A Segmented Hybrid Model To Estimate Interest Rate Term Structure Based On NS Class Model And Spline Class Model

The term structure of the national debt interest rate refers to the relationship between the spot interest rate and the maturity of the national debt,which directly reflects the investor's expectation of future interest rate changes,the overall level and direction of market interest rate,and is an important basis for asset pricing,risk management and policy formulation.Accurately estimating the term structure of interest rates has important research value.The estimation model of the term structure of interest rates can be divided into two categories:one is a parametric model represented by an NS model,and the other is a nonparametric model represented by a spline.The NS model uses a multi-factor model to estimate the term structure of interest rates.The biggest feature is that the parameters of the model have economic interpretations,but because of the low sensitivity of short-term bond prices to interest rates,the short-term error of the NS-type model in estimating the term structure of interest rates Larger.The spline method performs segmentation fitting on the term structure of the interest rate to make the model have strong fitting ability,and can achieve the smoothness of the model to estimate the yield curve by adding a smooth penalty term,but because of the long-term or ultra-long-term bond Less,the forward interest rate estimated by the spline class model is not accurate.Based on the above two models,this paper proposes a piecewise hybrid model to estimate the term structure of interest rates.The hybrid model uses the B-spline basis function to estimate the short-term structure of the interest rate term structure,and uses a parametric model to fit the medium-and long-term structure of the interest rate term structure.Using the NS model,spline model and hybrid model to estimate the term structure of the government bond interest rate of the Shanghai Stock Exchange from January 2014 to January 2017 and the financial crisis period from January 2008 to December 2009,the empirical results show that:The piecewise hybrid model combines the advantages of the NS-type model and the spline model,overcomes the shortcomings of the two models,and can well estimate the short-term and medium-term long-term structure of the interest rate term.