Research on the Price Prediction Ability of Affine Model on Chinese Inter-bank Treasury Bond Market

The paper makes an empirical study on the prediction ability of two-factor affine model on Chinese inter-bank Treasury bond market.The results indicate that,as for Treasury bonds with the middle-short term of 3 or 4 months,the model possesses smaller prediction error and higher reliability.Furthermore,it establishes an index of prediction results based on the MLE framework,and confirms that the model's parameters are featured by better stability.Then,it provides a self-correction method which can reduce the prediction error,especially for Treasury bonds with the prediction term longer than 4 months.