In this paper we model the interest rates of the R091 in Shanghai Security Exchange and find that there shows great mean reversion in the studying period and the velocity of the mean reversion is slow. Of the three models we considered, the model with the GARCH effect and level effect is the best. The ability of forecasting is strong not only in the sample test but also outside of the sample test.
谢赤, 陈晖. 上海证券交易所R091国债回购利率行为的描述与分析[J]. J4, 2004, 1(1): 53-.
XIE Chi, CHEN Hui. Description and Analysis on Behavior of the Interest Rates of the R091 in the Shanghai Security Exchange. J4, 2004, 1(1): 53-.