{"title":"Analysis on the Volatility of SHIBOR","authors":"Qi Yang, Xiaofeng Zhang","doi":"10.1109/CSO.2010.140","DOIUrl":null,"url":null,"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.","PeriodicalId":427481,"journal":{"name":"2010 Third International Joint Conference on Computational Science and Optimization","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2010 Third International Joint Conference on Computational Science and Optimization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CSO.2010.140","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
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.
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