Detail práce

The Nelson-Siegel Model: Present Application and Alternative Lambda Determination

Autor: Bc. Jan Marek
Rok: 2015 - letní
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 55
Abstrakt: This thesis contributes to the topic of yield curve modelling by revaluing the
famous Nelson-Siegel model in the relatively outdated but very parsimonious
version. In order to make this framework applicable to present yield curves of
government bonds, we introduce an alternative model dealing with an appropriateness
of the possibly overlooked model parameter lambda. By incorporating
the sound methodology, we model the yield curves of the three currency regions
- EUR, USD and GBP - and assess both in-sample fit and forecasting performance.
Whereas the in-sample predicting generally achieves the best results
with the alternative model predicting model coefficients, especially for longer
maturities, the out-of-sample forecasting seems more complicated. Actually, the
detail analysis show an interesting connection between efficiencies of the models
and bond market volatilities. On the base of our research, the model directly
extrapolating yields appears to be more suitable for more volatile markets




Patria Finance