Dynamic Integration Estimator For The Volatility Of The Short-term Interest Rate Of China's Money Market

China's money market has been lack of a benchmark market rate for a long time.China Inter-bank Offered Rate (CHIBOR) which began from 1997 is failure to becomethe benchmark and exists in name only. On January 4,2007, Shanghai Inter-bankOffered Rate (SHIBOR) comes to the world and is hoped to be the benchmark rate.In the initial stage of development, now SHIBOR is still impacted by other interestrates more or less, such as Inter-bank collateralized repo transaction rates. Wewill check the relationship between R07D ( 7 days collateralized repo interest rate,which has the largest trading volume and trades most frequently among the short-termcollateralized repo interest rates ) and 1-week SHIBOR. Dynamic integration of timeandstate-domain estimators for volatility estimation will be introduced, and appliedto the volatility estimation of R07D, which has best performance compared with thosemethods referred in this paper.