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Pembentukan theoretical sport rate obligasi pemerintah republik Indonesia dengan menggunakan model Nelson-Siegel Svensspn
This internship final report proposes a method to answer the problem faced during the internship program. Nelson-Siegel Svensson model is used to construct the theoretical spot rate of Indonesian Fixed Rate Government Bonds given its superiority to capture any possible shape. The spot rates drawn using the model are then used to estimate each bond?s fair value. The parameters of the model are estimated by maximizing the likelihood function that explains the relationship between the estimated and actual yield. The model evidently shows its capability to capture the dynamics of Indonesian government bond yield which consistently generate positively sloped yield curve. To test statistically that the model facilitates the production of normal yield curve, a simple two sample t-test is used by putting current spot rate and future spot rate side by side and the result institute that future spot rates are significantly higher than current spot rate. We also weigh Nelson-Siegel Svensson model against the former Nelson-Siegel model which drives us to the conclusion that Svensson extended model has the ability to fit Indonesian theoretical spot rates better.Ada Tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 6204 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Jakarta: Departemen Manajemen FAkultas Ekonomi UI 2008 |
|---|---|
| Edisi | - |
| Subjek | Capital markets Investment Government bonds Money market |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | viii, 99 p. : diagr., il. ; 30 cm & lamp. |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |