Abstract :
In this paper, we use the VaR model to study the daily weighted average interest rate of the interbank market in
China from January 4, 2013 to October 30, 2014, and establish the interest rate risk measure of China's interbank
lending market based on GARCH model (GARCH (1,1) / TARCH (1,1) / EGARCH (1,1)), the following conclusions
are drawn: t distribution is not suitable for describing the distribution of interbank lending rate series in China, the generalized error distribution Which can better describe the distribution of interbank lending rates in China. According to the sample data, the risk of interbank lending rates at the present stage is also low.
Keyword :
VaR model; interbank market lending rate; GARCH family model