Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model With Time-Varying Parameters

作者：Koopman Siem Jan^*; Mallee Max I P; Van der Wel Michel

来源：Journal of Business & Economic Statistics, 2010, 28(3): 329-343.

DOI：10.1198/jbes.2009.07295

• Extended Kalman filter
• Generalized autoregressive conditional heteroscedasticity model
• Time-varying volatility
• Yield curve

In this article we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson-Siegel model has been recently reformulated as a dynamic factor model with vector autoregressive factors. We extend this framework in two directions. First, the factor loadings in the Nelson-Siegel yield model depend on a single loading parameter that we treat as the fourth latent factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH) process. We present empirical evidence of considerable increases in within-sample goodness of fit for these advances in the dynamic Nelson-Siegel model.

• 出版日期2010-7