GARCH Models For The Volatility Of Chinese Inter-bank Borrowing Interest

Interest rate marketization is primarily a financial system to solve the problem of interest rate formation mechanism reform,is the interest rate decisions to the market, the market capital supply and demand determine the market rate, the market main body can be according to the characteristics of the different financial transactions independently decided to interest rates. Interest rates have been the hot topic in finance for a long time in China. Interbank lending financial institutions with legal person qualification and is authorized by the legal person of the non-legal-person branch financial institutions between short-term temporary financing behavior, In June of1996, China’s domestic market-oriented interest rate process, first of all, let go of the interbank lending market interest rates, with the establishment of the national inter-bank lending market and gradually improve, trading in the interbank market in year by year, the interbank lending market interest rates have become one of the most influential money market indicators, for the commercialization process of Chinese commercial Banks and commercial Banks to fund operating efficiency plays an important role. Accurate in-depth study of the interbank lending market, makes the people’s bank of China can be more effective macroeconomic regulation and control, financial institutions to reasonable pricing the financial products and risk prevention, and eventually promote the development of China’s money market and the real economy.For interbank interest rates at home and abroad research mainly has interbank rate forecast, the influence factors of interbank lending rates, and lending interest rate term structure of interest rates is in line with the China market. Interbank lending rates based on SHIBOR (Shanghai) overnight interest rates and lending rates for seven days in October2006to December2012, all the data as the research object. From studying the basic statistical characteristics of interbank lending rates in our country,using time series analysis method, constructed to measure the volatility characteristics of GARCH class models, and comparing the results and inspection, the key to explore China’s interbank interest rate term two varieties of interest rate volatility characteristics. This paper shows that in the end through the empirical analysis, our country bank time CHIBOR sequence with volatility clustering, thick tail.In addition, the conclusion is that leverage effect exists interbank lending rate between banks in our country, different fluctuating asymmetry of it and other financial market, which is made with the interbank lending market itself and the characteristics of other financial market is different.