VoseTimeShortTermInterestRate

See also: Time series in ModelRisk

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

 

 

 

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.

 

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