Table 2
Descriptive Statistics, Yield Curve Residuals
|
Maturity |
Mean |
Standard Deviation |
Min. |
Max. |
MAE |
RMSE |
^(1) |
^(12) |
^(30) |
|
3 |
-0.018 |
0.080 |
-0.332 |
0.156 |
0.061 |
0.082 |
0.777 |
0.157 |
-0.360 |
|
6 |
-0.013 |
0.042 |
-0.141 |
0.218 |
0.032 |
0.044 |
0.291 |
0.257 |
-0.046 |
|
9 |
-0.026 |
0.062 |
-0.200 |
0.218 |
0.052 |
0.067 |
0.704 |
0.216 |
-0.247 |
|
12 |
0.013 |
0.080 |
-0.160 |
0.267 |
0.064 |
0.081 |
0.563 |
0.322 |
-0.266 |
|
15 |
0.063 |
0.050 |
-0.063 |
0.243 |
0.067 |
0.080 |
0.650 |
0.139 |
-0.070 |
|
18 |
0.048 |
0.035 |
-0.048 |
0.165 |
0.052 |
0.059 |
0.496 |
0.183 |
-0.139 |
|
21 |
0.026 |
0.030 |
-0.091 |
0.101 |
0.033 |
0.040 |
0.370 |
-0.044 |
-0.011 |
|
24 |
-0.027 |
0.045 |
-0.190 |
0.082 |
0.037 |
0.052 |
0.667 |
0.212 |
0.056 |
|
30 |
-0.020 |
0.036 |
-0.200 |
0.098 |
0.029 |
0.041 |
0.398 |
0.072 |
-0.058 |
|
36 |
-0.037 |
0.046 |
-0.203 |
0.128 |
0.047 |
0.059 |
0.597 |
0.053 |
-0.017 |
|
48 |
-0.018 |
0.065 |
-0.204 |
0.230 |
0.052 |
0.067 |
0.754 |
0.239 |
-0.321 |
|
60 |
-0.053 |
0.058 |
-0.199 |
0.186 |
0.066 |
0.079 |
0.758 |
-0.021 |
-0.175 |
|
72 |
0.010 |
0.080 |
-0.133 |
0.399 |
0.056 |
0.081 |
0.904 |
0.278 |
-0.163 |
|
84 |
0.001 |
0.062 |
-0.259 |
0.263 |
0.044 |
0.062 |
0.589 |
0.019 |
0.000 |
|
96 |
0.032 |
0.045 |
-0.202 |
0.111 |
0.045 |
0.055 |
0.697 |
0.120 |
-0.144 |
|
108 |
0.033 |
0.046 |
-0.161 |
0.132 |
0.047 |
0.057 |
0.669 |
0.081 |
-0.176 |
|
120 |
-0.016 |
0.071 |
-0.256 |
0.164 |
0.057 |
0.073 |
0.623 |
0.252 |
-0.070 |
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