Modelling interest rates: Cox-Ingersoll-Ross model explained (Excel)

Cox, Ingersoll, and Ross (CIR) model (1985) is a famous and well-known time series model used to forecast and explain interest rate dynamics. It builds upon the Vasicek model, while addressing some of its limitations, including negative interest rates and heteroskedasticity. Today, we are learning how to implement the Cox, Ingersoll, and Ross model in Excel and discuss its applications.
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[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

[@MrMahankumar]

Hey man great!!!!! This is a very applied topic and I didn't even know it exists! Thanks Sava for uploading this!

[@uchiha9120]

Great video, can you please make a video on how to make the forecasts

[@user-wu2fq3vb1d]

Hi there! Thanks so much for creating these really useful and insightful videos. If possible can you show how to implement a discretised CIR process in Excel and how the volatility is scaled by the level of rate. Thanks!

[@moatazsabi8771]

Absolutely great, clear and relevant explanation, as for all video. Really thank you, your channels is a blessing for professionals trying to improve their understanding. I also have implemented the CIR model using even more recent mortgage rates, and I notice that the model stops being significant as soon as we include the 2020 period and beyond, do you have any insight on that ?

[@carlosrivas2744]

Hello, Savva!!! Really glad to have people such as yourself who can explain complex topics in an easy and intuitive way. I just have one question: in order to forecast the interest rate for the next period (t+1), would you use the same equation as in the Vasicek model?

[@reubenmarfo9855]

how do you use the parameters to forecast?

[@yuntongliJames]

Hey man, thanks for recording these videos. Just tried it on Euribor, didn't really work as the P values are extremely high. Do you maybe have any suggestions to solve it?

Great content. Can you also do it on the Heston Model for some stock price by estimating the parameters using the historical price data?

[@NEDLeducation]

Hi Mehmet, and glad you are enjoying the channel! I am actually planning to release a video on Heston's model very soon, thanks for the suggestion!

[@surendrabarsode8959]

Very well explained. Can you also indicate which books or articles you referred for the various formulas? That will be helpful for further understanding of the topic. Thanks!!!

[@NEDLeducation]

Hi Surendra, and glad you liked the video! I do have a collection of free-to-access journal articles that informed my videos on my Google Drive so please check out the pinned comment!

[@surendrabarsode8959]

@@NEDLeducation Thanks Savva. Warm regards.

[@emmamugo4545]

Which would you recommend, CIR or Vasieck?