Dynamic Research for Term Structure of Shibor Based on EGARCH

In order to promote the market-based process of interest rate, Time series theories, such as GARCH and EGARCH model, are respectively applied to estimate the term structure of Shibor based on the basic model. The empirical results show: 1) As to the fitting results, the EGARCH model is better than the GARCH model for fitting the term structure of one week, two weeks, one month, 3 months, 6 months, 9 months and one year Shibor except the overnight shibor. 2) The overnight, one week, two weeks, one month Shibor have very strong mean-reversion characteristic, but 3 months, 6 months, 9 months and one year Shibor does not have remarkable linear mean-reversion characteristic. 3) Diffusions of term structure of overnight, 6 months, 9 months, and one year Shibor are symmetrical, but diffusions of one week, two weeks, 1 month, 3 months, have obvious asymmetry.