Overnight Index Rate: Model, calibration and simulation

Olga Yashkir and Yuri Yashkir

Cogent Economics & Finance, 2014, vol. 2, issue 1, 1-11

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. The calibration algorithm for the model is developed and investigated using the historical OIR data.

Date: 2014
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DOI: 10.1080/23322039.2014.936955

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