论文部分内容阅读
债券市场收益率是债券投资者关心的重要指标。本文主要采用平滑转移门限自回归(STAR)模型刻画上证企债收益率,并对其波动性进行分析和预测,结果表明:以Logistic函数作为转换函数的STAR模型能很好地描述企业债券市场收益率的走势;同时,基于此模型得出的收益率预测结果显示,用该模型预测得到的收益率走势和现实的情况是总体一致的。
Bond market yields are an important indicator of bond investors’ concerns. In this paper, we mainly use the smooth transition threshold auto-regressive (STAR) model to depict the return rate of the SSE bond market, and analyze and forecast the volatility of the SSE bond market. The results show that the STAR model using the Logistic function as the transfer function can well describe the return on the corporate bond market Meanwhile, the forecast of the yield based on this model shows that the trend of the yield rate predicted by this model is in general agreement with the actual situation.