先详细介绍了利率期限结构模型，然后考虑到实际经济生活中的时间等因素会影响到利率瞬时波动率，因此将GARCH模型引入到CIR模型中来模拟这种动态变化，基于 CIR模型和 CIR－GARCH 模型对我国同业拆借市场短期利率进行了实证分析，得出了CIR－GARCH（1，1）更能够模拟和刻画我国银行间同业拆借利率变动情况的结论。%This paper gives a comprehensive introduction to the term structure of interest rates .However, in the actual eco-nomic life, instantaneous interest rate volatility will be affected by some other factors, such as time, external shocks.Since the time and external impact factors of actual economic life can affect rates of instantaneous fluctuation rate , we add GARCH model in CIR model to simulate the dynamic change .In this paper we put up an empirical analysis to China's inter-bank lending market interest rates based on the CIR model and CIR-GARCH model, and obtain the conclusion that CIR-GARCH(1,1) can simulate the inter-bank lending market interest rates better .
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