Research on the Application of Var Model in Shanghai Interbank Lending Market

Abstract

Based on the Shibor data of China's Shanghai Interbank offered rate from May 15, 2017 to May 15, 2022, this paper comprehensively discusses the construction methods of various GARCH family models under different residual difference distribution, and adopts the out-of-sample forecasting method of rolling time window. The forecast value of interest rate volatility under different model assumptions is calculated empirically, and the VaR is calculated based on it. Through empirical research, we draw the following conclusions: (1) t distribution can better describe the distribution of the series of Shanghai Interbank offered rate; (2) The leverage effect of Shanghai Interbank Offered rate series is significant; (3) At present, there are certain interest rate risks in Shanghai inter-bank lending market.