Yield curve estimination by spline based models

Abstract

Bu çalısmada, Türkiye'deki kuponsuz bonoların getiri egrilerini belirlemekiçin, McCulloch tarafından gelistirilen Spline bazlı modelini ve Nelson ve Siegeltarafından gelistirilen, parsimonious modelini kullandık. Bu çalısmadaki verimiziOcak 2005'ten Haziran 2005'e kadar olan Türkiye'deki kuponsuz bonolarıkullanarak olusturduk. Daha sonra, kullandıgımız modellerin performansları buveriye göre karsılastırıldı. Sonuç olarak, McCulloch modeli, getirilerin tahminedilmesinde Nelson-Siegel modelinden daha iyi performans göstermektedir.Anahtar Kelimeler: Getiri egrileri, kuponsuz bonolar, B-spline, The McCulloch veNelson-Siegel modeli

This thesis uses Spline-based model, which was developed by McCulloch,and parsimonious model, which was developed by Nelson-Siegel, to estimate theyield curves of zero-coupon bonds in Turkey. In this thesis, we construct the data byusing Turkish secondary government zero-coupon bond data, which contain the datafrom January 2005 to June 2005. After that, relative performances of models arecompared using in-sample goodness of fit. As a result, we see that performance ofMcCulloch model in fitting yield is better than that of Nelson-Siegel model.Keywords: Yield curves, zero-coupon bonds, B-spline, The McCulloch and Nelson-Siegel Model