KONSTRUKSI KURVA YIELD MENGGUNAKAN METODE NELSON SIEGEL SVENSSON ALGORITMA DIFFERENTIAL EVOLUTION

NUR ALIFAH, Dr. Abdurakhman, M.Si

2014 | Skripsi | STATISTIKA

Penelitian ini mempelajari tentang teori kurva yield metode Nelson Siegel Svensson algoritma Differential Evolution kemudian dibandingkan dengan kajian empiris kurva yield yang menggunakan metode Nelson Siegel Svensson. Pada studi kasus penelitian ini, data diambil dari transaksi obligasi Pemerintah Indonesia tanggal 16 Februari 2011. Dari analisis MSE (Mean Square Error) didapatkan bahwa metode Nelson Siegel Svensson algoritma Differential Evolution memberikan hasil empiris lebih baik dalam memodelkan kurva yield dibandingkan metode Nelson Siegel Svensson.

This research learns about yield curve theory for Nelson Siegel Svensson method with Differential Evolution algorithm, then has been compared by empirical studying for the yield curve using Nelson Siegel Svensson method. In study case of this research, data was taken from Indonesia Goverment Transaction bond at 16th February 2011. From the MSE (Mean Square Error) analysis, have been shown that Nelson Siegel Svensson method with Differential Evolution algorithm gave better empirical results of yield curve model than Nelson Siegel Svensson method.

Kata Kunci : kurva yield, Nelson Siegel Svensson, algoritma Differential Evolution/yield curve, Nelson Siegel Svensson, Differential Evolution algorithm