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Percentiles of the distribution of mean returns and standard deviations over time

Percentiles of the distribution of mean returns and standard deviations over time

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Figure 4.1: Sensitivity of CIR model to α Figure 4.2: Sensitivity of...
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+5 Figure 4.11: Vasicek Simulations with least RMSE 6.424% and 7.37%
MODELLING INTEREST RATES USING THE COX-INGERSOLL-ROSS (CIR) AND THE VASICEK MODELS
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  • Nov 2022
The purpose of this study is to model Average Monthly 182-Day Treasury Bill Interest Rate Equivalent In Ghana using the Cox-Ingersoll-Ross and Va sicek models. These models are examples of One-factor short rate models because they describe interest movements driven by a particular market risk and thus are widely used among financial institutions. T...
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