Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes

Table 2

Parameter estimates for the single-factor diffusion models.

Series	Model name	Parameters						Log likelihood
		𝜇	𝜎	𝜃	𝜆	𝜇𝐽	𝜎𝐽
O/N	Merton	0.386810	0.366409	—	—	—	—	−116.5897
	GBM	0.004838	0.102661	—	—	—	—	−79.4846
	Vasicek	0.059131	0.357140	2.182412	—	—	—	−67.1018
	CIR	0.185532	0.248036	5.304625	—	—	—	−38.2561
	MRJD	0.002212	0.045752	2.001096	0.054475	−0.047486	0.745071	−16.3986
1-Week	Merton	0.505131	0.452737	—	—	—	—	−108.7844
	GBM	0.006433	0.113952	—	—	—	—	−93.3939
	Vasicek	0.058609	0.442345	2.732211	—	—	—	−86.9711
	CIR	0.043466	0.219753	2.735201	—	—	—	−58.2525
	MRJD	0.003102	0.147420	2.408793	0.035441	−0.147026	1.165968	−13.5398
2-Week	Merton	0.529391	0.491417	—	—	—	—	−186.2086
	GBM	0.046521	0.093887	—	—	—	—	−106.2416
	Vasicek	0.058597	0.451624	2.731857	—	—	—	−105.7956
	CIR	0.027683	0.211341	2.803126	—	—	—	−68.6953
	MRJD	0.005202	0.210520	2.112525	0.042165	−0.22365	1.236651	−13.8344
1-Month	Merton	0.619768	0.252719	—	—	—	—	−164.5811
	GBM	0.013203	0.044481	—	—	—	—	−88.6862
	Vasicek	0.013835	0.243282	3.313312	—	—	—	−56.6224
	CIR	0.080097	0.105921	3.354525	—	—	—	−37.7186
	MRJD	0.001618	0.078245	2.000189	0.038285	0.023883	0.714316	−27.5073