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

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.