posted on 2023-02-23, 18:35authored byMyeongsu Choi, Hyoung-Goo Kang
Panels A and B show the mean reversions and volatility parameters, respectively, calibrated with the one-step method. The mean reversions and volatility parameters change significantly every day. Many significant changes occur (e.g., in the 2nd and 3rd quarters of 2019).