Mathematical Problems in Engineering / 2014 / Article / Tab 2

Research Article

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.

SeriesModel name Parameters Log likelihood

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

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