VoseTimeShortTermInterestRate

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See also: Time series in ModelRisk

VoseTimeShortTermInterestRate(QMU,QSD,QA,YSD,CMU,CSD,CA,CW,CD,CY,CAA,CAAA,BMU,BSD,BA)

The Wilkie Models window

Array function that models Wilkie's Short Term Interest Rate time series model.

• {Price inflation} - array with price inflation data.

• QMU - Mean force of inflation.

• QSD - standard deviation of force inflation.

• QA - autoregression coefficient.

• YSD - Standard deviation of residual.

• CMU - Mean yield in excess of inflation.

• CSD - Standard deviation of residual.

• CA - autoregression coefficient.

• CW - inflation factor.

• CD - Inflation autoregression coefficient.

• CY - Share links yield factor.

• CAA - second order correlation coefficient.

• CAAA - third order correlation coefficient.

• BMU - log of interest rate ratio.

• BSD - standard deviation of residual.

• BA - autoregression coefficient.

As the ModelRisk Time Series functions typically take a lot of parameters, we recommend for these in particular to use the Wilkie Models window.