How do I calculate standard errors for mean reversion parameter estimates?
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Hi,
I use the following code from http://www.mathworks.com/matlabcentral/fileexchange/28056-energy-trading-risk-management-with-matlab-webinar-case-study/content/html/ModelNGPrice.html
in order to calibrate a Vasicek model:
x = log(S);
dx = diff(x);
dt = 1; %
dxdt = dx/dt;
x(end) = []; % To ensure the number of elements in x and dxdt match
% Fit a linear trend to estimate mean reversion parameters
coeff = polyfit(x, dxdt, 1);
res = dxdt - polyval(coeff, x);
revRate = -coeff(1)
meanLevel = coeff(2)/revRate
vol = std(res) * sqrt(dt)
And finally..
ste = sqrt(diag(inv(s.R)*inv(s.R')).*s.normr.^2./s.df);
provides the standard errors for the two estimated coefficients.
What is the standard error for meanLevel and vol?
Any hints are highly appreciated.
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