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Journal of Nanjing University of Finance and Economics. 2016, (05)

Research on Volatility of SHIBOR with Different Term StructureChinese Full Text

LUO Yan;WU Pengcheng;LIU Xiaoxing;Department of Financial Mathematics,Nanjing University of Audit;School of Economic and Management,Southeast University;

Abstract: This paper investigate the volatility of Shanghai interbank offered rate with different term based on the samples from October 8,2006 to July 1,2016. The results indicate that the interest rates of overnight,1 week,2 week,1 month and 3month have ARCH effect,but the interest rates of 6 month,9 month and 1 year have not ARCH effect. Further research finds that the interest rate of overnight has Inverse leverage effect,which means positive unexpected gains have greater impact to conditional varianc... More
Keywords：

SHIBOR; GARCH model; EGARCH model; term structure; inverse leverage effect;

  • Series：

    (J) Economics ＆ Management

  • Subject：

    Macro-economic Management and Sustainable Development; Finance

  • Classification Code：

    F224;F832.3

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