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Theory and Modern Applications

Table 3 Parameters of the exponential Ornstein–Uhlenbeck process obtained for the gold spot price through the maximum log-likelihood method

From: Calibration of the exponential Ornstein–Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices

 

Miu hat

Theta

Sigma

Daily

7.22

0.0002

1.23%

Annualized

7.67

0.0420

19.42%

Annual

7.49

0.0497

19.06%