A New Approach for Turkish Term Structure : Cubic B-Spline Basis with Variable Roughness Penalty

[EN] Yield curves provide critical information to both policy makers and market practitioners. The most commonly used yield curve methodologies are Extended Nelson-Siegel (ENS) and B-spline Basis with various smoothing penalty functions. In this paper, the Cubic B-spline Basis with variable roughness penalty (VRP) methodology is applied on Turkish Treasury bonds and is compared with the ENS methodology. The yield curves constructed under both methods give quite similar results across different maturities. Comparison of in-sample performances indicates that both methods provide similar zero rate curves but in-sample fit of Cubic B-spline Basis with VRP is superior to that of ENS, in particular at the long end of the term structure. Out-of-sample errors of both models are quite close to each other. Nevertheless, out-of-sample performance of the VRP model is superior at the short end of the term structure whereas the ENS dominates at the long end. [TR] Getiri egrileri politika yapicilar ve piyasa oyunculari acisindan onemli bilgi degeri tasimaktadirlar. Genisletilmis Nelson Siegel (ENS) ve cesitli duzgunlestirme ceza (smooth penalty) fonksiyonlari ile uygulanan kubik B-spline (VRP), en populer getiri egrisi hesaplama yontemlerindendir. Bu notta, Turkiye Hazine tahvilleri icin duzgunlestirme cezasi ile beraber uygulanan Kubik B-spline yontemi tahmin edilmekte ve sonuclar Genisletilmis Nelson-Siegel yontemi ile kiyaslanmaktadir. Iki yontem altinda da elde edilen cesitli vadelerdeki getiriler birbirine oldukca yakin seviyededir. Orneklem ici karsilastirma yapildiginda, VRP yonteminin ENS’ye gore ozellikle uzun vadeli getirilerde daha iyi sonuclar verdigi bulunmustur. Orneklem disinda ise, iki yontemin de birbirine oldukca yakin sonuclar verdigi gozlenmistir. Ancak, VRP yontemi getiri egrisinin kisa ucunda, ENS yontemi ise getiri egrisinin uzun ucunda daha iyi orneklem disi tahmin saglamaktadir.