Research Article
Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model
Table 5
Analysis results of prediction errors of SHIBOR two-factor Vasicek model.
| Error analysis | Variance | Mean square error | Average relative error | Maximum absolute value error |
| O/N | 0.004308 | 0.019736 | 0.127703 | 0.232284 | 1-week | 0.003746 | 0.008812 | 0.080438 | 0.118666 | 2-week | 0.009814 | 0.036827 | 0.14746 | 0.080697 | 1-month | 0.008153 | 0.028611 | 0.13772 | 0.301889 | 3-month | 0.001746 | 0.001335 | 0.032295 | 0.043602 | 6-month | 0.004104 | 0.008984 | 0.088007 | 0.054531 | 9-month | 0.004801 | 0.01201 | 0.104805 | 0.074383 | 1-year | 0.004243 | 0.008834 | 0.086004 | 0.049985 |
|
|