Handling missing data in Burundian sovereign bond market

The aim of this article is to determine the best approach for filling in the missing data when constructing the yield curve for the Burundi bond market. In this paper, we explore the limitations and data availability constraints specific to the Burundian sovereign market and propose robust methodologies to effectively handle missing data. The results indicate that the Linear Regression method, and the Previous value method perform consistently well across variables, approximating a normal distribution for the error values. The non-parametric Missing Value Imputation using Random Forest (miss- Forest) method performs well for coupon rates but poorly for bond prices, and the Next value method shows mixed results. Ultimately, the Linear Regression (LR) method is recommended for imputing missing data due to its ability to approximate normality and predictive capabilities. However, filling missing values with previous values has high accuracy; thus, it will be the best choice when we have less information to be able to increase accuracy for LR.