Lévy-stable autoregressive model for the federal funds rate

Abstract

In this paper, we will try to adjust the behaviour of the US Federal Funds interest rate to a model of
autoregressive Levy-stable. We will conduct a series of tests after which it will offer the best model for this data series distributed in time, in this case, a linear model type AR (1) stationary whose distribution i.i.d. innovations would be a stable Lévy law and proceed thereafter to the estimation of nine parameters for this model