Date Price Delta Lag k (convergence) 0.

006
7/14/2013 2.482 ɵ (long-term equilibrium) 2.644
7/21/2013 2.564 0.082 2.482
7/28/2013 2.598 0.034 2.564 Interest rate (now) 3.782
8/4/2013 2.58 -0.018 2.598
8/11/2013 2.825 0.245 2.58 Time Horizon (weeks) 52
8/18/2013 2.818 -0.007 2.825 Interest rate forecast 3.475
8/25/2013 2.789 -0.029 2.818 Interest rate volatiltiy 0.671
9/1/2013 2.934 0.145 2.789
9/8/2013 2.89 -0.044 2.934
9/15/2013 2.736 -0.154 2.89
9/22/2013 2.628 -0.108 2.736 US 10 Yea
9/29/2013 2.645 0.017 2.628 4.5
10/6/2013 2.691 0.046 2.645 4
10/13/2013 2.583 -0.108 2.691 3.5
10/20/2013 2.511 -0.072 2.583 3
10/27/2013 2.62 0.109 2.511 2.5
11/3/2013 2.751 0.131 2.62 2
11/10/2013 2.703 -0.048 2.751
1.5
11/17/2013 2.744 0.041 2.703
1
11/24/2013 2.746 0.002 2.744
0.5
12/1/2013 2.857 0.111 2.746
0
12/8/2013 2.866 0.009 2.857 1 13 25 37 49 61 73 85 97 1091211331451571691811932052172292
12/15/2013 2.89 0.024 2.866
12/22/2013 3.002 0.112 2.89
12/29/2013 2.998 -0.004 3.002
1/5/2014 2.86 -0.138 2.998 SUMMARY OUTPUT
1/12/2014 2.821 -0.039 2.86
1/19/2014 2.719 -0.102 2.821 Regression Statistics
1/26/2014 2.644 -0.075 2.719 Multiple R 0.0431555365
2/2/2014 2.684 0.04 2.644 R Square 0.0018624003
2/9/2014 2.745 0.061 2.684 Adjusted R Square -6.07935E-05
2/16/2014 2.732 -0.013 2.745 Standard Error 0.1079721719
2/23/2014 2.649 -0.083 2.732 Observations 521
3/2/2014 2.79 0.141 2.649
3/9/2014 2.656 -0.134 2.79 ANOVA
3/16/2014 2.746 0.09 2.656 df
3/23/2014 2.723 -0.023 2.746 Regression 1
3/30/2014 2.726 0.003 2.723 Residual 519
4/6/2014 2.628 -0.098 2.726 Total 520
4/13/2014 2.721 0.093 2.628
4/20/2014 2.666 -0.055 2.721 Coefficients
4/27/2014 2.586 -0.08 2.666 Intercept 0.0160221669
5/4/2014 2.623 0.037 2.586 X Variable 1 -0.006058775
5/11/2014 2.523 -0.1 2.623
5/18/2014 2.536 0.013 2.523
5/25/2014 2.475 -0.061 2.536
6/1/2014 2.597 0.122 2.475
6/8/2014 2.608 0.011 2.597
6/15/2014 2.608 0 2.608
6/22/2014 2.536 -0.072 2.608
6/29/2014 2.641 0.105 2.536
7/6/2014 2.516 -0.125 2.641
7/13/2014 2.482 -0.034 2.516
7/20/2014 2.467 -0.015 2.482
7/27/2014 2.494 0.027 2.467
8/3/2014 2.422 -0.072 2.494
8/10/2014 2.341 -0.081 2.422
8/17/2014 2.403 0.062 2.341
8/24/2014 2.345 -0.058 2.403
8/31/2014 2.459 0.114 2.345
9/7/2014 2.609 0.15 2.459
9/14/2014 2.578 -0.031 2.609
9/21/2014 2.528 -0.05 2.578
9/28/2014 2.436 -0.092 2.528
10/5/2014 2.286 -0.15 2.436
10/12/2014 2.199 -0.087 2.286
10/19/2014 2.266 0.067 2.199
10/26/2014 2.335 0.069 2.266
11/2/2014 2.301 -0.034 2.335
11/9/2014 2.319 0.018 2.301
11/16/2014 2.312 -0.007 2.319
11/23/2014 2.173 -0.139 2.312
11/30/2014 2.307 0.134 2.173
12/7/2014 2.083 -0.224 2.307
12/14/2014 2.16 0.077 2.083
12/21/2014 2.252 0.092 2.16
12/28/2014 2.114 -0.138 2.252
1/4/2015 1.95 -0.164 2.114
1/11/2015 1.831 -0.119 1.95
1/18/2015 1.789 -0.042 1.831
1/25/2015 1.639 -0.15 1.789
2/1/2015 1.958 0.319 1.639
2/8/2015 2.047 0.089 1.958
2/15/2015 2.115 0.068 2.047
2/22/2015 1.996 -0.119 2.115
3/1/2015 2.247 0.251 1.996
3/8/2015 2.118 -0.129 2.247
3/15/2015 1.932 -0.186 2.118
3/22/2015 1.96 0.028 1.932
3/29/2015 1.842 -0.118 1.96
4/5/2015 1.949 0.107 1.842
4/12/2015 1.865 -0.084 1.949
4/19/2015 1.914 0.049 1.865
4/26/2015 2.112 0.198 1.914
5/3/2015 2.142 0.03 2.112
5/10/2015 2.148 0.006 2.142
5/17/2015 2.215 0.067 2.148
5/24/2015 2.123 -0.092 2.215
5/31/2015 2.409 0.286 2.123
6/7/2015 2.39 -0.019 2.409
6/14/2015 2.261 -0.129 2.39
6/21/2015 2.474 0.213 2.261
6/28/2015 2.386 -0.088 2.474
7/5/2015 2.401 0.015 2.386
7/12/2015 2.347 -0.054 2.401
7/19/2015 2.262 -0.085 2.347
7/26/2015 2.187 -0.075 2.262
8/2/2015 2.166 -0.021 2.187
8/9/2015 2.201 0.035 2.166
8/16/2015 2.045 -0.156 2.201
8/23/2015 2.184 0.139 2.045
8/30/2015 2.131 -0.053 2.184
9/6/2015 2.187 0.056 2.131
9/13/2015 2.134 -0.053 2.187
9/20/2015 2.166 0.032 2.134
9/27/2015 1.991 -0.175 2.166
10/4/2015 2.09 0.099 1.991
10/11/2015 2.035 -0.055 2.09
10/18/2015 2.087 0.052 2.035
10/25/2015 2.146 0.059 2.087
11/1/2015 2.325 0.179 2.146
11/8/2015 2.275 -0.05 2.325
11/15/2015 2.264 -0.011 2.275
11/22/2015 2.222 -0.042 2.264
11/29/2015 2.273 0.051 2.222
12/6/2015 2.132 -0.141 2.273
12/13/2015 2.204 0.072 2.132
12/20/2015 2.245 0.041 2.204
12/27/2015 2.269 0.024 2.245
1/3/2016 2.116 -0.153 2.269
1/10/2016 2.037 -0.079 2.116
1/17/2016 2.057 0.02 2.037
1/24/2016 1.923 -0.134 2.057
1/31/2016 1.843 -0.08 1.923
2/7/2016 1.746 -0.097 1.843
