YieldsFit: Computes two measures of model fit for bond yields (all...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Computes two measures of model fit for bond yields (all models)

Description

Computes two measures of model fit for bond yields (all models)

Usage

YieldsFit(ModelType, ModelPara, FactorLabels, Economies)

Arguments

ModelType	a string-vector containing the label of the model to be estimated
ModelPara	List of model parameter estimates (See the "Optimization" function)
FactorLabels	a string-list based which contains the labels of all the variables present in the model
Economies	a string-vector containing the names of the economies which are part of the economic system

Details

"Model-implied yields" is the measure of fit based exclusively on the risk-neutral parameters, whereas the "Model-Fit" takes into account both the risk-neutral and the physical parameters.

References

See, for instance, Jotiskhatira, Le and Lundblad (2015). "Why do interest rates in different currencies co-move?" (Journal of Financial Economics)

MultiATSM documentation built on April 4, 2025, 1:40 a.m.