posted on 2023-02-23, 18:35authored byMyeongsu Choi, Hyoung-Goo Kang
Panels A, B, and C show the mean reversions, volatility parameters, and correlation coefficient, respectively, calibrated with the one-step method. Here, the correlation coefficient stands out and is sensitive to changes in market data. Whereas, the mean reversion parameter hardly moves, the others change dramatically.