Research of SHIBOR’s asymmetric volatility based on spectral clustering
DONG Hang
LI Shu-yuan
GUO Hong-xia
Abstract：With settlement data of eight kinds of Shanghai interbank offered rate (SHIBOR)as object,using multiple normalized spectral clustering analysis of modeling the representation of the object was analyzed,defi-ning the short-term and long-term products at the same time,and then with overnight interest rates the highest liquidity and better independence were selected as the research object,using EGARCH sequence of data mod-eling,the asymmetric effects of interest rate fluctuations were explered.The study found that:spreads jitter caused by the fluctuation in the unexpected was rising more than an unexpected negative interest rate differen-tials with amplitude jitter caused by higher volatility,SHIBOR time limit according to the product,represents a feature of the longer the time limit the better.
Keywords：SHIBORnormalized spectral clustering algo-rithmEGARCH modelasymmetric volatility
Publication Date：2016-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：7( 98-104 )