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在短期利率的扩散跳跃模型基础上,进一步考虑了模型扩散项方差自相关性、非对称性以及跳跃项的均值回复性等设定,以捕捉短期利率的均值回复、波动率集聚、非零偏态和超额峰度以及非连续性等特征。利用上海银行同业拆放市场(SHIBOR)日交易利率数据得出以下结论。首先,SHIBOR利率市场存在均值回复效应,由跳跃设定引起的混合正态分布能捕捉利率增量的尖峰特征。其次,利率增量方差遵循显著的非对称自相关过程,且正的冲击会产生更大的波动性,导致有偏分布。最后,跳跃是利率均值回复速率的重要组成部分,也是利率的水平值动态尤其是波动性动态的重要来源。
Based on the diffusion jump model of short-term interest rate, this paper further takes into account the variances autocorrelation and asymmetry of the model diffusion term and the average recovery of the jump term, etc. to capture the mean recovery of short-term interest rate, volatility accumulation, non-zero deviation State and excess kurtosis and discontinuities and other characteristics. The following conclusions are drawn from the SHIBOR daily trading interest rate data. First, the SHIBOR interest rate market has a mean-reversion effect. The mixed normal distribution caused by the jump setting can capture the spike characteristics of interest rate increments. Second, the variance of interest rates follows a significant asymmetric autocorrelation process, and positive shocks produce greater volatility, resulting in a biased distribution. Finally, jumps are an important part of the rate-of-interest rate recovery and an important source of interest rate level dynamics, especially volatility dynamics.