Izvestiya of Saratov University.

Economics. Management. Law

ISSN 1994-2540 (Print)
ISSN 2542-1956 (Online)


For citation:

Balash V. A., Malinskiy А. I. Comparison of Accuracy between Different Methods of Forecasting the Term Structure of Interest Rates . Journal Izvestiya of Saratov University. Economics. Management. Law, 2014, vol. 14, iss. 4, pp. 605-610. DOI: 10.18500/1994-2540-2014-14-4-605-610

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Russian
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Article
UDC: 
330.43

Comparison of Accuracy between Different Methods of Forecasting the Term Structure of Interest Rates

Autors: 
Balash V. A., Saratov State University
Malinskiy А. I., Saratov State University
Abstract: 

Introduction. Forecasting the term structure of interest rates is considered to be the complex problem. The experience shows that just a few models from the proposed in science literature provide us with much better accuracy in forecasting than random walk. This paper is devoted to the comparison of forecasting results’ accuracy for the different specifications of econometric models using Russian data for 2004–2014 years. Models. We use the next econometric models for the forecasting: random walk, autoregressive model, factor model, Diebold-Li model. Results. Comparison on the Russian government bond market data for 2004–2014 years shows us that autoregressive models are better for the short-term rates’ forecasting, but the dynamic Diebold-Li model gives better accuracy for the mid-term and long-term rates’ forecasting.

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Received: 
26.08.2014
Accepted: 
25.09.2014