NDLI: Emipirical Research on Term Structure of Buy-Back Rates Based on EGARCH Model

Content Provider	IEEE Xplore Digital Library
Author	Li Ning He Dong-ping
Copyright Year	2009
Abstract	There is a great significance to research the term structure of interest rate based on the background of China’s gradual marketization of interest rates. In the paper, the dynamic changing situations of buy-back rates are researched and time series theories, such as GARCH and EGARCH model, are respectively applied to estimate the term structure of buy-back rates. The empirical results show that (1) as to the fitting results, the EGARCH model is better than the GARCH model for fitting the term structure of 1 day, 7 days, 14 days, 21 days, 2 months, and 3 months buy-back rates; (2) the 1 day, 14 days, 1 month, 2 months, 3 months buy-back rates have very strong mean-reversion characteristic, but 7 days, 21 days buy-back rates have not; (3) diffusions of term structure of the 1 day, 7 days, 14 days, 21 days, three months buy-back rates have reverse lever effect, but 1 month and 2 months buy-back rates have symmetrical fluctuation.
Starting Page	112
Ending Page	115
File Size	296790
Page Count	4
File Format	PDF
ISBN	9780769536439
DOI	10.1109/ISECS.2009.179
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-05-22
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Term structure Economic indicators Buy-back rates Finance Educational institutions Mathematics Discrete wavelet transforms Electronic commerce Security Helium Equations heteroscedasticity Mathematical model EGARCH
Content Type	Text
Resource Type	Article

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