CAJ | 학술논문

在单因子短期利率CKLS模型的基础上，对扩散项采用包含非对称GARCH的设定，从而允许利率波动率的动态性既依赖于未预期信息的影响，也依赖于信息正负性的差异化影响。利用极大似然法估计了上海银行同业拆放利率市场（SHIBOR）数据的模型参数，并评价了模型的拟合优度和预测能力。结论显示，非对称GARCH模型反映了SHIBOR利率市场存在显著的均值回复效应、未预期信息冲击效应和非对称效应。而相比之下，忽视了未预期信息影响的标准CKLS模型的实证显示，利率均值回复效应在1％的水平上并不显著，均值回复速度明显较低，而利率弹性参数虽然显著，但却过高地估计了利率市场水平效应的程度。同时，非对称GARCH模型也具有较高的拟合优度和波动率预测能力。
재단인자단기리솔CKLS모형적기출상，대확산항채용포함비대칭GARCH적설정，종이윤허리솔파동솔적동태성기의뢰우미예기신식적영향，야의뢰우신식정부성적차이화영향。이용겁대사연법고계료상해은행동업탁방리솔시장（SHIBOR）수거적모형삼수，병평개료모형적의합우도화예측능력。결론현시，비대칭GARCH모형반영료SHIBOR리솔시장존재현저적균치회복효응、미예기신식충격효응화비대칭효응。이상비지하，홀시료미예기신식영향적표준CKLS모형적실증현시，리솔균치회복효응재1％적수평상병불현저，균치회복속도명현교저，이리솔탄성삼수수연현저，단각과고지고계료리솔시장수평효응적정도。동시，비대칭GARCH모형야구유교고적의합우도화파동솔예측능력。
In this paper,based on the single factor CKLS model for the short-term interest rate,we focus on the Asymmetric GARCH specification for diffusion terms and allow the dynamics of the shortterm interest rate volatility to be determined by the unexpected information shocks and the differential effect on the positive and negative information. Using maximum likelihood approach,we give an estimation of the dynamic behavior of short term rates of the Shanghai Inter-Bank Offer Rate（SHIBOR）, and conclude that the asymmetric GARCH model can explain the clear effect of mean reversion,information shock and asymmetric impact. However,our empirical results of standard CKLS model also show that there are a non-significant mean reversion effect on 1% level and a lower reversion speed, and an overstated significant elasticity parameter estimator. And the Asymmetric GARCH model gives better goodness of fit and the capability of level and volatility forecast.