Efficient moment estimation for stochastic volatility term structure of interest rate

It builds up a stochastic volatility interest rate term structure model to describe the behavior of financial market repo rate of national debt in China. It describes the heteroskedasticity character of interest rate by projecting the sample data onto the EGARCH (1,1) auxiliary model, makes making the covariance matrix as moment conditions and uses EMM to estimate the parameters. EMM avoids the disadvantage of infeasible or computationally intensive of maximum likelihood functions. The estimated parameters are all significant and reflect the mean reversion and heteroskedasticity characters. It concludes that the financial market repo rate of national debt in China can be described well by the stochastic volatility model.