CAJ | 학술논문

由于我国的债券市场被人为地分成交易所市场和银行间市场，不同的国债投资主体被限制在不同的国债流通市场进行交易，因此国外的债券收益率的理论和模型并不能完全的适用于中国现状。目前，我国相关的主要研究大都针对某个特定的市场或某种特定的方法，缺乏一种完整的收益率模拟方法和评价体系，其一般仅对其中一个市场进行收益率的波动性分析，本文对交易所国债收益率建立ARIMA—TARCH模型并进行预测，预测评价指标和误差分析指标表明其具有很高的精度和预测能力。
유우아국적채권시장피인위지분성교역소시장화은행간시장，불동적국채투자주체피한제재불동적국채류통시장진행교역，인차국외적채권수익솔적이론화모형병불능완전적괄용우중국현상。목전，아국상관적주요연구대도침대모개특정적시장혹모충특정적방법，결핍일충완정적수익솔모의방법화평개체계，기일반부대기중일개시장진행수익솔적파동성분석，본문대교역소국채수익솔건립ARIMA—TARCH모형병진행예측，예측평개지표화오차분석지표표명기구유흔고적정도화예측능력。
because our country＇s bond market by people into exchange market and interbank market, different national debt investment entities in different national debt is limited circulation market transactions, so foreign bond yields theory and model and could not fully is applicable for the status quo. At present, our country related research mostly aimed at a particular market or a specific method, a lack of complete yields simulation method and evaluation system, its general only to one of the market, the paper analyzes the volatility return to exchange Treasury yields establish ARIMA model and forecasting - TARCH, predicting evaluation index and error analysis index shows that it has high accuracy and forecasting ability.