KONSTRUKSI KURVA YIELD MENGGUNAKAN MODEL STATE SPACE; (YIELD CURVE CONSTRUCTION USING STATE SPACE MODEL)

DAULLU, MELISSA AEUDIA, Dedi Rosadi

2016 | Disertasi | FMIPA

Yield is the return obtained by investors from bond investments. This is a factor that should be considered before investing bond investors. The relationship between yield and maturity (time to maturity) can be illustrated based on yield curve. This thesis will discuss the construction of the yield curve by using method of Nelson Siegel dynamic state space model. State space is an approach to model and predict with some of the time series of interconnected, as well as the variables that have dynamic interaction. For example, on this research data was collected for bonds from March 3th, 2014 until November 24th, 2014. The yield curve on March 3th, 2014 described the type of curve was rose (upward sloping) so that the bonds on the better invested in maturities are slightly longer. As a result, this research suggest for investor to consider return of investment instead of investing in short term maturities.

Kata Kunci : yield; curve yield; time to maturity; Nelson-Siegel Dinamic; model state space