Sim.DiffProc (version 2.8)

Irates: Monthly Interest Rates

Description

monthly observations from 1946--12 to 1991--02 number of observations : 531 observation : country country : United--States

Usage

data(Irates)

newcommand

\CRANpkg

href

http://CRAN.R-project.org/package=#1

pkg

#1

source

McCulloch, J.H. and Kwon, H.C. (1993). U.S. term structure data, 1947--1991, Ohio State Working Paper 93--6, Ohio State University, Columbus These datasets Irates are in package Ecdat.

References

Croissant, Y. (2014). Ecdat: Data sets for econometrics. R package version 0.2--5.

Examples

data(Irates)
rates <- Irates[,"r1"]
rates <- window(rates, start=1964.471, end=1989.333)

## CKLS modele vs CIR modele 
## CKLS :  dX(t) = (theta1+theta2* X(t))* dt + theta3 * X(t)^theta4 * dW(t)

fx <- expression(theta[1]+theta[2]*x)
gx <- expression(theta[3]*x^theta[4])
fitmod <- fitsde(rates,drift=fx,diffusion=gx,pmle="euler",start = list(theta1=1,theta2=1,
                  theta3=1,theta4=1),optim.method = "L-BFGS-B")
theta <- coef(fitmod)
	
N <- length(rates)
res <- snssde1d(drift=fx,diffusion=gx,M=200,t0=time(rates)[1],T=time(rates)[N],
                Dt=deltat(rates),x0=rates[1],N)
plot(res,plot.type="single",ylim=c(0,50))
lines(rates,col=2,lwd=2)
legend("topleft",c("real data","CKLS modele"),inset = .01,col=c(2,1),lwd=2,cex=0.8)

dev.new()

plot(res,plot.type="single",type="n",ylim=c(0,35))
lines(rates,col=2,lwd=2)
lines(time(res),mean(res),col=3,lwd=2)
lines(time(res),bconfint(res,level=0.95)[,1],col=4,lwd=2)
lines(time(res),bconfint(res,level=0.95)[,2],col=4,lwd=2)
legend("topleft",c("real data","mean path",paste("bound of", 95,"percent confidence")),
       inset = .01,col=2:4,lwd=2,cex=0.8)