Research Article
Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model
Table 1
Principal component analysis results.
| Principal component | Eigenvalue | The proportion of explanation | The accumulative proportion of explanation |
| 1 | 6.7432 | 0.8429 | 0.8429 | 2 | 0.9823 | 0.1228 | 0.9657 | 3 | 0.1395 | 0.0174 | 0.9831 | 4 | 0.0736 | 0.0092 | 0.9924 | 5 | 0.0362 | 0.0045 | 0.9969 | 6 | 0.0221 | 0.0028 | 0.9997 | 7 | 0.0027 | 0.0003 | 1.0000 | 8 | 0.0003 | 0.0000 | 1 |
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