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在银行间债券回购市场利率基本特征分析基础上,利用我国银行间回购开始日1997年6月15日至2008年4月20日全部质押式回购每周加权平均利率进行实证研究,建立了基于ARMA-GARCH模型族的利率风险CVAR测度模型。结果表明我国银行间债券回购市场中存在杠杆效应;回购利率分布对CVAR计算结果影响较大,GED分布能较正态分布和t分布能更好刻画我国银行间回购利率序列的分布状况;并且在GED分布下,EGARCH模型计算得到的CVAR值要优于GARCH和TARCH模型得到的结果。
Based on the analysis of the basic characteristics of interest rates in the inter-bank bond repurchase market, this paper uses the weighted average interest rate of all the pledged repo transactions from June 15, 1997 to April 20, 2008 to establish an empirical study A CVAR Measurement Model Based on ARMA - GARCH Model Family. The results show that there is a leverage effect in China’s interbank bond repurchase market. The distribution of repo rate has a greater effect on the results of CVAR. The distribution of GED can be better than the normal distribution and t distribution in China’s interbank repo rate. ; And under the GED distribution, the CVAR value calculated by the EGARCH model is superior to the results obtained by the GARCH and TARCH models.