Overnight Index Rate: Model, Calibration, and Simulation

Yashkir, Yuriy and Yashkir, Olga (2013): Overnight Index Rate: Model, Calibration, and Simulation.

Abstract

In this study the extended Overnight Index Rate (OIR) model is presented. The fitting function for the probability distribution of the OIR daily returns is based on three different Gaussian distributions which provide modelling of the narrow central peak and the wide fat-tailed component. Calibration algorithm for the model is developed and investigated using the historical OIR data.

• Item Type: MPRA Paper
• Language: English
• Keywords: Overnight Index Rate, Fat tailed distribution, Calibration, Interest Rate Simulation
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; ; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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