中文摘要：

在CKL5框架下，采用GMM估计方法，使用我国银行间同业拆借市场、国债回购市场和交易所国债回购市场上的利率数据，对各短期连续时间利率模型进行了参数估计和模型比较。实证结果表明，我国三个市场上的利率波动存在极为显著的均值回复特征。就模型对短期利率变化的解释能力和捕捉利率波动的能力而言，各模型也存在着显著的差异。

英文摘要：

Under CKIS model＇ s framework, the paper, according to the three seven - day interest rate data daily time series of China＇ s interbank offer market, inter - bank bond redemption market and Shanghai Stock Exchange＇ s bond redemption market, adopts generahzed method of moments using the programs of the Matlab to estimate each time continuous short - term interest rate model＇ s parameters and compare them. The empirical results show that a very evident reversion interest rate exists in our country＇ s three markets. As to the abihty for explanatory power of short- term interest rate and that for capturing conditional volatility, there are remarkably differences among each model.