How to estimate change in asset mkt value?
i'm doing a project on estimating the change in asset market value (MV) by using large banks' forecast interest rate. Here is the method that i've used:
1) calculate the modified duration of the asset
2) calculate change in yield (forecast interest rate - market yield)
3) predicted % change in price = mod duration * change in yield
However, the predicted change in asset MV is very much different from the actual changes (around 30% to 40% difference).
Thus, i'm wondering whether i've used the correct approach to estimate the change in asset MV. If not, what approach should i use to enhance the accuracy of the estimation? Can anyone give me some advice on this?
Thanks a lot!!!