2/14/2016 1.743 -0.003 1.746
2/21/2016 1.764 0.021 1.743
2/28/2016 1.876 0.112 1.764
3/6/2016 1.98 0.104 1.876
3/13/2016 1.877 -0.103 1.98
3/20/2016 1.9 0.023 1.877
3/27/2016 1.774 -0.126 1.9
4/3/2016 1.717 -0.057 1.774
4/10/2016 1.754 0.037 1.717
4/17/2016 1.891 0.137 1.754
4/24/2016 1.835 -0.056 1.891
5/1/2016 1.779 -0.056 1.835
5/8/2016 1.702 -0.077 1.779
5/15/2016 1.844 0.142 1.702
5/22/2016 1.851 0.007 1.844
5/29/2016 1.702 -0.149 1.851
6/5/2016 1.644 -0.058 1.702
6/12/2016 1.611 -0.033 1.644
6/19/2016 1.562 -0.049 1.611
6/26/2016 1.456 -0.106 1.562
7/3/2016 1.358 -0.098 1.456
7/10/2016 1.558 0.2 1.358
7/17/2016 1.566 0.008 1.558
7/24/2016 1.45 -0.116 1.566
7/31/2016 1.59 0.14 1.45
8/7/2016 1.51 -0.08 1.59
8/14/2016 1.58 0.07 1.51
8/21/2016 1.628 0.048 1.58
8/28/2016 1.607 -0.021 1.628
9/4/2016 1.675 0.068 1.607
9/11/2016 1.694 0.019 1.675
9/18/2016 1.62 -0.074 1.694
9/25/2016 1.598 -0.022 1.62
10/2/2016 1.723 0.125 1.598
10/9/2016 1.805 0.082 1.723
10/16/2016 1.736 -0.069 1.805
10/23/2016 1.849 0.113 1.736
10/30/2016 1.778 -0.071 1.849
11/6/2016 2.138 0.36 1.778
11/13/2016 2.348 0.21 2.138
11/20/2016 2.359 0.011 2.348
11/27/2016 2.392 0.033 2.359
12/4/2016 2.466 0.074 2.392
12/11/2016 2.599 0.133 2.466
12/18/2016 2.543 -0.056 2.599
12/25/2016 2.446 -0.097 2.543
1/1/2017 2.421 -0.025 2.446
1/8/2017 2.398 -0.023 2.421
1/15/2017 2.467 0.069 2.398
1/22/2017 2.486 0.019 2.467
1/29/2017 2.467 -0.019 2.486
2/5/2017 2.409 -0.058 2.467
2/12/2017 2.42 0.011 2.409
2/19/2017 2.315 -0.105 2.42
2/26/2017 2.482 0.167 2.315
3/5/2017 2.575 0.093 2.482
3/12/2017 2.5 -0.075 2.575
3/19/2017 2.418 -0.082 2.5
3/26/2017 2.389 -0.029 2.418
4/2/2017 2.382 -0.007 2.389
4/9/2017 2.232 -0.15 2.382
4/16/2017 2.246 0.014 2.232
4/23/2017 2.289 0.043 2.246
4/30/2017 2.351 0.062 2.289
5/7/2017 2.326 -0.025 2.351
5/14/2017 2.235 -0.091 2.326
5/21/2017 2.25 0.015 2.235
5/28/2017 2.159 -0.091 2.25
6/4/2017 2.202 0.043 2.159
6/11/2017 2.153 -0.049 2.202
6/18/2017 2.144 -0.009 2.153
6/25/2017 2.304 0.16 2.144
7/2/2017 2.386 0.082 2.304
7/9/2017 2.332 -0.054 2.386
7/16/2017 2.237 -0.095 2.332
7/23/2017 2.291 0.054 2.237
7/30/2017 2.264 -0.027 2.291
8/6/2017 2.191 -0.073 2.264
8/13/2017 2.197 0.006 2.191
8/20/2017 2.169 -0.028 2.197
8/27/2017 2.166 -0.003 2.169
9/3/2017 2.054 -0.112 2.166
9/10/2017 2.202 0.148 2.054
9/17/2017 2.253 0.051 2.202
9/24/2017 2.339 0.086 2.253
10/1/2017 2.361 0.022 2.339
10/8/2017 2.275 -0.086 2.361
10/15/2017 2.383 0.108 2.275
10/22/2017 2.415 0.032 2.383
10/29/2017 2.332 -0.083 2.415
11/5/2017 2.402 0.07 2.332
11/12/2017 2.345 -0.057 2.402
11/19/2017 2.34 -0.005 2.345
11/26/2017 2.363 0.023 2.34
12/3/2017 2.378 0.015 2.363
12/10/2017 2.351 -0.027 2.378
12/17/2017 2.485 0.134 2.351
12/24/2017 2.405 -0.08 2.485
12/31/2017 2.476 0.071 2.405
1/7/2018 2.55 0.074 2.476
1/14/2018 2.661 0.111 2.55
1/21/2018 2.66 -0.001 2.661
1/28/2018 2.841 0.181 2.66
2/4/2018 2.857 0.016 2.841
2/11/2018 2.873 0.016 2.857
2/18/2018 2.866 -0.007 2.873
2/25/2018 2.868 0.002 2.866
3/4/2018 2.896 0.028 2.868
3/11/2018 2.845 -0.051 2.896
3/18/2018 2.813 -0.032 2.845
3/25/2018 2.741 -0.072 2.813
4/1/2018 2.775 0.034 2.741
4/8/2018 2.825 0.05 2.775
4/15/2018 2.96 0.135 2.825
4/22/2018 2.959 -0.001 2.96
4/29/2018 2.951 -0.008 2.959
5/6/2018 2.97 0.019 2.951
5/13/2018 3.06 0.09 2.97
5/20/2018 2.931 -0.129 3.06
5/27/2018 2.902 -0.029 2.931
6/3/2018 2.948 0.046 2.902
6/10/2018 2.922 -0.026 2.948
6/17/2018 2.895 -0.027 2.922
6/24/2018 2.86 -0.035 2.895
7/1/2018 2.824 -0.036 2.86
7/8/2018 2.829 0.005 2.824
7/15/2018 2.895 0.066 2.829
7/22/2018 2.958 0.063 2.895
7/29/2018 2.951 -0.007 2.958
8/5/2018 2.873 -0.078 2.951
8/12/2018 2.864 -0.009 2.873
8/19/2018 2.813 -0.051 2.864
8/26/2018 2.86 0.047 2.813
9/2/2018 2.939 0.079 2.86
9/9/2018 3 0.061 2.939
9/16/2018 3.066 0.066 3
9/23/2018 3.065 -0.001 3.066
9/30/2018 3.233 0.168 3.065
10/7/2018 3.167 -0.066 3.233
10/14/2018 3.196 0.029 3.167
10/21/2018 3.077 -0.119 3.196
10/28/2018 3.22 0.143 3.077
11/4/2018 3.186 -0.034 3.22
11/11/2018 3.065 -0.121 3.186
11/18/2018 3.046 -0.019 3.065
11/25/2018 2.993 -0.053 3.046
12/2/2018 2.858 -0.135 2.993
12/9/2018 2.895 0.037 2.858
12/16/2018 2.788 -0.107 2.895
12/23/2018 2.716 -0.072 2.788
12/30/2018 2.668 -0.048 2.716
1/6/2019 2.699 0.031 2.668
1/13/2019 2.788 0.089 2.699
1/20/2019 2.759 -0.029 2.788
1/27/2019 2.684 -0.075 2.759
