This page presents the time-series of Zero Coupon Yield Curve (ZCYC) in India for the period Jun 2001 - September 2020. The ZCYC parameters are modeled using the Neslon-Siegel (3-factor) model for the period Jun 2001 - Dec 2010 and the Nelson-Siegel-Svensson (5-factor) model for the period Jan 2011 - September 2020.
Panel 1 shows the daily movement of the ZCYC. The blue ZCYC in the video represents the yield of 10-year maturity being greater than that of 91-day maturity and the red ZCYC represents the yield of 10-year maturity being lower than that of 91-day maturity.
Panel 2 compares the ZCYC on a fixed date, last trading day of October, across years.
Panel 3 shows the ZCYC term spread.
More details about the methodology and data sources can be found here.