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I need to to estimate the parameters of vasicek model to predict the zero curve. My database has 4k daily observations of zero rate for 37 maturities. My question is do I have to estimate the model parameters for each maturity ?

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  • $\begingroup$ By 37 maturities I understand, that you have got zero curves for 1 year, 2 year and so on. The "simple" vasicek model models single yield process: victor-bernal.weebly.com/uploads/5/3/6/9/53696137/… $\endgroup$ – DataAdventurer Apr 21 '20 at 7:10
  • $\begingroup$ Thank you for your comment. I have zero curves for the last 4000 days. What I'am specifically asking is when it comes to the instantaneous rate that I'll use to calibrate the model i.e r(t) = a +b*r(t-1) + epsilon , can I use the zero rate for 1day maturity considering it's the shortest maturity I've got ? I've seen people in other papers using the overnight interbank rate. @DataAdventurer $\endgroup$ – Sizirr01 Apr 21 '20 at 13:25

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