Fitting Accuracy,Smoothness and the Estimation ofTerm Structure of Interest Rates

• Main Authors: Zhen-Yu Chen, 陳振宇
• Other Authors: Jian-Hsin Chou
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/59071963856564984965

碩士 === 國立高雄第一科技大學 === 財務管理所 === 93 === This paper is aimed to improve the fitting smoothness for the estimation of the term structure of Taiwan Government Bonds market. Six term structure estimation models, including the GCV, VRP, Nelson and Siegel model, Nelson and Siegel combined with GCV, Nelson and Siegel combined with VRP, and Nelson and Siegel combined with Anderson-Sleath are used to compare their fitting performance in accuracy and smoothness. The empirical results indicate that, the three Nelson and Siegel correction models produce better smoothness results than the original model. Also, if we take both the fitting accuracy and smoothness into consideration, the GCV model or the Nelson and Siegel combined with Anderson-Sleath model will be a better choice.