Term Structure of Interest Rate A EURIBOR Analysis

by Chen, Ying

Modelling term structure of interest rate has become important for investors. The classical term structure model (Vasicek model, Cox-Ingersoll- Ross model and Heath-Jarrow-Morton model) however have some drawbacks in application. Based on EURIBOR (Euro interbank offered rate) data in period from 23/11/1998 to 18/06/2002, we find EURIBOR curve abides by mean reversion and follows an upward sloping tendency. The standard deviation of EURIBOR, standard deviation and kurtosis of EU-