Thank you in advance. I use the yield to maturity of 2year, 3year, 5year and 7year japan government bond from 1989-2019 as my data (i.e. the name of my data is vasicdata), they are all daily data, and each year contains 261 daily data, so I use:


est.vasicek(vasicdata, method = "Hessian",
            days = 261, significanceLevel = 0.95)

and I got these results:

alpha = 0.1762 /+ 0.0000,
beta = 1.3912 /+ 0.0000,
sigma = 34.0658 /+ 0.0000,
q1 = -0.0081 /+ 0.0000,
q2 = 0.0792 /+ 0.0000,
phi = 0.9981,
phiest = 0.9993 /+ 0.0000
  1. Why is the sigma so large? Is it the problem of the yield to maturity data? Should I use the data of spot rate? If so, how can I change the YTM into spot rate?

  2. If I don't use the package SMFI5 in R, could anyone tell me how to use the Maximium Likelihood Estimation (MLE) method to estimate the parameters?


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