Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

Blog Article

With the development of the Chinese interest rate market, SHIBOR is playing an increasingly important role.Based on principal component analysing SHIBOR, a two-factor Vasicek model Right Side Console Cover is established to portray the change in SHIBOR with different terms.And parameters are estimated by using the Kalman filter.The model is also used to fit and forecast SHIBOR with different terms.

The results show that two-factor Vasicek Wine Tumbler model fits SHIBOR well, especially for SHIBOR in terms of three months or more.