Overnight Index Rate: Model, Calibration, and Simulation

Yuriy Yashkir and Olga Yashkir

MPRA Paper from University Library of Munich, Germany

Abstract: In this study the extended Overnight Index Rate (OIR) model is presented. The fitting function for the probability distribution of the OIR daily returns is based on three different Gaussian distributions which provide modelling of the narrow central peak and the wide fat-tailed component. Calibration algorithm for the model is developed and investigated using the historical OIR data.

Keywords: Overnight Index Rate; Fat tailed distribution; Calibration; Interest Rate Simulation (search for similar items in EconPapers)
JEL-codes: C02 C15 C16 C22 (search for similar items in EconPapers)
Date: 2013-06-12
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:47574

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