2/3/2019 2.634 -0.05 2.684
2/10/2019 2.664 0.03 2.634
2/17/2019 2.654 -0.01 2.664
2/24/2019 2.759 0.105 2.654
3/3/2019 2.63 -0.129 2.759
3/10/2019 2.591 -0.039 2.63
3/17/2019 2.437 -0.154 2.591
3/24/2019 2.407 -0.03 2.437
3/31/2019 2.499 0.092 2.407
4/7/2019 2.562 0.063 2.499
4/14/2019 2.56 -0.002 2.562
4/21/2019 2.5 -0.06 2.56
4/28/2019 2.53 0.03 2.5
5/5/2019 2.473 -0.057 2.53
5/12/2019 2.393 -0.08 2.473
5/19/2019 2.324 -0.069 2.393
5/26/2019 2.133 -0.191 2.324
6/2/2019 2.084 -0.049 2.133
6/9/2019 2.084 0 2.084
6/16/2019 2.059 -0.025 2.084
6/23/2019 2.007 -0.052 2.059
6/30/2019 2.039 0.032 2.007
7/7/2019 2.124 0.085 2.039
7/14/2019 2.057 -0.067 2.124
7/21/2019 2.074 0.017 2.057
7/28/2019 1.843 -0.231 2.074
8/4/2019 1.745 -0.098 1.843
8/11/2019 1.562 -0.183 1.745
8/18/2019 1.533 -0.029 1.562
8/25/2019 1.499 -0.034 1.533
9/1/2019 1.56 0.061 1.499
9/8/2019 1.901 0.341 1.56
9/15/2019 1.722 -0.179 1.901
9/22/2019 1.687 -0.035 1.722
9/29/2019 1.529 -0.158 1.687
10/6/2019 1.734 0.205 1.529
10/13/2019 1.754 0.02 1.734
10/20/2019 1.799 0.045 1.754
10/27/2019 1.714 -0.085 1.799
11/3/2019 1.945 0.231 1.714
11/10/2019 1.836 -0.109 1.945
11/17/2019 1.771 -0.065 1.836
11/24/2019 1.774 0.003 1.771
12/1/2019 1.843 0.069 1.774
12/8/2019 1.824 -0.019 1.843
12/15/2019 1.919 0.095 1.824
12/22/2019 1.877 -0.042 1.919
12/29/2019 1.793 -0.084 1.877
1/5/2020 1.82 0.027 1.793
1/12/2020 1.825 0.005 1.82
1/19/2020 1.686 -0.139 1.825
1/26/2020 1.505 -0.181 1.686
2/2/2020 1.582 0.077 1.505
2/9/2020 1.588 0.006 1.582
2/16/2020 1.473 -0.115 1.588
2/23/2020 1.163 -0.31 1.473
3/1/2020 0.773 -0.39 1.163
3/8/2020 0.983 0.21 0.773
3/15/2020 0.885 -0.098 0.983
3/22/2020 0.676 -0.209 0.885
3/29/2020 0.599 -0.077 0.676
4/5/2020 0.729 0.13 0.599
4/12/2020 0.642 -0.087 0.729
4/19/2020 0.605 -0.037 0.642
4/26/2020 0.618 0.013 0.605
5/3/2020 0.685 0.067 0.618
5/10/2020 0.644 -0.041 0.685
5/17/2020 0.657 0.013 0.644
5/24/2020 0.653 -0.004 0.657
5/31/2020 0.893 0.24 0.653
6/7/2020 0.71 -0.183 0.893
6/14/2020 0.694 -0.016 0.71
6/21/2020 0.64 -0.054 0.694
6/28/2020 0.669 0.029 0.64
7/5/2020 0.643 -0.026 0.669
7/12/2020 0.623 -0.02 0.643
7/19/2020 0.587 -0.036 0.623
7/26/2020 0.533 -0.054 0.587
8/2/2020 0.566 0.033 0.533
8/9/2020 0.709 0.143 0.566
8/16/2020 0.636 -0.073 0.709
8/23/2020 0.724 0.088 0.636
8/30/2020 0.721 -0.003 0.724
9/6/2020 0.669 -0.052 0.721
9/13/2020 0.697 0.028 0.669
9/20/2020 0.656 -0.041 0.697
9/27/2020 0.704 0.048 0.656
10/4/2020 0.779 0.075 0.704
10/11/2020 0.749 -0.03 0.779
10/18/2020 0.841 0.092 0.749
10/25/2020 0.874 0.033 0.841
11/1/2020 0.82 -0.054 0.874
11/8/2020 0.898 0.078 0.82
11/15/2020 0.824 -0.074 0.898
11/22/2020 0.842 0.018 0.824
11/29/2020 0.973 0.131 0.842
12/6/2020 0.896 -0.077 0.973
12/13/2020 0.945 0.049 0.896
12/20/2020 0.926 -0.019 0.945
12/27/2020 0.916 -0.01 0.926
1/3/2021 1.119 0.203 0.916
1/10/2021 1.087 -0.032 1.119
1/17/2021 1.086 -0.001 1.087
1/24/2021 1.071 -0.015 1.086
1/31/2021 1.169 0.098 1.071
2/7/2021 1.21 0.041 1.169
2/14/2021 1.34 0.13 1.21
2/21/2021 1.407 0.067 1.34
2/28/2021 1.577 0.17 1.407
3/7/2021 1.625 0.048 1.577
3/14/2021 1.73 0.105 1.625
3/21/2021 1.674 -0.056 1.73
3/28/2021 1.673 -0.001 1.674
4/4/2021 1.662 -0.011 1.673
4/11/2021 1.59 -0.072 1.662
4/18/2021 1.559 -0.031 1.59
4/25/2021 1.626 0.067 1.559
5/2/2021 1.579 -0.047 1.626
5/9/2021 1.635 0.056 1.579
5/16/2021 1.623 -0.012 1.635
5/23/2021 1.581 -0.042 1.623
5/30/2021 1.557 -0.024 1.581
6/6/2021 1.454 -0.103 1.557
6/13/2021 1.443 -0.011 1.454
6/20/2021 1.524 0.081 1.443
6/27/2021 1.431 -0.093 1.524
7/4/2021 1.361 -0.07 1.431
7/11/2021 1.3 -0.061 1.361
7/18/2021 1.281 -0.019 1.3
7/25/2021 1.226 -0.055 1.281
8/1/2021 1.305 0.079 1.226
8/8/2021 1.283 -0.022 1.305
8/15/2021 1.255 -0.028 1.283
8/22/2021 1.31 0.055 1.255
8/29/2021 1.326 0.016 1.31
9/5/2021 1.343 0.017 1.326
9/12/2021 1.363 0.02 1.343
9/19/2021 1.453 0.09 1.363
9/26/2021 1.465 0.012 1.453
10/3/2021 1.612 0.147 1.465
10/10/2021 1.574 -0.038 1.612
10/17/2021 1.638 0.064 1.574
10/24/2021 1.561 -0.077 1.638
10/31/2021 1.455 -0.106 1.561
11/7/2021 1.57 0.115 1.455
11/14/2021 1.548 -0.022 1.57
11/21/2021 1.482 -0.066 1.548
11/28/2021 1.356 -0.126 1.482
12/5/2021 1.482 0.126 1.356
12/12/2021 1.407 -0.075 1.482
12/19/2021 1.493 0.086 1.407
12/26/2021 1.512 0.019 1.493
1/2/2022 1.765 0.253 1.512
1/9/2022 1.793 0.028 1.765
1/16/2022 1.77 -0.023 1.793
