This article provides several estimates for the shadow rate (SR) of the short-term interest rate in US. We assume maximal models with two and three Gaussian factors, and we use forward rates to estimate the model's parameters. Based on that, we conclude that point estimates of SR should be taken...

This paper provides several estimates of the GARCH models' parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the long-term volatility. By providing an...