双因子SV利率波动模型的Bayes估计

The Application of Bayes Estimation on Two-factor Interest Rate Volatility Model

运用多元SV模型描述利率的波动性建立双因子SV利率波动模型,运用Bayes估计方法对模型进行参数估计,对短期利率的预测发现SV模型能很好地描述利率的波动性,且运用Bayes方法能得到较好的结果。

Build two-factor interest rate model by introducing SV model into two-factor Vasicek model, estimate the parameters of the models and find SV model behaves good and the results are better than when use Bayes estimation than when use the maximum likelihood estimation.