https://github.com/stephanielees/bond-yield-modelling-with-dlm

Modelling the 10-year Treasury using the third order polynomial and moving average (MA) in DLM
https://github.com/stephanielees/bond-yield-modelling-with-dlm

Last synced: 2 days ago
JSON representation

Modelling the 10-year Treasury using the third order polynomial and moving average (MA) in DLM

• Host: GitHub
• URL: https://github.com/stephanielees/bond-yield-modelling-with-dlm
• Owner: stephanielees
• Created: 2023-10-18T14:26:25.000Z (about 1 year ago)
• Default Branch: main
• Last Pushed: 2023-11-08T06:19:39.000Z (about 1 year ago)
• Last Synced: 2024-11-08T15:12:39.589Z (about 2 months ago)
• Language: R
• Size: 40 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

Awesome Lists containing this project

README

        
# Bond-yield-modelling-with-DLM

Modelling and forecasting the 10-year Treasury using the third order polynomial and moving average (MA) in DLM.

Data source: https://home.treasury.gov. I collected the yield data for several years (Jan 2018 - Aug 2023) for this project.

Two R files are included here. Even though they are really similar, the modelling file focuses more on the fitting process, whereas the forecasting file explores the forecasting in more detail.

The video demonstrating the codes for modelling is [here](https://youtu.be/yraYUalF1Rw), and the forecasting video is [here](https://youtu.be/RYnaSK7ueYM). 


Kindly check it out (and subscribe :D). Thank you!