Estimação de modelos de estrutura a termo: aplicação para o Brasil dos modelos afim de Vasicek e CIR 2009 / Estimation of term structure models: application to Brazil of affine models Vasicek and CIR. 2009

AUTOR(ES)
DATA DE PUBLICAÇÃO

2009

RESUMO

In this work, we studied the Brazilian term structure of interest rate for the recent period, from January 2004 to March 2009, exploring the characteristics implied in the swap rates and ID contracts. Based on the theoretical framework of affine models, we analyze the models of Vasicek (1977) and Cox, Ingersoll and Ross (1985), two particular cases of affine models, related to a single risk factor. To estimate these models we adopted two distinct approaches, first, using the exact maximum likelihood, following the framework of Chen and Scott (1993), and second, a method with daily estimation based on criteria of error minimization. We compare the results obtained in both methodologies and models, as well as the quality of the adjustments for several measures and sub-samples. The results suggest a good performance of the two approaches, however, the use of the method of daily calibration, particularly for the model of Vasicek, was superior and capable to better adjust the dynamic of the structure term of interest rate

ASSUNTO(S)

estrutura a termo de taxa de juros maximum likelihood affine models cir calibration máxima verossimilhança structure term of interest rate calibração vasicek vasicek economia cir modelos afim

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