<t>I am looking for help in parameterizing the CIR short rate model. I followed the procedure of using an OLS regression to estimate the mean reversion and long-run equilibrium terms, and then regressing the squared residuals from the OLS against the lagged (t-i) rate values toi estimate the volatil...

<t>Papercut, Thanks for responding. So, if my parameter estimates give me the model dr =.0118(.05124-rt)dt + .0003 dWt, when fitted to daily data, would my annualized model be dr = 2.97(.05124-rt)dt + .00476 dWt, where 2.97 = .0118 * 252 and .00476 = .0003 * sqrt(252)?Let me know if you have a chanc...

<t>I am calibrating a Vasicek-type simulation process. In searching for usable parameter estimates, I came across this older forum thread. I estimated the Vasieck parameters for my data using the regression (and checked the results against the Brigo-Mercurio estimators). To compare the methodology a...

<t>I am calibrating a Vasicek-type simulation process. In searching for usable parameter estimates, I came across this older forum thread. I estimated the Vasieck parameters for my data using the regression (and checked the results against the Brigo-Mercurio estimators). To compare the methodology a...