تقدير منحنى العائد لسوق السندات المصري باستخدام نموذج نيلسون وزيجل

Abstract EN

The bond market gives an additional element to competition.

the securities markets are able to price and manage risks like banks by effectively distributing financial risks.

the study aims to estimate the yield curve of government bonds using the Nelson-Siegel model and improve the estimate of missing data for each period.

input model is trading data of long-term treasury bonds issued by the Egyptian government from January 2014 to April 2018, and the results confirmed the ability of the model’s coefficients to express the events affecting the movements of the yield curve.

the short-term securities were characterized by the highest return and the highest standard deviation.

according to market segmentation theory, more market participants prefer to invest in short term bonds.