Forecasting term structure of government bond yields in Thailand : Nelson-Siegel model and Svensson model

Name: Siwapon Thamviriyaporn

keyword: Yield curve

LCSH: Government securities -- Thailand

; Forecasting

LCSH: Government securities -- Mathematical models

; Nelson-Siegel model

; Svensson model

Abstract: The yield curve is the benchmark for investors. Change in yield curve will affect to the other market index. The primary focus of this paper is forecasting the yield curve in Thailand. There are many ways to predict the yield curve. One of the famous paper which outperformed many models is Diebold and Li (2006). They suggested using fixed lambda parameter in Nelson-Sigel (1987) for out-of-sample forecasting. In this paper, I compare fixed lambda parameter method and time-varying method. Moreover, this independent study is adopted fixed lambda method into Svensson (1994) model which is the extension model of Nelson-Siegel. The results show that fixed lambda method can apply to Svensson model. It improves out-of-sample forecasting of the yield curve at 5-10 years to maturities. Finally, I added inflation variable to improve forecasting model. Inflation can increase the accuracy of predicting model that have time to maturities more than five years

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Sakkakom Maneenop

Role: advisor

Created: 2016

Modified: 2021-06-11

Issued: 2021-06-11

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2016.367

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Thammasat University

©copyrights Thammasat University

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