本研究係在單因子利率模型架構下，先以BHK模型與CKLS模型比較GARCH效果，再以NGARCH模型來解釋利率的動態波動，並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的存在，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未必相同。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，在美國3個月期與6個月期的國庫券利率中，未受限制的Level-NGARCH模型對於解釋短期利率動態過程之能力，比受限制模型還要來的為佳。其次，在條件變異數為GED分配的NGARCH-GED模型中，對於解釋短期利率模型之動態過程比為常態分配還要來的精確。最後，不對稱效果並無顯著的存在模型之中。 This paper examines the dynamics model of a short-term interest rate under the one-factor interest rate structure model. First, 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 GED distribution. We also consider the volatility of the 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 asymmetry. The empirical research points out that the unrestricted Level-NGARCH model is better than the restricted model in terms of 3-month and 6-month interest rate of Treasury Bill, and that the modeling of the linear drift NGARCH-GED in the short-term interest rate is the best. Finally, the asymmetric effect is not significant in this model.
