How to compute the parameters in practice while using Nelsion Sigel's parametric model of ZCYC? There are four parameter to be estimated. beta0, beta1, beta2 and tau. How to compute them?Thanks in advance. plz reply.

I think you have to read Nelson-Siegel model link below.If you want to calculate model in excel you need optimization constant for parameters.In excel firstly you have modelling Nelson Siegel like in PDF.And you have to parametrizing the model parameters in a Optimization server I think because excel solver is not enough for iterations.The most problem that optimization constants.If you have,you can calculate this model easily.First column DTM,Second Column is Yields in standart vartex in ZC.And you have to know parameters constraints.You have to define them to optimization solver.And them this calculation have to minimize error between actual and estimated yield difference.http://links.jstor.org/sici?sici=0021-9 ... Siegel.pdf