Empirical research based on Nelson-Siegel Model in term structure of interest rates of the Shanghai Stock Treasury bonds

This article uses monthly data from 2005 to 2009 to estimate the Nelson-Siegel model parameters and establishes time series of three parameters - the level of factor, slope factor and the curvature factor in the model. We use the VAR method to get the proceeds of rate curve prediction model. We can get the conclusion that the prediction model is relative accuracy. to predict the next period while it is no longer a effective model. to be used to predict the next two periods or more.