1/23/2022 1.778 0.008 1.77
1/30/2022 1.916 0.138 1.778
2/6/2022 1.918 0.002 1.916
2/13/2022 1.927 0.009 1.918
2/20/2022 1.97 0.043 1.927
2/27/2022 1.737 -0.233 1.97
3/6/2022 1.997 0.26 1.737
3/13/2022 2.153 0.156 1.997
3/20/2022 2.488 0.335 2.153
3/27/2022 2.389 -0.099 2.488
4/3/2022 2.704 0.315 2.389
4/10/2022 2.828 0.124 2.704
4/17/2022 2.905 0.077 2.828
4/24/2022 2.938 0.033 2.905
5/1/2022 3.142 0.204 2.938
5/8/2022 2.928 -0.214 3.142
5/15/2022 2.788 -0.14 2.928
5/22/2022 2.743 -0.045 2.788
5/29/2022 2.941 0.198 2.743
6/5/2022 3.165 0.224 2.941
6/12/2022 3.231 0.066 3.165
6/19/2022 3.138 -0.093 3.231
6/26/2022 2.889 -0.249 3.138
7/3/2022 3.08 0.191 2.889
7/10/2022 2.928 -0.152 3.08
7/17/2022 2.754 -0.174 2.928
7/24/2022 2.658 -0.096 2.754
7/31/2022 2.827 0.169 2.658
8/7/2022 2.842 0.015 2.827
8/14/2022 2.976 0.134 2.842
8/21/2022 3.03 0.054 2.976
8/28/2022 3.195 0.165 3.03
9/4/2022 3.315 0.12 3.195
9/11/2022 3.455 0.14 3.315
9/18/2022 3.687 0.232 3.455
9/25/2022 3.829 0.142 3.687
10/2/2022 3.888 0.059 3.829
10/9/2022 4.023 0.135 3.888
10/16/2022 4.219 0.196 4.023
10/23/2022 4.01 -0.209 4.219
10/30/2022 4.163 0.153 4.01
11/6/2022 3.811 -0.352 4.163
11/13/2022 3.829 0.018 3.811
11/20/2022 3.691 -0.138 3.829
11/27/2022 3.492 -0.199 3.691
12/4/2022 3.586 0.094 3.492
12/11/2022 3.488 -0.098 3.586
12/18/2022 3.751 0.263 3.488
12/25/2022 3.879 0.128 3.751
1/1/2023 3.56 -0.319 3.879
1/8/2023 3.498 -0.062 3.56
1/15/2023 3.482 -0.016 3.498
1/22/2023 3.507 0.025 3.482
1/29/2023 3.519 0.012 3.507
2/5/2023 3.743 0.224 3.519
2/12/2023 3.817 0.074 3.743
2/19/2023 3.947 0.13 3.817
2/26/2023 3.958 0.011 3.947
3/5/2023 3.704 -0.254 3.958
3/12/2023 3.438 -0.266 3.704
3/19/2023 3.372 -0.066 3.438
3/26/2023 3.473 0.101 3.372
4/2/2023 3.413 -0.06 3.473
4/9/2023 3.515 0.102 3.413
4/16/2023 3.568 0.053 3.515
4/23/2023 3.433 -0.135 3.568
4/30/2023 3.435 0.002 3.433
5/7/2023 3.463 0.028 3.435
5/14/2023 3.682 0.219 3.463
5/21/2023 3.81 0.128 3.682
5/28/2023 3.698 -0.112 3.81
6/4/2023 3.743 0.045 3.698
6/11/2023 3.767 0.024 3.743
6/18/2023 3.737 -0.03 3.767
6/25/2023 3.841 0.104 3.737
7/2/2023 4.066 0.225 3.841
7/9/2023 3.782 -0.284 4.066
 Vasicek Model (1977)

Continous Form 𝑑𝑟1=𝑘(𝜃 −𝑟𝑡 )𝑑𝑡+ 𝜎𝑑𝑊𝑡

Discrete Form ∆𝑟𝑡=𝑘(𝜃 −𝑟𝑡−1)∆𝑡+ 𝜀𝑡(0,𝜎2)

OLS Form 𝑟𝑡 −𝑟𝑡−1=𝑘𝜃 −𝑘𝑟𝑡−1+ 𝜀𝑡(0,𝜎2)

US 10 Year Treasury Rate

1133145157169181193205217229241253265277289301313325337349361373385397409421433445457469481493505517

SS MS F Significance F
0.011289472697 0.0112894726968147 0.96838930040309 0.325540731793
6.050496765307 0.0116579899138864
6.061786238004

Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0%
0.01453712031 1.10215548514961 0.27090491491587 -0.01253666495 0.0445809987 -0.012536665
0.00615686791 -0.984067731613746 0.32554073179341 -0.01815422115 0.0060366711 -0.018154221
 Upper 95.0%
0.04458099873
0.00603667107
Date Price Delta Constant Lag k (convergence) 0.007
7/14/2013 2.482 ɵ (equilibrium) 2.595
7/21/2013 2.564 0.052 0.635 1.575
7/28/2013 2.598 0.021 0.625 1.601 Long-run volatility 0.007
8/4/2013 2.58 -0.011 0.620 1.612
8/11/2013 2.825 0.153 0.623 1.606
8/18/2013 2.818 -0.004 0.595 1.681
8/25/2013 2.789 -0.017 0.596 1.679
9/1/2013 2.934 0.087 0.599 1.670
9/8/2013 2.89 -0.026 0.584 1.713
9/15/2013 2.736 -0.091 0.588 1.700 SUMMARY OUTPUT
9/22/2013 2.628 -0.065 0.605 1.654
9/29/2013 2.645 0.010 0.617 1.621 Regression Statistics
10/6/2013 2.691 0.028 0.615 1.626 Multiple R 0.0720272286
10/13/2013 2.583 -0.066 0.610 1.640 R Square 0.0051879217
10/20/2013 2.511 -0.045 0.622 1.607 Adjusted R Square 0.0013443531
10/27/2013 2.62 0.069 0.631 1.585 Standard Error 0.0766814384
11/3/2013 2.751 0.081 0.618 1.619 Observations 521
11/10/2013 2.703 -0.029 0.603 1.659
11/17/2013 2.744 0.025 0.608 1.644 ANOVA
11/24/2013 2.746 0.001 0.604 1.657 df
12/1/2013 2.857 0.067 0.603 1.657 Regression 2
12/8/2013 2.866 0.005 0.592 1.690 Residual 519
12/15/2013 2.89 0.014 0.591 1.693 Total 521
12/22/2013 3.002 0.066 0.588 1.700
12/29/2013 2.998 -0.002 0.577 1.733 Coefficients
1/5/2014 2.86 -0.080 0.578 1.731 Intercept 0
1/12/2014 2.821 -0.023 0.591 1.691 X Variable 1 0.017879633
1/19/2014 2.719 -0.061 0.595 1.680 X Variable 2 -0.0068907406
1/26/2014 2.644 -0.045 0.606 1.649
2/2/2014 2.684 0.025 0.615 1.626
2/9/2014 2.745 0.037 0.610 1.638
2/16/2014 2.732 -0.008 0.604 1.657
2/23/2014 2.649 -0.050 0.605 1.653
