How should rolling window of parameter estimates look like?


I am using Orstein-Uhlenbeck model to model inflation: $dI_t=\theta(\mu-I_t)dt+\sigma dW_t$. I have plotted rolling window estimates of all the parameters. However, I do not understand what to conclude from them. I know that this model assumes long-term mean and it would be nice to have convergence is estimates. I would appreciate it if you could help me with conclusions. Red is $\sigma$, pink is $\mu$ and blue is $\theta$.

Sigma mu theta


Posted 2020-05-13T20:20:56.817

Reputation: 23

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