Построение модели Васичека для прогнозирования ключевой процентной ставки Центрального банка Российской Федерации

Abstract

In this study, we collected and processed data on the key interest rate of the Central Bank of the Russian Federation for 2022-2024 (17 key rate values). The coefficients of the Vasicek model were calculated: the long-term average, volatility were calculated, and the rate of return to the average was determined. The coefficients of the Vasicek model were calibrated based on historical data. For this purpose, the key interest rate values were predicted for a short period of time, and then the error value was minimized. We predicted the key interest rate for a short-term period of time using the developed model and calculated forecast quality metrics such as RMSE and MAE