Research On Shibor Volatility Based On GARCH Model

Since June 2013,a "money droughf" happened in China,the topic of interest is booming,especially the Shanghai inter-bank offered rate,which has been known and focused us to all. China never has a benchmark rate,so we use the deposit rate or Treasury Bill Rate instead.Since 2006,the Shibor born.participators from every field of the financial markets pay a great deal of attention on its development.From our government to us,we treat it as our Chinese Libor.Today,the financial market has proved the effectiveness of Shibor,which has been recognized by all of us.While,how to find its volatility and make it sever us better in this special period that the interest rate liberalization is in its moment of truth matters a lot to all of us.This paper start to its topic with the lead of "money droughf".Stand under the background of the complex macroeconomic situation and the interest rate liberalization,1 summarized the research of both home and abroad on the study of the volatility of financial market return and analyzed their advantages and disadvantages.Then I choose two kinds of rate of Shibor——one day and 7days which both has 1815 sample and use models of econometrics to start my research.The research find that,this two kinds of data do not follow normal school,they has obvious pike apex and thick trail,auto-correlation and Conditional heteroskedasticity.Then the model of GARCH solve these situation well.The same time,these data are asymmetric.They has different reflection on different impact.At the last part,some reasonable suggestion on these situation are supported to try to mean something to our financial market.