3/2/2014 2.79 0.087 0.614 1.628
3/9/2014 2.656 -0.080 0.599 1.670
3/16/2014 2.746 0.055 0.614 1.630
3/23/2014 2.723 -0.014 0.603 1.657
3/30/2014 2.726 0.002 0.606 1.650
4/6/2014 2.628 -0.059 0.606 1.651
4/13/2014 2.721 0.057 0.617 1.621
4/20/2014 2.666 -0.033 0.606 1.650
4/27/2014 2.586 -0.049 0.612 1.633
5/4/2014 2.623 0.023 0.622 1.608
5/11/2014 2.523 -0.062 0.617 1.620
5/18/2014 2.536 0.008 0.630 1.588
5/25/2014 2.475 -0.038 0.628 1.592
6/1/2014 2.597 0.078 0.636 1.573
6/8/2014 2.608 0.007 0.621 1.612
6/15/2014 2.608 0.000 0.619 1.615
6/22/2014 2.536 -0.045 0.619 1.615
6/29/2014 2.641 0.066 0.628 1.592
7/6/2014 2.516 -0.077 0.615 1.625
7/13/2014 2.482 -0.021 0.630 1.586
7/20/2014 2.467 -0.010 0.635 1.575
7/27/2014 2.494 0.017 0.637 1.571
8/3/2014 2.422 -0.046 0.633 1.579
8/10/2014 2.341 -0.052 0.643 1.556
8/17/2014 2.403 0.041 0.654 1.530
8/24/2014 2.345 -0.037 0.645 1.550
8/31/2014 2.459 0.074 0.653 1.531
9/7/2014 2.609 0.096 0.638 1.568
9/14/2014 2.578 -0.019 0.619 1.615
9/21/2014 2.528 -0.031 0.623 1.606
9/28/2014 2.436 -0.058 0.629 1.590
10/5/2014 2.286 -0.096 0.641 1.561
10/12/2014 2.199 -0.058 0.661 1.512
10/19/2014 2.266 0.045 0.674 1.483
10/26/2014 2.335 0.046 0.664 1.505
11/2/2014 2.301 -0.022 0.654 1.528
11/9/2014 2.319 0.012 0.659 1.517
11/16/2014 2.312 -0.005 0.657 1.523
11/23/2014 2.173 -0.091 0.658 1.521
11/30/2014 2.307 0.091 0.678 1.474
12/7/2014 2.083 -0.147 0.658 1.519
12/14/2014 2.16 0.053 0.693 1.443
12/21/2014 2.252 0.063 0.680 1.470
12/28/2014 2.114 -0.092 0.666 1.501
1/4/2015 1.95 -0.113 0.688 1.454
1/11/2015 1.831 -0.085 0.716 1.396
1/18/2015 1.789 -0.031 0.739 1.353
1/25/2015 1.639 -0.112 0.748 1.338
2/1/2015 1.958 0.249 0.781 1.280
2/8/2015 2.047 0.064 0.715 1.399
2/15/2015 2.115 0.048 0.699 1.431
2/22/2015 1.996 -0.082 0.688 1.454
3/1/2015 2.247 0.178 0.708 1.413
3/8/2015 2.118 -0.086 0.667 1.499
3/15/2015 1.932 -0.128 0.687 1.455
3/22/2015 1.96 0.020 0.719 1.390
3/29/2015 1.842 -0.084 0.714 1.400
4/5/2015 1.949 0.079 0.737 1.357
4/12/2015 1.865 -0.060 0.716 1.396
4/19/2015 1.914 0.036 0.732 1.366
4/26/2015 2.112 0.143 0.723 1.383
5/3/2015 2.142 0.021 0.688 1.453
5/10/2015 2.148 0.004 0.683 1.464
5/17/2015 2.215 0.046 0.682 1.466
5/24/2015 2.123 -0.062 0.672 1.488
5/31/2015 2.409 0.196 0.686 1.457
6/7/2015 2.39 -0.012 0.644 1.552
6/14/2015 2.261 -0.083 0.647 1.546
6/21/2015 2.474 0.142 0.665 1.504
6/28/2015 2.386 -0.056 0.636 1.573
7/5/2015 2.401 0.010 0.647 1.545
7/12/2015 2.347 -0.035 0.645 1.550
7/19/2015 2.262 -0.055 0.653 1.532
7/26/2015 2.187 -0.050 0.665 1.504
8/2/2015 2.166 -0.014 0.676 1.479
8/9/2015 2.201 0.024 0.679 1.472
8/16/2015 2.045 -0.105 0.674 1.484
8/23/2015 2.184 0.097 0.699 1.430
8/30/2015 2.131 -0.036 0.677 1.478
9/6/2015 2.187 0.038 0.685 1.460
9/13/2015 2.134 -0.036 0.676 1.479
9/20/2015 2.166 0.022 0.685 1.461
9/27/2015 1.991 -0.119 0.679 1.472
10/4/2015 2.09 0.070 0.709 1.411
10/11/2015 2.035 -0.038 0.692 1.446
10/18/2015 2.087 0.036 0.701 1.427
10/25/2015 2.146 0.041 0.692 1.445
11/1/2015 2.325 0.122 0.683 1.465
11/8/2015 2.275 -0.033 0.656 1.525
11/15/2015 2.264 -0.007 0.663 1.508
11/22/2015 2.222 -0.028 0.665 1.505
11/29/2015 2.273 0.034 0.671 1.491
12/6/2015 2.132 -0.094 0.663 1.508
12/13/2015 2.204 0.049 0.685 1.460
12/20/2015 2.245 0.028 0.674 1.485
12/27/2015 2.269 0.016 0.667 1.498
1/3/2016 2.116 -0.102 0.664 1.506
1/10/2016 2.037 -0.054 0.687 1.455
1/17/2016 2.057 0.014 0.701 1.427
1/24/2016 1.923 -0.093 0.697 1.434
1/31/2016 1.843 -0.058 0.721 1.387
2/7/2016 1.746 -0.071 0.737 1.358
2/14/2016 1.743 -0.002 0.757 1.321
2/21/2016 1.764 0.016 0.757 1.320
2/28/2016 1.876 0.084 0.753 1.328
3/6/2016 1.98 0.076 0.730 1.370
3/13/2016 1.877 -0.073 0.711 1.407
3/20/2016 1.9 0.017 0.730 1.370
3/27/2016 1.774 -0.091 0.725 1.378
4/3/2016 1.717 -0.043 0.751 1.332
4/10/2016 1.754 0.028 0.763 1.310
4/17/2016 1.891 0.103 0.755 1.324
4/24/2016 1.835 -0.041 0.727 1.375
5/1/2016 1.779 -0.041 0.738 1.355
5/8/2016 1.702 -0.058 0.750 1.334
5/15/2016 1.844 0.109 0.767 1.305
5/22/2016 1.851 0.005 0.736 1.358
5/29/2016 1.702 -0.110 0.735 1.361
6/5/2016 1.644 -0.044 0.767 1.305
6/12/2016 1.611 -0.026 0.780 1.282
6/19/2016 1.562 -0.039 0.788 1.269
6/26/2016 1.456 -0.085 0.800 1.250
7/3/2016 1.358 -0.081 0.829 1.207
7/10/2016 1.558 0.172 0.858 1.165
7/17/2016 1.566 0.006 0.801 1.248
7/24/2016 1.45 -0.093 0.799 1.251
7/31/2016 1.59 0.116 0.830 1.204
