本研究係在單因子利率模型架構下，以BHK模型與CKLS模型比較GARCH效果，並以NGARCH模型來解釋利率的動態波動，考量短期利率模型中的條件變異數在不同分配下，常態分配的假設是否為恰當的分配。在考量短期利率的波動性之後，結果發現利率不對稱現象並不存在，也就是當利率上漲或下跌時，其接下來的向下調整或向上調整幅度並無顯著差異。因此在短期利率模型中檢驗是否具不對稱性，將有助於改善各參數的估計分析，並且可更近一步執行金融相關商品的定價與避險工作。 實證結果顯示美國3個月期的國庫券利率，未受限制的Level-NGARCH模型對於解釋短期利率動態過程之能力明顯較受限制的模型要好。且實證結果顯示，條件變異數為Skewed t分配的NGARCH-Skewed t模型，對於解釋短期利率模型之動態過程顯著比條件變異數為常態分配還要來的精確。最後發現不對稱效果並無顯著的存在NGARCH-Skewed t模型之中，但偏態顯著存在於模型中，因此NGARCH-Skewed t模型可視為短期利率之最佳模型。 This paper examines the dynamics model of short-term interest rate under the one-factor interest rate structure model. This paper compares the GARCH result with the CKLS and BHK models. Then we explain the dynamic volatility of the short-term interest rate with the NGARCH model, considering the conditional variance in normal and Skewed-t distribution. We also consider the volatility of short-term interest rate, based on the assumption that, in the primary model, the symmetrical response appears in the change of interest rate. However, we find that the asymmetric phenomenon exists in economic situation and that the short-term interest rate model has not asymmetry. The empirical research points out that the unrestricted Level-NGARCH model is better than the restricted model in terms of 3-month interest rate of Treasury Bill, and that the modeling of the linear drift NGARCH- Skewed t in the short-term interest rate is the best. The asymmetric effect is significant in this model. I develop some asymmetric framework in mean function. When estimating the nonlinear drift NARCH model, the asymmetric response in the drift function is the best model.
