Figure 3. AD&Co's volatility indices in 2003

Does this finding mean that all users should switch to the SG model? Perhaps this move would be overreacting. As seen on Figure 3, the HW model has recovered nicely from this blow once rates rose. The race of the major league indices remains close. On a more serious note, the SG model and related Cox-Ingersoll-Ross (CIR) model, both with the square-root volatility specification, have always been decent choices.