Arbeitspapier
Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
In this paper we compare the in-sample fit and out-of-sample forecasting performance of no-arbitrage quadratic and essentially affine term structure models, as well as the dynamic Nelson-Siegel model. In total eleven model variants are evaluated, comprising five quadratic, four affine and two Nelson-Siegel models. Recursive re-estimation and out-of-sample one-, six- and twelve-months ahead forecasts are generated and evaluated using monthly US data for yields observed at maturities of 1, 6, 12, 24, 60 and 120 months. Our results indicate that quadratic models provide the best in-sample fit, while the best out-of-sample performance is generated by three-factor affine models and the dynamic Nelson-Siegel model variants. However, statistical tests fail to identify one single-best forecasting model class.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1205
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Statistical Simulation Methods: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Affine term structure models
forecast performance
Nelson-Siegel model
quadratic yield curve models
Prognoseverfahren
Zinsstruktur
Nichtparametrisches Verfahren
Modellierung
Zero-Bond
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Nyholm, Ken
Vidova-Koleva, Rositsa
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Nyholm, Ken
- Vidova-Koleva, Rositsa
- European Central Bank (ECB)
Entstanden
- 2010
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