上交所利率期限结构的三因子广义高斯仿射模型

本文以上交所债券价格隐含的利率期限结构数据作为分析对象,首先利用主成份分析法对利率期限结构的变化进行分析,发现需要两个至三个状态变量,利率模型才可能反映利率期限结构的变化。同时在以前的研究里,发现利率期限结构具有一定的可预测性,因此本文选择三因子广义高斯仿射模型描述上交所的利率期限结构。利用卡尔曼滤波法以及极大似然估计法,估计了连续时间的三因子广义高斯仿射模型,模型可以描述上交所利率期限结构的相对变化。

Modeling the Term-Structure of Yields in the SSE with Three-Factor Gaussian Essential Affine Model

With the data of term structures in the Shanghai Stock Exchange from January 1991 to July 2001,principal component analysis approach is used to study how many state variables of interest rate model are suitable to model the term structure changes in the SSE,and it indicates 2 or 3 factors are needed.With Kalman filter and maximum likelihood estimation approaches,three-factor continuous-time Gaussian essential Affine model is estimated.It is found that three-factor Gaussian essential Affine model can model relative changes of the yield curves very well.