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

Table 4

The fitting errors of the SHIBOR two-factor Vasicek model.

Error analysis	Variance	Mean square error	Average relative error	Maximum absolute value error
O/N	0.004204	0.012904	0.06176	1.700516
1 week	0.004475	0.015309	0.068809	2.191315
2 weeks	0.0047	0.015163	0.060387	3.148987
1 month	0.0026	0.003363	0.028864	1.182393
3 months	4.94𝐸−04	0.000162	0.003235	0.220396
6 months	9.36𝐸−04	0.000883	0.016326	0.967795
9 months	5.89𝐸−04	0.00054	0.014141	0.348812
1 year	0.0012	0.00023	0.013917	0.215112