Empirical Study On ARIMA Model In Short-Term Forecasting Of CHIBOR7

China inter-bank offered rate (CHIBOR) is the only market-directed interest rate in our country at the present time. The further research for this index makes great sense in properly pricing for the Interest Rate Derivatives devised by varies of financial institutions. Also this work is very necessary for People's Bank of China to adjust the level of interest rate or implement the monetary policy established effectively. This paper began with analyzing the characteristic of CHIBOR series and chose the representative CHIBOR7 series as the sample. Then the author used the Autoregressive Integrated Moving Average Process (ARIMA Model) to establish an appropriate forecasting equation for achieving accurate results. Eventually, the conclusion was made through the evaluation of the forecasting value.