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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.
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14
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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