It builds up a stochastic volatility interest rate term structure model to describe the behavior of financial market repo rate of national debt in China.
2
以国债回购利率为研究对象,分别建立ARIMA及GARCH模型,并比较这两种模型的预测能力。
The repo rate of the national bond is analyzed and ARIMA and GARCH models related to the rate are established in this paper.
Using this interest margin for risk-free arbitrage not only avoids financial risk but also takes full advantage of fund value, getting much higher profits than bank deposit rates.