作　　者： ;

机构地区： 暨南大学经济学院统计学系

出　　处： 《科学技术与工程》 2011年第36期9116-9118,共3页

摘　　要： 利率期限结构模型在金融统计分析中具有非常重要的地位。在一般的CKLS单因素利率模型的基础上,增加了一个跳跃因子,来反映宏观政策等的变化对利率变化的突发影响;并且利用中国短期国债市场回购利率数据对模型进行了参数估计以及拟合,结果模型的参数a0,a1,a2,a3,σ,γ,σJ,μ的估计值分别为-0.112,0.304,0.513,-0.002,1.556,-2.1×10-5,0.321,0.0012。而且都落在了各自95%的置信区间。这表明模型的各个参数都显著并且残差项也服从标准正态分布。说明了跳跃过程下单因素利率期限结构模型能够更好的解释利率变动的情况。 The term structure models of interest rate has an important role in financial statistical analysis.Basing on general CKLS single factor interests rate model,a jump factor is added to analyze interests rate movement affected by macro monetary policy events and then estimates its parameter by using Chinese short-term bond market interest rates.The result shows the estimation of the model＇s parameters a0,a1,a2,a3,σ,γ,σJ,μ are-0.112,0.304,0.513,-0.002,1.556,-2.1×10-5,0.321,0.0012 respectively and all in 95% confidence level.This indicates all parameters of the model are significant and residual term is restricted to standard normal distribution.This means under jump diffusion process single factor term structure models of interest rate can better interpret the movement of interest rate.

关 键 词： 利率 跳跃 单因素 参数估计

领　　域： [经济管理]