台灣短期利率模型之預測績效

The Forecasting Performance of Taiwan short-term Interest Rate Models

李政峰(Cheng-Feng Lee) ； 連春紅(Chun-Hung Lien) ； 陳榮方(Jung-Fang Chen) ； 楊敏里(Min-Li Yang)

《企業管理學報》 68期 (2006/03) Pp. 57-86

摘要

連續時間的利率模型在衍生性產品訂價與風險管理上至為重要，本文由預測績效的角度估計並比較連續短期利率模型在實證上表現，以選擇最適合描述台灣商業本票利率的模型。在參數估計方面，本文使用Nowman(1997)之近似做法將連續的利率過程寫成間斷模型，再利用準最大概似法(QML)估計之，並以資料的配適及樣本外預測績效之優劣比較各模型。實證結果顯示，台灣短期利率具有均數復歸現象，且波動性受利率水準值的影響，其敏感度係數估計值小於1，遠低於CKLS(1992)與Nowman(1997)所報導的美國實證結果；相較於一般化的未受限制利率模型，台灣短期利率以CIR-SR模型在資料配適度表現最好，但在預測績效之表現方面，考慮均數復歸且波動性隨利率水準值變動，並不能提升模型預測之精確度。

關鍵字

短期利率模型 ； CKLS模型 ； 均數復歸 ； 樣本外預測績效

並列摘要

Continuous time interest rate models are very important in the pricing of derivative products and risk management. This paper estimates and compares several continuous short-term interest rate models, then attempts to find out the best interest rate model for Taiwan Commercial Paper. This study utilizes QML to estimate and compare the performance of continuous time short-term interest rate models of Taiwan Commercial Paper rate. It discretizes the continuous time models by using approaches of Nowman (1997), then this paper uses weekly and monthly data to estimate the parameters. The models are evaluated by data fit and out-of-sample forecasting performance. As for as Taiwan short-term interest rate is concerned, mean reversion exists and the relationship between the volatility of rate and the level is less than 1 and smaller than that of American T-bill rate reported in CKLS(1992) and Nowman (1997). This study also finds that CIR-SR model performs the best in terms of data fit, but not for forecasting performance.

並列關鍵字

short-term interest rate model ； CKLS model ； mean reversion ； out-of-sample forecasting performance

參考文獻

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