Journal of Statistics Applications & Probability
Abstract
Interest rates play an important role in the financial environment, affecting business transactions directly or indirectly. Fluctuations in interest rates caused largely by demand and supply of credit, regulated by the apex banks, impacts business transactions in the Economy. Understanding the dynamics of interest rates is therefore very important to Financial institutions, individual and corporate investors. In this work, the dynamics of Bank of Ghana’s, daily interest rates, ( Jan 2020 - July 2021) is modeled using the Hull-White model. London interbank offer rates, for the same period are included in the analysis. By estimating the parameters of the model, and using a computation algorithm for the solution of the SDE of the model; It is found that the mean reverting model captured the BOG and LIBOR rates well, largely maintaining the trend of the data structure. It also pointed to the presence of jumps in the data sets.
Digital Object Identifier (DOI)
https://dx.doi.org/10.18576/jsap/130202
Recommended Citation
Peace Ogbogbo, Chisara
(2024)
"Modeling Interest Rate Dynamics for the Bank of Ghana Rates using the Hull-White Model,"
Journal of Statistics Applications & Probability: Vol. 13:
Iss.
2, Article 4.
DOI: https://dx.doi.org/10.18576/jsap/130202
Available at:
https://digitalcommons.aaru.edu.jo/jsap/vol13/iss2/4