<p>The main aim of this study is to evaluate the effectiveness of two widely discussed yield curve models, the Nelson-Siegel model and the Nelson-Siegel-Svensson model, in estimating Sri Lanka Government Bond yields. The parameters for both models were estimated using the YieldCurve package in R-Studio. The average R-squared values were 96.25% for the Nelson-Siegel model and 98.75% for the Nelson-Siegel-Svensson model. However, neither model consistently achieved high R-squared values across the entire sample period. The Nelson-Siegel-Svensson model demonstrated greater consistency in R-squared values compared to the Nelson-Siegel model throughout the period. But the R-squared value declined in 2022 compared with the previous period for both models as the yield curve accompanied more twists and turns with volatile economic conditions. These results suggest that there is significant potential for developing more representative yield curve models or enhancing existing models by incorporating additional influential factors. The monetary authorities and Investment banks of the country would pay more attention to data-driven decision-making in the future to set up economic and monetary targets as well as to achieve hurdle rates for the client’s portfolios. Having an accurate yield curve model would be a play major role in this regard.</p>