| Financial market risk is embodied in the fluctuation of financial product price or yield, So the research on volatility is one of the important topics of the financial market and financial products. In recent years, the commercial bank financial products market developed rapidly and interest rate marketization in our country was basically completed,RMB financial products yield was also gradually marketed, Therefore, the fluctuation of the yield has become an important market signal, which is related to the operation of the financial system and even the macro economy. This paper choose RMB financial product yield from the state-owned Banks, joint-stock Banks, city commercial banks as the research object, using five kinds of stochastic volatility model for empirical research to analyze the fluctuation characteristics of different issuers yield sequence and to compare the fitting effect as well as the advantages and disadvantages of the models.The result shows that different issuers have different fluctuation characteristics. First,volatility level of city commercial banks is higher than that of state-owned Banks,joint-stock Banks, but the volatility persistence is not strong; Second, The state-owned banks have asymmetric volatility, and the joint-stock Banks and city commercial banks did not exist; Third, the city commercial bank has high market risk, which compensation for risk-taking does not exist. The empirical study shows that SV-MN model for city commercial bank is better, and SV-MT model for state-owned Banks and joint-stock Banks has better fitting effect.Accordingly Suggestions: regulators should strengthen the supervision of financial product market, prevent and control the risk of banking system; Banks should strengthen product innovation itself to avoid product homogeneity between Banks, forming the comparative advantage; Investors should develop a rational financial management idea,carefully choose the financial product in line with your own capacity and risk preference. |
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