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 Lightweight Jackets analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms.And parameters are estimated by using the Kalman ASTERA DERMO-PROTECTIVE SHAMPOO filter.The model is also used to fit and forecast SHIBOR with different terms.The results show that two-factor Vasicek model fits SHIBOR well, especially for SHIBOR in terms of three months or more.