Research On The Prediction For The Volatility Trend Of Shibor Under The Fractual Characteristic

As the barometer of bank capital,the interbank offered rate can felect the supply and demand of money in the market.Therefore,in terms of Chinese financial market,the research on the volatility trend of Chinese interbank offered rate represented by Shibor is important for the product pricing of financial institutions or the adjustment for the structure of assets and liabilities of financial institutions,and even the open market operations takened by the central bank in oder to maintain the stability and security of financial market.However,although there is an very important significance for predicting the volatility trend,confined to the traditional science concept and contrainded by research methods,existing studies are still in the control of the linear paradigm.The GARCH model is mainly used to predict the volatility trend of Shibor,which should improve the prediction accuracy.Considering the financial market to be a complex nonlinear system and exist a general fractal characteristic,the Shibor market is very likely to have fractal characteristics.At this time,if don't consider the actual characteristics of Shibor and still use GARCH model to predict the volatility trend of Shibor,the prediction result will be not ideal,which is difficult to provide decision-making reference for the practical community and serve the practical application.Therefore,the theme of this paper is how to predict the volatility trend of Shibor to provide decision-making reference for practitioners under the background of the fractal characteristic of Shibor volatility.The main contents and conclusions of this paper are as follows:Fist,the empirical research tests the prediction accuracy for the volatility trend of Shibor.The result shows that the GARCH model is difficult to predict the volatility trend of Shibor,which indicats that a new approach should be constructed to predict the volatility trend of Shibor for improving the prediction accuracy.Second,the empirical research analysises the reseason that GARCH model is difficult to predict the volatility trend of Shibor.The result shows that Shibor has the fractual volatility character that belongs to the complex nonlinear structure.GARCH model is linear analysis method,which uses linear method to predict the volatility trend with nonlinear structure errors that can hardly be avoided.Third,under the reality that Shibor has fractual volaitility characteristic,the nonlinear prediction method based on the trend entropy dimension is contructed and the result shows that the method can improve the prediction accuracy for the volatility trend of Shibor.It can better predict the volatility trend of Shibor and serve the practical application.The possible innovation of this paper lies in: first,in light of the importance of the prediction of the volatility trend of Shibor and the present situation that the GARCH model is difficult to predict the volatility trend of Shibor,the defects of the GARCH model that predict the volatility trend of Shibor is analysed and the result shows that Shibor has the fractual volatility trend characteristic.Sencond,under the real situation that Shibor volatility has fractual characteristic,the nonlinear prediction method based on trend entropy dimension is constructed to predict the volatility trend of Shibor which improves the prediction accuracy and more conducive to practical application.