An Empirical Study of the Yield Curve with GovPX Data
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There exist many methodologies to fit the zero-coupon yield curve. However, there are few papers that compare the methods using observed interest rates data. Recently, high-frequency data analysis has become popular. GovPX database is popular to analyze U.S. Treasury securities market with high frequency. We hope to compare the methods to construct zero-coupon yield curve with GovPX data. We use three methods (the Nelson-Siegel Method, the Svensson Method, and the cubic spline method) in order to construct and compare our zero-coupon yield curves. Our results show that we can construct zero-coupon yield curves with different frequencies that cover from low frequency to high frequency using GovPX data by three methods. Also, we show that, empirically, the results by three methods are not different although the three methods are very different.
Abstract
There exist many methodologies to fit the zero-coupon yield curve. However, there are few papers that compare the methods using observed interest rates data. Recently, high-frequency data analysis has become popular. GovPX database is popular to analyze U.S. Treasury securities market with high frequency. We hope to compare the methods to construct zero-coupon yield curve with GovPX data. We use three methods (the Nelson-Siegel Method, the Svensson Method, and the cubic spline method) in order to construct and compare our zero-coupon yield curves. Our results show that we can construct zero-coupon yield curves with different frequencies that cover from low frequency to high frequency using GovPX data by three methods. Also, we show that, empirically, the results by three methods are not different although the three methods are very different.
참고문헌 (10)
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