An Analysis About The Long Memory Volatility Of Chinese Inter-bank Borrowing Interest

Study of volatility of financial return on assets has been the focus of contemporary financial academics and practitioners. As a measure of asset price change, identification and judgment of volatility will have a direct impact on the modeling of asset pricing and risk management. Considering the structure of volatility have the characteristics including Volatility Clustering, Leverage Effects and Long memory, therefore, it is necessary to use non-equilibrium method and model describing these characteristics to analyze the structure of volatility. Shanghai Interbank Offered Rate(Shibor) is the smallest domestic currency risk premium market rate; its products are priced with reference to other markets, and can better reflect liquidity conditions in the money market. Therefore, we hope that through empirical analysis of the inter-bank Libor interest rate volatility analysis of non-equilibrium we will get more objective and comprehensive results.R/S analysis is employed at first to analyze the long memory relationships among Shibor of overnight rates and 1-week rates proceeds rate sequence and variance sequence. It is found that in peer lending market, the rates of proceeds rate exists Anti Persistence characteristic and variance sequence exists long Memory characteristic. What's more, an ARFIMA- FIAPARCH model whose information obeys Skewed Student T Distribution is introduced to analyze overnight split put rates and 7 days split put rates for built die analysis. Results show the overnight rate and 1-week rate volatility exist Volatility Clustering and Leverage Effect, and further proves the results of R/S analysis.