NDLI: Dynamic Research for Term Structure of Repo Interest Rate Based on TGARCH

Content Provider	IEEE Xplore Digital Library
Author	He Qi-Zhi
Copyright Year	2008
Description	Author affiliation: Sch. of Stat., Anhui Univ. of Finance & Econ., Bengbu (He Qi-Zhi)
Abstract	In the process of China's marketization of interest rates, researching the term structure of interest rates has very important theoretical and practical significance to the development and improvement of China's financial market. In the paper, time series theories, such as GARCH and TGARCH model, are respectively applied to estimate the term structure of repo interest rate based on the basic model. The empirical results show: 1) As to the fitting results, the TGARCH model is better than the GARCH model for fitting the term structure of one day, 7 days, 14 days, one month, and two months repo interest rate. 2) The 7 days, 14 days, one month, and two months repo interest rate have very strong mean-reversion characteristic. But one day repo interest rate does not have remarkable linear mean- reversion characteristic. 3) Diffusions of term structure of the one day, 7 days, 14 days, one month, and two months repo interest rate have obvious asymmetry.
Starting Page	1
Ending Page	4
File Size	124709
Page Count	4
File Format	PDF
ISBN	9781424421077
DOI	10.1109/WiCom.2008.2329
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2008-10-12
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Economic indicators Forward contracts Finance Pricing Helium Environmental economics Bonding Statistics Spline Testing
Content Type	Text
Resource Type	Article

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