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Analysis of parameter sensitivity for the NSS model of term structure based on the genetic algorithm

机译:基于遗传算法的NSS期限结构模型参数敏感性分析

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The term structure of interest rate is an important foundation for studies such as asset pricing and risk management. In this paper, the sensitivity of parameters in the NSS model of the yield curve is studied with the help of genetic algorithm, and the impact of the relevant parameter setting on the fitting precision of the model is also discussed. Based on the positive analysis of Chinese Treasury Bonds data, it is found that the parameter setting in the model has a significant effect on the fitting precision, but the effect varies due to different parameters. It also leads methodological support to precisely and conveniently employ the NSS model.
机译:利率期限结构是资产定价和风险管理等研究的重要基础。本文利用遗传算法研究了收益曲线NSS模型中参数的敏感性,并讨论了相关参数设置对模型拟合精度的影响。基于对中国国债数据的实证分析,发现模型中的参数设置对拟合精度有显着影响,但由于参数不同,其影响会有所不同。它还为精确,方便地使用NSS模型提供了方法论上的支持。

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