Title :
Analysis on the Volatility of SHIBOR
Author :
Yang, Qi ; Zhang, Xiaofeng
Author_Institution :
Dept. of Finance, Changsha Univ. of Sci. & Technol., Changsha, China
Abstract :
This paper constructed GARCH Models to analyze the volatility of term-products of SHIBOR (Shanghai Inter-Bank Offered Rate), and found that short-term and long-term interest rate products have different characteristics of return volatility, non-normality and conditional heteroscedasticity, and GARCH models can fit the volatility of SHIBOR well.
Keywords :
bank data processing; GARCH models; SHIBOR volatility; Shanghai inter-bank offered rate; long-term interest rate products; short-term interest rate products; GARCH Model; SHIBOR(Shanghai Inter-Bank Offered Rate); Volatility;
Conference_Titel :
Computational Science and Optimization (CSO), 2010 Third International Joint Conference on
Conference_Location :
Huangshan
Print_ISBN :
978-1-4244-6812-6
Electronic_ISBN :
978-1-4244-6813-3
DOI :
10.1109/CSO.2010.140
