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.

 

ModelRisk

Monte Carlo simulation in Excel. Learn more

Tamara

Adding risk and uncertainty to your project schedule. Learn more

Navigation

FREE MONTE CARLO SIMULATION SOFTWARE

For Microsoft Excel

Download your free copy of ModelRisk Basic today. Professional quality risk modeling software and no catches

Download ModelRisk Basic now

FREE PROJECT RISK SOFTWARE

For Primavera & Microsoft Project

Download your free copy of Tamara Basic today. Professional quality project risk software and no catches.

Download Tamara Basic now
-->