estimate_yield_model: Estimate Yield Curve Models

In joergrieger/RYieldCurve: Estimate Yield Curve Models

Description

This function estimates yield curve models and computes term premia. Users have the choice between several yield curve models such as the Dynamic-Nelson-Siegel model (\insertCitediebold2006forecastingRYieldCurve,\insertCitenelson1987parsimoniousRYieldCurve), the dynamic version of the Svensson-Söderlind (\insertCitesoderlind1997newRYieldCurve) model or Joslin-Singleton-Zhu-model. For the DNS and DSS model the decay factors is computed using a grid search over the range [0.001,0.300]. The program choses the decay factors that minimizes the sum of squared errors between model yields and yields supplied by the user. Alternatively the user can provide decay factor(s).

Usage

estimate_yield_model(yields, exogen = NULL, maturity, frequency = 12,
  method = "DNS", lambda = NULL)

Arguments

yields	A Txn panel of yields. Has to be a ts-objects
exogen	Exogeneous Variables for the VAR-Model
maturity	An nx1-vector of maturities.
frequency	data frequency (12=monthly, 52 = weekly, 360 = daily)
method	The method which is used to extract the factors. (DNS = Dynamic Nelson-Siegel, DSS = Dynamic Söderlind-Svensson Model)
lambda	Decay factor(s). If decay factors are not provided by the user the code will automatically search for the optimal decay factors.

References

\insertAllCited

Examples

## Not run: 
library(RYieldCurve)
data(US_Yield_Curve)

# estimate yield curve model using dynamic Nelson-Siegel model
maturity <- seq(1:30)*12
test <- estimate_yield_model(yields = Yield_training,exogen=NULL,maturity = maturity,method="DNS")

## End(Not run)

joergrieger/RYieldCurve documentation built on May 25, 2020, 9:03 p.m.