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J4  2004, Vol. 1 Issue (1): 53-    DOI:
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Description and Analysis on Behavior of the Interest Rates of the R091 in the Shanghai Security Exchange
 XIE Chi, CHEN Hui
Hunan University, Changsha, China

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Abstract  

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.

Key wordsbond repurchase      mean reversion      GARCH effect      level effect     
Received: 26 May 2004     
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XIE Chi
CHEN Hui
Cite this article:   
XIE Chi,CHEN Hui. Description and Analysis on Behavior of the Interest Rates of the R091 in the Shanghai Security Exchange[J]. J4, 2004, 1(1): 53-.
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http://manu68.magtech.com.cn/Jwk_glxb/EN/     OR     http://manu68.magtech.com.cn/Jwk_glxb/EN/Y2004/V1/I1/53
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