Emipirical Research on Term Structure of Buy-Back Rates Based on EGARCH Model

There is a great significance to research the term structure of interest rate based on the background of China´s gradual marketization of interest rates. In the paper, the dynamic changing situations of buy-back rates are researched and time series theories, such as GARCH and EGARCH model, are respectively applied to estimate the term structure of buy-back rates. The empirical results show that (1) as to the fitting results, the EGARCH model is better than the GARCH model for fitting the term structure of 1 day, 7 days, 14 days, 21 days, 2 months, and 3 months buy-back rates; (2) the 1 day, 14 days, 1 month, 2 months, 3 months buy-back rates have very strong mean-reversion characteristic, but 7 days, 21 days buy-back rates have not; (3) diffusions of term structure of the 1 day, 7 days, 14 days, 21 days, three months buy-back rates have reverse lever effect, but 1 month and 2 months buy-back rates have symmetrical fluctuation.