Volatility Research Based on SHIBOR

The research makes quantitative analysis of the volatility of SHIBOR based on the mainly four interest rates through the family of GARCH models by Eviews 6.0. Empirical results show that the family of GARCH models eliminates correlation of the original overnight interest rate and 1-week interest rate series successfully, and there is an obvious reversions in the asymmetric behavior of the volatility. All the results reflect that our interest rate setting mechanism is still not fully determined by the market, but influenced by government soundly. So it is necessary for all price offers to promote their internal management level, improve the pricing mechanism, especially the accuracy of SHIBOR which the term is more than 3 months so as to consolidate SHIBOR benchmark status.