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<p>Based on the Ho-Lee interest rate term structure model, this paper gives a new method to measure interest rate volatility by using the yield curve of China ’s treasury bonds from January to December 2023 and the four types of interest rate futures trading data listed on China Financial Futures Exchange. The results show that the volatility of long-term interest rate is significantly lower than that of short-term interest rate, and the interest rate level is negatively correlated with the implied volatility of interest rate. There is a certain causal relationship between the change of interest rate futures yield and the change of interest rate futures trading volume. The model in this paper does not need to be affected by the type and scale of options in the option market, and the scope of application is larger.</p>

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A New Method to Measure Interest Rate Volatility Based on Interest Rate Futures

  • 期刊论文

  • 发表日期：

    2025年10月15日

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  • Qi Han,
  • Haipeng Yu,
  • Xinzhou Xia

摘要

Based on the Ho-Lee interest rate term structure model, this paper gives a new method to measure interest rate volatility by using the yield curve of China ’s treasury bonds from January to December 2023 and the four types of interest rate futures trading data listed on China Financial Futures Exchange. The results show that the volatility of long-term interest rate is significantly lower than that of short-term interest rate, and the interest rate level is negatively correlated with the implied volatility of interest rate. There is a certain causal relationship between the change of interest rate futures yield and the change of interest rate futures trading volume. The model in this paper does not need to be affected by the type and scale of options in the option market, and the scope of application is larger.