Proceedings of the 9th International Conference on Accounting, Management, and Economics 2024 (ICAME 2024)

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Comparative Analysis of Vasicek, CIR, and Dothan Models for Forecasting Interest Rates and ORI Prices

Authors
Ika Reskiana Adriani1, *, Hartina Husain1, Wahyuni Ekasasmita1, Kusnaeni1
1Institut Teknologi Bacharuddin Jusuf Habibie, Parepare, 91122, Indonesia
*Corresponding author. Email: ikaradriani@ith.ac.id
Corresponding Author
Ika Reskiana Adriani
Available Online 30 July 2025.
DOI
10.2991/978-94-6463-758-8_186How to use a DOI?
Keywords
ORI; Vasicek; CIR; Dothan
Abstract

Investing involves allocating money with the expectation of future benefits. One common form of investment is bonds, which are financial ‘instruments issued to raise capital from investors, offering regular interest payments. In Indonesia, ORI (Indonesian Retail Bonds) is a type of bond that can be traded on the secondary market. As such, determining the price of ORI is crucial for planning purchase and trade transactions. Interest rates are a key factor affecting investments. The fluctuation of interest rates can be modeled as a stochastic process, which can be observed through various stochastic models. The purpose of this study is to use stochastic models such as Vasicek, CIR, and Dothan to forecast Indonesia’s reference interest rate and apply these predictions to ORI pricing. First, the parameters are estimated using ordinary least squares on historical interest rate data. Then, interest rates are calculated using a Monte Carlo simulation to obtain the average rate. Afterward, the Kolmogorov-Smirnov test is used to determine the best-fitting model. Finally, the estimated interest rates are applied to calculate the price of ORI.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 9th International Conference on Accounting, Management, and Economics 2024 (ICAME 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
30 July 2025
ISBN
978-94-6463-758-8
ISSN
2352-5428
DOI
10.2991/978-94-6463-758-8_186How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Ika Reskiana Adriani
AU  - Hartina Husain
AU  - Wahyuni Ekasasmita
AU  - Kusnaeni
PY  - 2025
DA  - 2025/07/30
TI  - Comparative Analysis of Vasicek, CIR, and Dothan Models for Forecasting Interest Rates and ORI Prices
BT  - Proceedings of the 9th International Conference on Accounting, Management, and Economics 2024 (ICAME 2024)
PB  - Atlantis Press
SP  - 2331
EP  - 2345
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-758-8_186
DO  - 10.2991/978-94-6463-758-8_186
ID  - Adriani2025
ER  -