Analysis On The Volatility Of SHIBOR

Analysis on the volatility of financial assets is the nucleus realm of the research of contemporary financial economics and econometrics. As the generous character of market risk, the identification of volatility will have a direct impact on assets pricing, resource arrangement and the model of venture management. On one hand, the volatility is directly related to uncertainties and risks of the market, and the core of asset pricing and capital configuration is the balance between benefits and risk; on the other hand, it closely related to other indicators which reflect the quality and efficiency of the stock market such as liquidity, market efficiency, transaction costs, transparency and information flowing characteristics, is as one of the most simple and effective indicator that can comprehensively reflect the price behavior, quality and efficiency of stock market. In addition, the volatility has an important influence on the decision to business investment leverage, financial leverage and operating leverage, on personal consumption and investment behavior, and on the economic cycle and the relevant macroeconomic variables. Because of its importance, volatility becomes a constant theme of financial market.This paper is a research on the volatility of benchmark interest rate in currency market, selecting the data of SHIBOR for overnight, one-week, one-season and one-year interest rate as the study sample. Firstly the author introduces the wave theory and a variety of volatility estimation model, main part is the GARCH models. Then author analyzes the statistical characteristics of selected sequences of interest. Seen from the statistical characteristical maps and QQ plans, SHIBOR term market interest rate sequence does not obey the normal distribution, bringing about a short sequence with a fat tail and long sequence of first-order stationary, no ARCH effects. And then various aspects in short-term interest rate characteristics have empirically researched with five GARCH type models, obtained the best model on simulation SHIBOR overnight rate sequences and sequences of the week fluctuations in interest rates. The empirical results show that in the GARCH models (EGARCH excluded), sequence of interest rates which the paper selected does not exist phenomenon of the conditional heteroskedasticity and residual sequence, actually the model fit very well. SHIBOR Interest rate sequence variance equation based on normal distribution exist obvious asymmetric effect. From the model used in the text view, according to AIC and SC information criteria, whether it is SHIBOR interest rates overnight rate series or sequence of the week, the variance equation under PGARCH fits better than that of other models . Finally, this paper make a summary and give prospects for future, providing some reference for further study of deepening the money market risk characteristics.