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Modeling the yield curve of spot interest rates under the conditions in Bulgaria

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  • Ganchev, Alexander

Abstract

The article investigate the accuracy and stability of quantitative models for modeling of the spot rate curve under the Bulgarian conditions. The empirical analysis does not single out the best model for modeling the spot interest curve although it shows that the model with the worst performance considering all quantitative criteria is the model of Nelson and Siegel.The empirical results show that despite their accuracy the models proposed by Svensson, Vasicek, and El Karoui, Cherif, Dicoum, and Savidan are not stable. On the other hand the model proposed by Martellini and Priaulet stands out with its greater performance stability. The combination of its satisfactory stability and ability to model correctly the bond prices makes this model the most appropriate method for modeling the spot interest rates curve in Bulgaria.

Suggested Citation

  • Ganchev, Alexander, 2009. "Modeling the yield curve of spot interest rates under the conditions in Bulgaria," MPRA Paper 70048, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:70048
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    References listed on IDEAS

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    Cited by:

    1. Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    2. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.

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    More about this item

    Keywords

    Yield curve; yield curve modelling; spot interest rates;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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