The Study Of Treasury Bonds Volatility And Risk Measurement Based On SSE T-Bond Index

Treasury Bonds are basic securities and they have become the indispensable part of the financial market.With the increase of the treading volume of Treasury bonds market,the price fluctuation of the national debt has become more and more frequent.Treasury Bonds futures have been relaunched in CFFEX in September 6th,2013 and have aroused widespread concern and fierce discussion of whether the introduction of Treasury Bonds futures can discover price,stabilize the Bonds market and reduce the risk of interest rate.In this paper,the establishment of volatility model and risk measurement model of bond market volatility and risk measurement research has important significance.Firstly,GARCH models are used to analysis the effect of the introduction of the Treasury Bonds futures to the volatility of the Treasury Bonds market.In addition,considering the leptokurtosis of the financial times series data,I assume the distribution of the error term is subject to t distribution and GED distribution.It is shows that the volatility of Treasury Bonds has increased after the introduction of the T-Bonds futures.The sensitivity of the Treasury market to new information is reduced,and the impact of historical information on the market volatility of Treasury Bonds is increased.In addition,EGARCH model is used to analyze the asymmetric effect of the Treasury bond market before and after the introduction of the T-Bonds futures.After the launch of the bond futures,the asymmetric effect has changed.Secondly,the quantile regression method has been used to our paper in risk measurement of the Treasury Bonds market,the leptokurtosis,volatility clustering effect and asymmetric effect of the financial return series are considered.An empirical analysis is made based on different GARCH models,different error term distributions and quantile level.The model estimation results are tested by the method of post hoc test.At the same time,Econometric methods are used to measure the VaR and compare these two results.The results based on the quantile regression are better,which can basically cover the loss of the Treasury Bond Index,and it can reflect the fluctuation of the rate of return.This method of risk measurement based on quantile regression can reflect the overall situation of Treasury Bonds market,which is suitable for the actual situation of our country.At the same time,the risk measurement based on quantile regression provides a new way to measure the risk of china's security market,and it has certain significance to investors and regulators.