Extraction of zero coupon yield curve for Nairobi securities exchange: finding the best parametric model for East African securities markets

Show simple item record

dc.contributor.author Muthoni, Lucy
dc.contributor.author Onyango, Silas
dc.contributor.author Ongati, Naftali O.
dc.date.accessioned 2018-11-12T08:32:39Z
dc.date.available 2018-11-12T08:32:39Z
dc.date.issued 2015
dc.identifier.uri http://ir.jooust.ac.ke:8080/xmlui/handle/123456789/2623
dc.description.abstract We seek to construct a zero coupon yield curve (ZCYC) for Nairobi Securities Exchange (NSE). The objective of this paper is to construct a ZCYC that is differentiable at all points and at the same time, produces continuous and positive forward curve. We will use the classical Nelson-Siegel model, Svensson Model, Rezende-Ferreira model and Svensson extended model. These models have linear and nonlinear guidelines making them have multiple local minima. This condition causes model estimation more difficult to estimate. We therefore use L-BFGS-B method as the optimization approach for estimating the models. We compare the models’ performance in terms of continuity and differentiability of the ZCYC, and positivity of the forward curve. We use bond data from Central Bank of Kenya (CBK). The best parametric model to be used for the Kenyan securities market and, consequently, the East African Securities markets is chosen if and only if it depicts the aforementioned qualities. en_US
dc.language.iso en en_US
dc.publisher Science Signpost Publishing en_US
dc.subject BFGS, en_US
dc.subject zero coupon yield curves en_US
dc.subject parametric models en_US
dc.subject Nairobi Securities Exchange en_US
dc.title Extraction of zero coupon yield curve for Nairobi securities exchange: finding the best parametric model for East African securities markets en_US
dc.type Article en_US


Files in this item

This item appears in the following Collection(s)

Show simple item record

Search DSpace


Advanced Search

Browse

My Account