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## SHORT MEMORY REASONABLE FOR 3-MONTH CONSTANT MATURITY

Long memory for equities is universal but here is a quick exercise to check the spectral density of 3-month constant maturity Treasuries and see that a short memory model does fine.  The data can be obtained here.  cm-rates3m The R code is:

Then you can take a look at the decay of the fit directly by estimated parameter $b=-3987$.