Based On CKLS Model Of Interest Rate Term Structure Research In China

This paper study the term structure of interest rate in China, based on the CKLSmodel, including the two characteristics of interest rate volatility clustering and jump,while these two characteristics of interest rate in the previous domestic studies arerarely considered or just one of them.Firstly, the paper reviewes the interest rate term structure theory development，and various model development are expounded in detail, pointing out the advantagesand disadvantages of various models, basing on which to draw CKLS model, becausethe CKLS model is a general model, and its practicality has been proved.Then thispaper analyzes reasons of choosing sample data, and makes a brief analysis andsample data statistical characteristics test. A detailed statistical test of interest ratevolatility clustering feature and jump characteristics is finished, and the ARCH modelis used to describe volatility clustering features, as well as introducing the latestresearch results on the interest rate jump characteristics to the CKLS model. Theexisting interest rate term structure research are always on the interest rates of thesetwo characteristics of one-sided, and also have a little flaw in the chosen methods. Onthe study of term structure of interest rates, when estimating the model parameters,the general methods are the maximum likelihood method and the GMM estimation,but these two methods all have some deficiencies. This paper chooses the Markovchain Monte Carlo method, which has good characteristics, and introduces thismethod in detail, then the empirical model is described systematically. Based on theMonte Carlo method selected in this article by Gibbs sampling, empirical research hasworked, and basing on the estimated parameter values term structure of zero-couponbond curve is obtained.The jumping characteristics and volatility clustering feature can’t be ignoredabout research of stochastic interest rate model in china, because one-sided research isinsufficient. The analytical formula of resulting term structure and the curve can beused as a reference for interest rate policy making and pricing for relating products.