8/7/2016 1.51 -0.063 0.793 1.261
8/14/2016 1.58 0.057 0.814 1.229
8/21/2016 1.628 0.038 0.796 1.257
8/28/2016 1.607 -0.016 0.784 1.276
9/4/2016 1.675 0.054 0.789 1.268
9/11/2016 1.694 0.015 0.773 1.294
9/18/2016 1.62 -0.057 0.768 1.302
9/25/2016 1.598 -0.017 0.786 1.273
10/2/2016 1.723 0.099 0.791 1.264
10/9/2016 1.805 0.062 0.762 1.313
10/16/2016 1.736 -0.051 0.744 1.344
10/23/2016 1.849 0.086 0.759 1.318
10/30/2016 1.778 -0.052 0.735 1.360
11/6/2016 2.138 0.270 0.750 1.333
11/13/2016 2.348 0.144 0.684 1.462
11/20/2016 2.359 0.007 0.653 1.532
11/27/2016 2.392 0.021 0.651 1.536
12/4/2016 2.466 0.048 0.647 1.547
12/11/2016 2.599 0.085 0.637 1.570
12/18/2016 2.543 -0.035 0.620 1.612
12/25/2016 2.446 -0.061 0.627 1.595
1/1/2017 2.421 -0.016 0.639 1.564
1/8/2017 2.398 -0.015 0.643 1.556
1/15/2017 2.467 0.045 0.646 1.549
1/22/2017 2.486 0.012 0.637 1.571
1/29/2017 2.467 -0.012 0.634 1.577
2/5/2017 2.409 -0.037 0.637 1.571
2/12/2017 2.42 0.007 0.644 1.552
2/19/2017 2.315 -0.067 0.643 1.556
2/26/2017 2.482 0.110 0.657 1.522
3/5/2017 2.575 0.059 0.635 1.575
3/12/2017 2.5 -0.047 0.623 1.605
3/19/2017 2.418 -0.052 0.632 1.581
3/26/2017 2.389 -0.019 0.643 1.555
4/2/2017 2.382 -0.005 0.647 1.546
4/9/2017 2.232 -0.097 0.648 1.543
4/16/2017 2.246 0.009 0.669 1.494
4/23/2017 2.289 0.029 0.667 1.499
4/30/2017 2.351 0.041 0.661 1.513
5/7/2017 2.326 -0.016 0.652 1.533
5/14/2017 2.235 -0.060 0.656 1.525
5/21/2017 2.25 0.010 0.669 1.495
5/28/2017 2.159 -0.061 0.667 1.500
6/4/2017 2.202 0.029 0.681 1.469
6/11/2017 2.153 -0.033 0.674 1.484
6/18/2017 2.144 -0.006 0.682 1.467
6/25/2017 2.304 0.109 0.683 1.464
7/2/2017 2.386 0.054 0.659 1.518
7/9/2017 2.332 -0.035 0.647 1.545
7/16/2017 2.237 -0.062 0.655 1.527
7/23/2017 2.291 0.036 0.669 1.496
7/30/2017 2.264 -0.018 0.661 1.514
8/6/2017 2.191 -0.049 0.665 1.505
8/13/2017 2.197 0.004 0.676 1.480
8/20/2017 2.169 -0.019 0.675 1.482
8/27/2017 2.166 -0.002 0.679 1.473
9/3/2017 2.054 -0.076 0.679 1.472
9/10/2017 2.202 0.103 0.698 1.433
9/17/2017 2.253 0.034 0.674 1.484
9/24/2017 2.339 0.057 0.666 1.501
10/1/2017 2.361 0.014 0.654 1.529
10/8/2017 2.275 -0.056 0.651 1.537
10/15/2017 2.383 0.072 0.663 1.508
10/22/2017 2.415 0.021 0.648 1.544
10/29/2017 2.332 -0.053 0.643 1.554
11/5/2017 2.402 0.046 0.655 1.527
11/12/2017 2.345 -0.037 0.645 1.550
11/19/2017 2.34 -0.003 0.653 1.531
11/26/2017 2.363 0.015 0.654 1.530
12/3/2017 2.378 0.010 0.651 1.537
12/10/2017 2.351 -0.018 0.648 1.542
12/17/2017 2.485 0.087 0.652 1.533
12/24/2017 2.405 -0.051 0.634 1.576
12/31/2017 2.476 0.046 0.645 1.551
1/7/2018 2.55 0.047 0.636 1.574
1/14/2018 2.661 0.070 0.626 1.597
1/21/2018 2.66 -0.001 0.613 1.631
1/28/2018 2.841 0.111 0.613 1.631
2/4/2018 2.857 0.009 0.593 1.686
2/11/2018 2.873 0.009 0.592 1.690
2/18/2018 2.866 -0.004 0.590 1.695
2/25/2018 2.868 0.001 0.591 1.693
3/4/2018 2.896 0.017 0.590 1.694
3/11/2018 2.845 -0.030 0.588 1.702
3/18/2018 2.813 -0.019 0.593 1.687
3/25/2018 2.741 -0.043 0.596 1.677
4/1/2018 2.775 0.021 0.604 1.656
4/8/2018 2.825 0.030 0.600 1.666
4/15/2018 2.96 0.080 0.595 1.681
4/22/2018 2.959 -0.001 0.581 1.720
4/29/2018 2.951 -0.005 0.581 1.720
5/6/2018 2.97 0.011 0.582 1.718
5/13/2018 3.06 0.052 0.580 1.723
5/20/2018 2.931 -0.074 0.572 1.749
5/27/2018 2.902 -0.017 0.584 1.712
6/3/2018 2.948 0.027 0.587 1.704
6/10/2018 2.922 -0.015 0.582 1.717
6/17/2018 2.895 -0.016 0.585 1.709
6/24/2018 2.86 -0.021 0.588 1.701
7/1/2018 2.824 -0.021 0.591 1.691
7/8/2018 2.829 0.003 0.595 1.680
7/15/2018 2.895 0.039 0.595 1.682
7/22/2018 2.958 0.037 0.588 1.701
7/29/2018 2.951 -0.004 0.581 1.720
8/5/2018 2.873 -0.045 0.582 1.718
8/12/2018 2.864 -0.005 0.590 1.695
8/19/2018 2.813 -0.030 0.591 1.692
8/26/2018 2.86 0.028 0.596 1.677
9/2/2018 2.939 0.047 0.591 1.691
9/9/2018 3 0.036 0.583 1.714
9/16/2018 3.066 0.038 0.577 1.732
9/23/2018 3.065 -0.001 0.571 1.751
9/30/2018 3.233 0.096 0.571 1.751
10/7/2018 3.167 -0.037 0.556 1.798
10/14/2018 3.196 0.016 0.562 1.780
10/21/2018 3.077 -0.067 0.559 1.788
10/28/2018 3.22 0.082 0.570 1.754
11/4/2018 3.186 -0.019 0.557 1.794
11/11/2018 3.065 -0.068 0.560 1.785
11/18/2018 3.046 -0.011 0.571 1.751
11/25/2018 2.993 -0.030 0.573 1.745
12/2/2018 2.858 -0.078 0.578 1.730
12/9/2018 2.895 0.022 0.592 1.691
12/16/2018 2.788 -0.063 0.588 1.701
12/23/2018 2.716 -0.043 0.599 1.670
12/30/2018 2.668 -0.029 0.607 1.648
1/6/2019 2.699 0.019 0.612 1.633
