JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2025, Vol. 60 ›› Issue (3): 33-40.doi: 10.6040/j.issn.1671-9352.0.2023.163

• Financial Mathematics • Previous Articles     Next Articles

Stochastic volatility analysis of interest rate based on MCMC model

HAN Qi, XIA Xinzhou   

  1. College of Mathematics and Statistics, Northwest Normal University, Lanzhou 730070, Gansu, China
  • Published:2025-03-10

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Abstract: Currently, researches on the interest rate volatility index are constructed on the basis of the interest rate derivative price model. To further expand the application scope of the implied interest rate volatility index, the properties of the stochastic volatility implied in the yield data information are studied on the basis of the interest rate volatility model. Based on the yield data of government bonds from January 2021 to February 2023, the yield data are modeled and analyzed by the Markov chain Monte Carlo(MCMC)model. The results show that the volatility of the long-term interest rate is significantly lower than that of the short-term interest rate. Because this paper uses the treasury bond yield as the basic data, compared with the volatility index in the option market, the model in this paper is not affected by the type and scale of options in the option market and has a greater range of application.

Key words: interest rate model, stochastic volatility, Markov chain Monte Carlo model, volatility index

CLC Number: 

  • O29
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