應用Chebyshev Polynomials模型估計台灣公債市場之利率期限結構

10.6985/TBFQ.200503.0011

周建新；黃彥騰

利率期限結構 ； 柴比雪夫多項式 ； 遠期利率曲線

台灣金融財務季刊

6卷1期（2005 / 03 / 01）

11 - 29

繁體中文

本研究以Pham (1998)所提出的柴比雪夫多項式(Chebyshev Polynomials)模型，估計台灣公債市場之利率期限結構。相較於樣條函數模型(spline)或是其他較複雜之估計模型，Chebyshev、Polynomials為一簡單多項式，具有不需要特別限制式，就能獲得平滑殖利率曲線之優點，實証結果顯示，在精確度之配適能力衡量指標上，其平均判定係數可達91.33%，另外亦可得到相當平滑之遠期利率曲線，此一結果顯示以Chebyshev Polynomial，模型估計台灣公債市場之利率期限結構，將可獲得相當不錯的結果。

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