Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

Table 5

Analysis results of prediction errors of SHIBOR two-factor Vasicek model.

Error analysis	Variance	Mean square error	Average relative error	Maximum absolute value error
O/N	0.004308	0.019736	0.127703	0.232284
1-week	0.003746	0.008812	0.080438	0.118666
2-week	0.009814	0.036827	0.14746	0.080697
1-month	0.008153	0.028611	0.13772	0.301889
3-month	0.001746	0.001335	0.032295	0.043602
6-month	0.004104	0.008984	0.088007	0.054531
9-month	0.004801	0.01201	0.104805	0.074383
1-year	0.004243	0.008834	0.086004	0.049985