We forecast the U.S. Treasury yield curve using the Dynamic Nelson-Siegel model in a state-space framework. A Kalman Filter estimates latent factors, and a GARCH(1,1) extension captures time-varying volatility. The KF-GARCH model improves uncertainty quantification, especially for long-term yields.
Stars
0
Forks
0
Watchers
0
Open Issues
0
Overall repository health assessment
No language data available
No package.json found
This might not be a Node.js project
14
commits
Rename PSTAT_277B_Project.pdf to PSTAT 277B Presentation.pdf
1499d3eView on GitHubRename PSTAT_277B_Project.pdf to PSTAT 277B Presentation.pdf
359a982View on GitHubRename PSTAT_277B_Project-7.pdf to PSTAT 277B Report.pdf
d33a539View on GitHub