Yield Curve Estimation, Cubic Spline McCulloch Model, Parsimonies Nelson Siegel Model, and The minimum RMSEY/MAYE
Abstract
This study is to estimate the monthly yield curve of Indonesian Government Bonds and to find the better estimation model. The yield curve is run by the Cubic Spline McCullcoh Model and the Nelson-Siegel Model. The Root Mean Square Error Yield (RMSEY) and the Mean Absolute Yield Error (MAYE) are used as indicators. The best model is one that can produce a minimum error. This research showed that the Cubic Spline McCulloch is the better estimation model due to the minimum RMSEY/MAYE compared to the Parsimonies Nelson-Siegel Model.
