Based on the nested interest rate term structure models and general moment estimation, we have studied the statistic dynamics of the Chinese interest rate and its derivative markets with the empirical data of the Shanghai interbank offered rate (Shibor). The values of estimation and statistic inference were comparatively studied,and the results have indicated that the models most suitable to the data of the Shibor market are those that allow the conditional volatility of interest rate change to be highly dependent on the level of the interest rate.