Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors
研究了动态Nelson-Siegel模型的多项扩展对收益率曲线预测的影响，发现第二衰减参数无助于预测，最佳模型因期限而异：短期需时变衰减和异方差性，长期则依赖宏观经济活动的基本模型。
In this article, we analyse the forecasting performance of several parametric extensions of the popular Dynamic Nelson–Siegel (DNS) model for the yield curve. Our focus is on the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macroeconomic variables. We also consider the role of several popular restrictions on the dynamics of the factors. Using a novel dataset of end‐of‐month continuously compounded Treasury yields on US zero‐coupon bonds and frequentist estimation based on the extended Kalman filter, we show that a second decay parameter does not contribute to better forecasts. In concordance with the preferred habitat theory, we also show that the best forecasting model depends on the maturity. For short maturities, the best performance is obtained in a heteroscedastic model with a time‐varying decay parameter. However, for long maturities, neither the time‐varying decay nor the heteroscedasticity plays any role, and the best forecasts are obtained in the basic DNS model with the shape of the yield curve depending on macroeconomic activity. Finally, we find that assuming non‐stationary factors is helpful in forecasting at long horizons.