On multicollinearity and the value of the shape parameter in the term structure Nelson-Siegel model

  1. Angel León Valle
  2. Antonio Rubia Serrano
  3. Lidia Sanchís Marco
Revista:
Aestimatio: The IEB International Journal of Finance

ISSN: 2173-0164

Año de publicación: 2018

Número: 16

Páginas: 8-29

Tipo: Artículo

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Otras publicaciones en: Aestimatio: The IEB International Journal of Finance

Resumen

Este artículo investiga la sensibilidad de las cargas factoriales del modelo dinámico de Nelson y Siegel al valor del parámetro de forma l, y analiza el problema de la multicolinealidad y cómo mitigarlo en el proceso de estimación. En primer lugar, se obtiene que la selección de un l fijo no conduce a la optimalidad debido a que pudiera dar lugar a problemas de multicolinealidad. En segundo lugar, se observa una diferencia sustancial en los resultados de predicción entre los procedimientos tradicionales de estimación y el método de regresión alomada (ridge regression). Finalmente, se implementa un ejercicio de simulación de Monte Carlo con el fin de estudiar la distribución estadística de de las estimaciones de los parámetros del modelo, para comprobar las diferencias respecto a los valoresreales. Se observa que la multicolinealidad entre las cargasfactoriales del modelo de NS puede dar lugar, en el caso de estimación mínimo cuadrática lineal con parámetro de forma fijo, a mayores diferencias entre las estimaciones y los valores reales de los parámetros del modelo. La regresión alomada corrige estas diferencias y da lugar a estimaciones más estables que los procedimientos de estimación, lineal o no lineal, mínimo cuadráticos ordinarios.

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