為的理想模型。另外,在單因素模型的估計(jì)中,我們還對最大似然估計(jì)(ML)與馬爾科夫鏈蒙特卡洛方法(MCMC)的估計(jì)效果作出比較,認(rèn)為MCMC方法更能抓住數(shù)據(jù)的動(dòng)態(tài)特點(diǎn)。
[Abstract]:Interest rate, as one of the most important economic variables in the financial market, has always been the focus of research in the financial field. Its dynamic behavior plays an important role in financial asset pricing and financial risk management. Since -10s, China has made a breakthrough in the reform of interest rate marketization. The dynamic behavior of market interest rate has changed significantly, so the study of short-term interest rate in China is of both theoretical significance and practical value. Based on the analysis and comparison of the existing short-term interest rate models and stochastic modeling methods, this paper selects the one-day repo R001 in the interbank market as the replacement of short-term interest rates, and establishes the mean return characteristics of several models to the short-term interest rate behavior. The features of time-variant variance and jump behavior are tested in turn. In the modeling we use Markov chain Monte Carlo simulation method to estimate the parameters. Through the analysis and test of single factor model, time-varying volatility model and jump model, the following conclusions are obtained: first, in the process of testing the basic single-factor model, We find that the average recovery of short-term interest rate in Chinese market is very significant and the average recovery speed is very fast. Through the comparison and analysis of univariate model, we draw the conclusion that Vasicek model is the best single factor model. Secondly, We have established the CKLS model Vasicek-GARCH1) model and CKLS-GARCH1) model to investigate the characteristics of short-term interest rate volatility. The empirical study shows that the volatility of short-term interest rate is greatly affected by the GARCH1) effect, but after considering the GARCH11) effect, The horizontal effect is no longer obvious. Thirdly, we have established the Vasicek-JUMP model and Vasicek-GARCHUMP model to study the leapfrogging of short-term interest rate. However, our empirical results show that although the characteristics of short-term interest rate jump in China market are obvious, But these two models are not ideal models to characterize the jump behavior. In addition, in the estimation of single factor model, we also compare the estimation effect of maximum likelihood estimation (MLM) with that of Markov chain Monte Carlo method (MCMC). It is considered that the MCMC method can better grasp the dynamic characteristics of the data.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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本文編號(hào)：1547287