DocumentCode
524685
Title
Analysis on the Volatility of SHIBOR
Author
Yang, Qi ; Zhang, Xiaofeng
Author_Institution
Dept. of Finance, Changsha Univ. of Sci. & Technol., Changsha, China
Volume
1
fYear
2010
fDate
28-31 May 2010
Firstpage
518
Lastpage
521
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/CSO.2010.140
Filename
5533165
Link To Document