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 |
More intriguing information
1. Structure and objectives of Austria's foreign direct investment in the four adjacent Central and Eastern European countries Hungary, the Czech Republic, Slovenia and Slovakia2. Brauchen wir ein Konjunkturprogramm?: Kommentar
3. BEN CHOI & YANBING CHEN
4. The name is absent
5. A model-free approach to delta hedging
6. The name is absent
7. Innovation Policy and the Economy, Volume 11
8. The name is absent
9. The name is absent
10. TOWARD CULTURAL ONCOLOGY: THE EVOLUTIONARY INFORMATION DYNAMICS OF CANCER