1/13/2019 2.788 0.054 0.609 1.643
1/20/2019 2.759 -0.017 0.599 1.670
1/27/2019 2.684 -0.045 0.602 1.661
2/3/2019 2.634 -0.031 0.610 1.638
2/10/2019 2.664 0.018 0.616 1.623
2/17/2019 2.654 -0.006 0.613 1.632
2/24/2019 2.759 0.064 0.614 1.629
3/3/2019 2.63 -0.078 0.602 1.661
3/10/2019 2.591 -0.024 0.617 1.622
3/17/2019 2.437 -0.096 0.621 1.610
3/24/2019 2.407 -0.019 0.641 1.561
3/31/2019 2.499 0.059 0.645 1.551
4/7/2019 2.562 0.040 0.633 1.581
4/14/2019 2.56 -0.001 0.625 1.601
4/21/2019 2.5 -0.038 0.625 1.600
4/28/2019 2.53 0.019 0.632 1.581
5/5/2019 2.473 -0.036 0.629 1.591
5/12/2019 2.393 -0.051 0.636 1.573
5/19/2019 2.324 -0.045 0.646 1.547
5/26/2019 2.133 -0.125 0.656 1.524
6/2/2019 2.084 -0.034 0.685 1.460
6/9/2019 2.084 0.000 0.693 1.444
6/16/2019 2.059 -0.017 0.693 1.444
6/23/2019 2.007 -0.036 0.697 1.435
6/30/2019 2.039 0.023 0.706 1.417
7/7/2019 2.124 0.060 0.700 1.428
7/14/2019 2.057 -0.046 0.686 1.457
7/21/2019 2.074 0.012 0.697 1.434
7/28/2019 1.843 -0.160 0.694 1.440
8/4/2019 1.745 -0.072 0.737 1.358
8/11/2019 1.562 -0.139 0.757 1.321
8/18/2019 1.533 -0.023 0.800 1.250
8/25/2019 1.499 -0.027 0.808 1.238
9/1/2019 1.56 0.050 0.817 1.224
9/8/2019 1.901 0.273 0.801 1.249
9/15/2019 1.722 -0.130 0.725 1.379
9/22/2019 1.687 -0.027 0.762 1.312
9/29/2019 1.529 -0.122 0.770 1.299
10/6/2019 1.734 0.166 0.809 1.237
10/13/2019 1.754 0.015 0.759 1.317
10/20/2019 1.799 0.034 0.755 1.324
10/27/2019 1.714 -0.063 0.746 1.341
11/3/2019 1.945 0.176 0.764 1.309
11/10/2019 1.836 -0.078 0.717 1.395
11/17/2019 1.771 -0.048 0.738 1.355
11/24/2019 1.774 0.002 0.751 1.331
12/1/2019 1.843 0.052 0.751 1.332
12/8/2019 1.824 -0.014 0.737 1.358
12/15/2019 1.919 0.070 0.740 1.351
12/22/2019 1.877 -0.030 0.722 1.385
12/29/2019 1.793 -0.061 0.730 1.370
1/5/2020 1.82 0.020 0.747 1.339
1/12/2020 1.825 0.004 0.741 1.349
1/19/2020 1.686 -0.103 0.740 1.351
1/26/2020 1.505 -0.139 0.770 1.298
2/2/2020 1.582 0.063 0.815 1.227
2/9/2020 1.588 0.005 0.795 1.258
2/16/2020 1.473 -0.091 0.794 1.260
2/23/2020 1.163 -0.255 0.824 1.214
3/1/2020 0.773 -0.362 0.927 1.078
3/8/2020 0.983 0.239 1.137 0.879
3/15/2020 0.885 -0.099 1.009 0.991
3/22/2020 0.676 -0.222 1.063 0.941
3/29/2020 0.599 -0.094 1.216 0.822
4/5/2020 0.729 0.168 1.292 0.774
4/12/2020 0.642 -0.102 1.171 0.854
4/19/2020 0.605 -0.046 1.248 0.801
4/26/2020 0.618 0.017 1.286 0.778
5/3/2020 0.685 0.085 1.272 0.786
5/10/2020 0.644 -0.050 1.208 0.828
5/17/2020 0.657 0.016 1.246 0.802
5/24/2020 0.653 -0.005 1.234 0.811
5/31/2020 0.893 0.297 1.237 0.808
6/7/2020 0.71 -0.194 1.058 0.945
6/14/2020 0.694 -0.019 1.187 0.843
6/21/2020 0.64 -0.065 1.200 0.833
6/28/2020 0.669 0.036 1.250 0.800
7/5/2020 0.643 -0.032 1.223 0.818
7/12/2020 0.623 -0.025 1.247 0.802
7/19/2020 0.587 -0.046 1.267 0.789
7/26/2020 0.533 -0.070 1.305 0.766
8/2/2020 0.566 0.045 1.370 0.730
8/9/2020 0.709 0.190 1.329 0.752
8/16/2020 0.636 -0.087 1.188 0.842
8/23/2020 0.724 0.110 1.254 0.797
8/30/2020 0.721 -0.004 1.175 0.851
9/6/2020 0.669 -0.061 1.178 0.849
9/13/2020 0.697 0.034 1.223 0.818
9/20/2020 0.656 -0.049 1.198 0.835
9/27/2020 0.704 0.059 1.235 0.810
10/4/2020 0.779 0.089 1.192 0.839
10/11/2020 0.749 -0.034 1.133 0.883
10/18/2020 0.841 0.106 1.155 0.865
10/25/2020 0.874 0.036 1.090 0.917
11/1/2020 0.82 -0.058 1.070 0.935
11/8/2020 0.898 0.086 1.104 0.906
11/15/2020 0.824 -0.078 1.055 0.948
11/22/2020 0.842 0.020 1.102 0.908
11/29/2020 0.973 0.143 1.090 0.918
12/6/2020 0.896 -0.078 1.014 0.986
12/13/2020 0.945 0.052 1.056 0.947
12/20/2020 0.926 -0.020 1.029 0.972
12/27/2020 0.916 -0.010 1.039 0.962
1/3/2021 1.119 0.212 1.045 0.957
1/10/2021 1.087 -0.030 0.945 1.058
1/17/2021 1.086 -0.001 0.959 1.043
1/24/2021 1.071 -0.014 0.960 1.042
1/31/2021 1.169 0.095 0.966 1.035
2/7/2021 1.21 0.038 0.925 1.081
2/14/2021 1.34 0.118 0.909 1.100
2/21/2021 1.407 0.058 0.864 1.158
2/28/2021 1.577 0.143 0.843 1.186
3/7/2021 1.625 0.038 0.796 1.256
3/14/2021 1.73 0.082 0.784 1.275
3/21/2021 1.674 -0.043 0.760 1.315
3/28/2021 1.673 -0.001 0.773 1.294
4/4/2021 1.662 -0.009 0.773 1.293
4/11/2021 1.59 -0.056 0.776 1.289
4/18/2021 1.559 -0.025 0.793 1.261
4/25/2021 1.626 0.054 0.801 1.249
5/2/2021 1.579 -0.037 0.784 1.275
5/9/2021 1.635 0.045 0.796 1.257
5/16/2021 1.623 -0.009 0.782 1.279
5/23/2021 1.581 -0.033 0.785 1.274
5/30/2021 1.557 -0.019 0.795 1.257
6/6/2021 1.454 -0.083 0.801 1.248
