According to weekly data of half-year interest rate derived from the trading prices of Government bonds in the Shanghai Stock Exchange, and by the SNP approach, conditional density of the half-year interest rate is estimated, to find that the density shows obvious heteroskedasity and no-normality. By the EMM approach, continuoustime interest rate models are estimated and tested. The single-factor models include the Vasieek model, the CIR model, and the CKLS model, eet. The two-factor models include the stochastic volatility model proposed by Gallant and Tanehen, and the stochastic mean model proposed by Balduzzi et al. The results show that all the single-factor models cannot match dynamic change of the short interest rate, and the CKLS model does the best among them. The stochastic mean model cannot catch dynamic change of the short interest rate eirther. Only the stochastic volatility model can fit the dynamic statistical behavior of the change in short interest rate