Nelson-Siegel-Svensson method I am a college student and I have recently learned about Nelson-Siegel-Svensson method which is used by the German Federal Bank to determine the yield curve. I have to generate yield curves of different shapes using historical data (β0, β1, β2, β3, τ1 and τ2) which I am free to choose myself. On the website of the German Federal Bank I see the monthly and daily estimated parameters for the period from September 1972 until today. I have the formula but I am not sure which numbers to use. Could somebody please explain to me, whether the monthly estimated parameters are suitable to generate an yield curve for the next 10 years? I am sorry, if the question is too easy. I would be very grateful, if anyone could help me to understand which parameters I can use.
Thank you very much!
Kind regards,
Amy
If anyone ever wonders the same, I´ve just tried weighting the monthly parameters and that leads to the correct interest rates :) you take 1 / 12 * ∑ (12 values of the respective parameter for the respective year). The answer was way easier than I thought :D