Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes

Table 1

Summary statistics of daily returns for time series of the return of SHIBOR.

Index	Minimum	Maximum	Mean	Std. Dev.	Skewness	Kurtosis
O/N	−1.0782	0.7759	5.5152𝑒−005	0.0972	−0.2589	26.9025
1 week	−1.2333	0.7795	1.8154𝑒−004	0.1127	−1.0119	22.0629
2 weeks	−1.5153	0.7323	1.8669𝑒−004	0.0969	−2.7083	53.9854
1 month	−0.7899	0.2847	2.5266𝑒−004	0.0478	−4.5803	82.1696