本篇研究主要目的在於檢驗一般化一因子及二因子利率隨機過程模型何者對於臺灣貨幣市場利率 變動行為模式最具解釋能力。再運用模型所求得之 利率變動估計值及當期市場遠期利率，求解二項分 配未來短期利率之各結點估計值，形成二項分配利 率期限結構。由於二項分配利率期限結構為一任意 形態之樹狀結構，且同時考量過去利率波動程度及 市場對於未來之預期，故此一模型將可運用於對未 來利率水準之預測或作為存續期間模型之折現率以 改善利率風險衡量之理論限制。

本研究運用GARCH模型作為估計參數之計量模型。經由實證結果分析，可規納以下幾點結論： 一、一般化一因子模型較考量波動性之二因子模型對於臺灣貨幣市場利率變動行為模式更具解釋能力。二、利率隨機過程模型對真實市場利率變動之解釋能力，隨資料來源天期增加逐步降低。（30天期優於180天期）三、欲以利率隨機過程模型估計利率波動動變異數參數，應避免建構太長天期之二項分配利率期限結構樹狀估計值。四、二項分配利率期限結構模型上之結點估計值，可視為符合過去波動程度及市場預期之未來利率水準上下限可能值，作為投資決策準則。 五、二項分配利率期限模型結點估計值，不僅決定於變動率，同時受模型估計期數個數影響。當個數越多時，上下限偏離程度越大。

中文部份：
1 ,莊武仁“利率期限結構及其檢定“貨幣市場簡訊 民國80年12月。
2 ,莊武仁 黃尹亭“臺灣貨幣市場利率期限結構之實證研究━━SR和DSR模型適用性之比較分析“臺灣銀行季刊 民國82年12月。
3, 李清賢“臺灣貨幣市場短期利率模型適用性之比較分析" 淡江大學金融研究所碩士論文 84年6月。
4, 鄭鼎立“壹灣地區貨幣市場利率非線性結構之探討”淡江大學金融研究所碩士論文 民國84 年6月。

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