6/13/2021 1.443 -0.009 0.829 1.206
6/20/2021 1.524 0.067 0.832 1.201
6/27/2021 1.431 -0.075 0.810 1.235
7/4/2021 1.361 -0.059 0.836 1.196
7/11/2021 1.3 -0.052 0.857 1.167
7/18/2021 1.281 -0.017 0.877 1.140
7/25/2021 1.226 -0.049 0.884 1.132
8/1/2021 1.305 0.071 0.903 1.107
8/8/2021 1.283 -0.019 0.875 1.142
8/15/2021 1.255 -0.025 0.883 1.133
8/22/2021 1.31 0.049 0.893 1.120
8/29/2021 1.326 0.014 0.874 1.145
9/5/2021 1.343 0.015 0.868 1.152
9/12/2021 1.363 0.017 0.863 1.159
9/19/2021 1.453 0.077 0.857 1.167
9/26/2021 1.465 0.010 0.830 1.205
10/3/2021 1.612 0.121 0.826 1.210
10/10/2021 1.574 -0.030 0.788 1.270
10/17/2021 1.638 0.051 0.797 1.255
10/24/2021 1.561 -0.060 0.781 1.280
10/31/2021 1.455 -0.085 0.800 1.249
11/7/2021 1.57 0.095 0.829 1.206
11/14/2021 1.548 -0.018 0.798 1.253
11/21/2021 1.482 -0.053 0.804 1.244
11/28/2021 1.356 -0.104 0.821 1.217
12/5/2021 1.482 0.108 0.859 1.164
12/12/2021 1.407 -0.062 0.821 1.217
12/19/2021 1.493 0.073 0.843 1.186
12/26/2021 1.512 0.016 0.818 1.222
1/2/2022 1.765 0.206 0.813 1.230
1/9/2022 1.793 0.021 0.753 1.329
1/16/2022 1.77 -0.017 0.747 1.339
1/23/2022 1.778 0.006 0.752 1.330
1/30/2022 1.916 0.103 0.750 1.333
2/6/2022 1.918 0.001 0.722 1.384
2/13/2022 1.927 0.006 0.722 1.385
2/20/2022 1.97 0.031 0.720 1.388
2/27/2022 1.737 -0.166 0.712 1.404
3/6/2022 1.997 0.197 0.759 1.318
3/13/2022 2.153 0.110 0.708 1.413
3/20/2022 2.488 0.228 0.682 1.467
3/27/2022 2.389 -0.063 0.634 1.577
4/3/2022 2.704 0.204 0.647 1.546
4/10/2022 2.828 0.075 0.608 1.644
4/17/2022 2.905 0.046 0.595 1.682
4/24/2022 2.938 0.019 0.587 1.704
5/1/2022 3.142 0.119 0.583 1.714
5/8/2022 2.928 -0.121 0.564 1.773
5/15/2022 2.788 -0.082 0.584 1.711
5/22/2022 2.743 -0.027 0.599 1.670
5/29/2022 2.941 0.120 0.604 1.656
6/5/2022 3.165 0.131 0.583 1.715
6/12/2022 3.231 0.037 0.562 1.779
6/19/2022 3.138 -0.052 0.556 1.797
6/26/2022 2.889 -0.141 0.565 1.771
7/3/2022 3.08 0.112 0.588 1.700
7/10/2022 2.928 -0.087 0.570 1.755
7/17/2022 2.754 -0.102 0.584 1.711
7/24/2022 2.658 -0.058 0.603 1.660
7/31/2022 2.827 0.104 0.613 1.630
8/7/2022 2.842 0.009 0.595 1.681
8/14/2022 2.976 0.079 0.593 1.686
8/21/2022 3.03 0.031 0.580 1.725
8/28/2022 3.195 0.095 0.574 1.741
9/4/2022 3.315 0.067 0.559 1.787
9/11/2022 3.455 0.077 0.549 1.821
9/18/2022 3.687 0.125 0.538 1.859
9/25/2022 3.829 0.074 0.521 1.920
10/2/2022 3.888 0.030 0.511 1.957
10/9/2022 4.023 0.068 0.507 1.972
10/16/2022 4.219 0.098 0.499 2.006
10/23/2022 4.01 -0.102 0.487 2.054
10/30/2022 4.163 0.076 0.499 2.002
11/6/2022 3.811 -0.173 0.490 2.040
11/13/2022 3.829 0.009 0.512 1.952
11/20/2022 3.691 -0.071 0.511 1.957
11/27/2022 3.492 -0.104 0.521 1.921
12/4/2022 3.586 0.050 0.535 1.869
12/11/2022 3.488 -0.052 0.528 1.894
12/18/2022 3.751 0.141 0.535 1.868
12/25/2022 3.879 0.066 0.516 1.937
1/1/2023 3.56 -0.162 0.508 1.970
1/8/2023 3.498 -0.033 0.530 1.887
1/15/2023 3.482 -0.009 0.535 1.870
1/22/2023 3.507 0.013 0.536 1.866
1/29/2023 3.519 0.006 0.534 1.873
2/5/2023 3.743 0.119 0.533 1.876
2/12/2023 3.817 0.038 0.517 1.935
2/19/2023 3.947 0.067 0.512 1.954
2/26/2023 3.958 0.006 0.503 1.987
3/5/2023 3.704 -0.128 0.503 1.989
3/12/2023 3.438 -0.138 0.520 1.925
3/19/2023 3.372 -0.036 0.539 1.854
3/26/2023 3.473 0.055 0.545 1.836
4/2/2023 3.413 -0.032 0.537 1.864
4/9/2023 3.515 0.055 0.541 1.847
4/16/2023 3.568 0.028 0.533 1.875
4/23/2023 3.433 -0.071 0.529 1.889
4/30/2023 3.435 0.001 0.540 1.853
5/7/2023 3.463 0.015 0.540 1.853
5/14/2023 3.682 0.118 0.537 1.861
5/21/2023 3.81 0.067 0.521 1.919
5/28/2023 3.698 -0.057 0.512 1.952
6/4/2023 3.743 0.023 0.520 1.923
6/11/2023 3.767 0.012 0.517 1.935
6/18/2023 3.737 -0.015 0.515 1.941
6/25/2023 3.841 0.054 0.517 1.933
7/2/2023 4.066 0.115 0.510 1.960
7/9/2023 3.782 -0.141 0.496 2.016
 Cox-Ingersoll-Ross Model (1985)

Continous Form: 𝑑𝑟𝑡=𝑘(𝜃 −𝑟𝑡)𝑑𝑡+ √𝑟𝑡 𝜎𝑑𝑊𝑡

Discrete Form: ∆𝑟𝑡=𝑘(𝜃 −𝑟𝑡−1)∆𝑡+ 𝜀𝑡(0,𝑟𝑡−1𝜎2)
OLS Form: (𝑟𝑡 −𝑟𝑡−1)/(√𝑟 𝑡−1) =(𝑘.𝜃)/(√𝑟 𝑡−1) −𝑘√(𝑟𝑡−1)+ 𝜀𝑡(0,𝜎2)

SS MS F Significance F
0.015914764622682 0.0079573823 1.3532864147 0.25930165822
3.05174231754842 0.005880043
3.06765708217111

Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0%
#N/A #N/A #N/A #N/A #N/A #N/A
0.011400833137191 1.5682742439 0.1174266028 -0.0045178205 0.0402770865 -0.0045178205
0.005579528389806 -1.2350041265 0.21738777 -0.017851977 0.0040704959 -0.017851977
√(𝑟𝑡−1)+ 𝜀𝑡(0,𝜎2)

Upper 95.0%
#N/A
0.0402770865
0.0040704959