Empirical result shows that ARMA (1,1)-GARCH (1,1) model provide a successfully simulation by explaining strongly the volatility clustering, durative and leverage effects in enterprise bond markets.

• 结果表明ARMA(1,1)-GARCH(1,1)模型可以合理解释企业债券市场波动存在的持续性、丛集性和杠杆效应。