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