本論文利用 Nelson-Siegel 來配適澳洲公債市場之利率期限結構，並利用時間序列分析方法對參數之變動作預測，而參數之變動反映利率期限結構之變動， 故參數預測之結果可供做為實際交易之參考。透過實證分析我們得到以下之結論：(1)Nelson-Siegel 模型對澳洲公債市場之利率期限結構提供良好的配適能力。(2)複雜的預測模型對於參數變動之預測，雖其樣本內配適能力較簡單的預測模型佳，但其樣本外準確率並未較佳。(3)對曲度參數做預測能提供最佳的交易績效，且比較預測準確率與正績效百分比，顯示曲度參數有最佳的可預測性。

In this paper, we employ the Nelson-Siegel model to fit Australian’s term structure of interest rates. The changes in the parameters reflect the changes in the shape of term structure of interest rates. Therefore, we use time series analysis to predict the change in the parameters. The results of prediction can be the indication of actual bond trading. The empirical study provides the following results. First, the Nelson-Siegel model provides a good fit to Australian’s term structure. Second, the complicated models do not guarantee the higher out-of-sample hit rate although these models do provide higher in-sample goodness of fit. Third, the trading performance of bet on curvature parameter is the best. Thus, the predictability of curvature is the best because the percentage of positive return is close to the hit rate.

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