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

Table 3

The parameter estimation results of the SHIBOR two-factor Vasicek model.

Parameter	𝛿0	𝛿1	𝛿2	𝑘1	𝑘2	𝜃1	𝜃2	𝜎1	𝜎2
O/N	0.0318	0.5431	−0.1387	1.1691	50.5979	0.0226	0.3002	−0.0129	0.3209
1 week	0.0247	0.4755	−0.5196	0.6111	7.3607	0.0126	0.044	−0.0252	0.0439
2 weeks	0.03136	0.4755	−0.5231	0.059	3.0249	0.014	0.0455	−0.0004	0.0017
1 month	0.05	0.6283	−0.0164	0.1789	0.846	0.0077	0.0292	−0.0079	0.0034
3 months	0.0428	0.3579	0.0002	0.0174	−0.0174	0.0016	0.0034	0.0271	0.0239
6 months	0.0429	0.3282	−0.0003	0.0172	0.2084	0.0022	0.002	−0.0087	0.0069
9 months	0.0544	0.3034	−0.0001	0.0204	0.1201	0.001	0.001	−0.0086	0.0051
1 year	0.0444	0.3666	−0.0002	0.0098	0.1129	0.0015	0.0012	−0.0063	0.0033