I am trying to compare two different values of speed of mean reversion parameter for CIR model. I would like to know if there exists a statistical test for comparing these two parameters. the estimate of speed of mean reversion is being calculated as follows: $$ \alpha = \frac{1}{2\delta t}ln(1-(\frac{\sigma_{shortTerm}}{\sigma_{longTerm}})^2) $$ Where, $\alpha$ is the speed of mean reversion. $\sigma_{shortTerm}$ and $\sigma_{longTerm}$ are the short term and long term volatilities respectively. $\delta t$ is the time step.

so basically,I have two estimates of $\alpha$. Lets call them $\alpha_1$ and $\alpha_2$. Is there a statistical test to compare these two estimates.

  • $\begingroup$ Please define how you are computing the two volatility estimates. $\endgroup$ – oliversm Jun 12 at 21:17

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