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Theory and Modern Applications

Table 4 Coefficients of the exponential Ornstein–Uhlenbeck process obtained for the gold spot price through the least squares method

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

 

a

b

Std(η)

Daily

0.9998

0.0012

1.23%

Annual

0.9515

0.3451

19.06%