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Estimation of term structures using Nelson-siegel and Nelson-siegel-svensson: A case of a Zimbabwean bank

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The primary objective of the study was to determine the best parametric model that can be used for fitting yield curves for a bank between Nelson-Siegel model and Nelson-Siegel-Svensson.Nelson-Siegel and Nelson-Siegel-Svensson models using Ordinary Least Squares after fixing the shape parameters to make the models linear models. A t-test conducted is conducted on the adjusted R2 of the two models and results showed that Nelson-Siegel-Svensson model fits better the yield curves of the Bank compared to Nelson-Siegel model. | Estimation of term structures using Nelson-siegel and Nelson-siegel-svensson: A case of a Zimbabwean bank

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