VoseTimeLongTermInterestRate | Vose Software

VoseTimeLongTermInterestRate

See also: Time series in ModelRisk, VoseTimeShortTermInterestRateA

VoseTimeLongTermInterestRate(QMU, QSD, QA, YSD, CMU, CSD, CA, CW, CD, CY, CAA, CAAA)

 

 

 

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

  • 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

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

 

ModelRisk

Monte Carlo simulation in Excel. Learn more

Spreadsheet risk analysis modeling

Tamara

Adding risk and uncertainty to your project schedule. Learn more

Project risk analysis

Navigation

Enterprise Risk Management software (ERM)

Learn more about our enterprise risk analysis management software tool, Pelican

Enterprise risk management software introduction