The Nobel Memorial Prize for Robert F. Engle



Table 4

Out-of-Sample 1-Month-Ahead Forecasting Results

Nelson-Siegel with AR(1) Factor Dynamics

Maturity (j)

Mean

Std. Dev.

RMSE

ft(ɪ)

P(12)

3 months

-0.045

0.170

0.176

0.247

0.017

1 year

0.023

0.235

0.236

0.425

-0.213

3 years

-0.056

0.273

0.279

0.332

-0.117

5 years

-0.091

0.277

0.292

0.333

-0.116

10 years

-0.062

0.252

0.260

0.259

-0.115

Random Walk

Maturity (j)

Mean

Std. Dev.

RMSE

ft(ɪ)

P(12)

3 months

0.033

0.176

0.179

0.220

0.053

1 year

0.021

0.240

0.241

0.340

-0.153

3 years

0.007

0.279

0.279

0.341

-0.133

5 years

-0.003

0.276

0.276

0.275

-0.131

10 years

-0.011

0.254

0.254

0.215

-0.145

Slope Regression

Maturity (j)

Mean

Std. Dev.

RMSE

ft(ɪ)

P(12)

3 months

NA

NA

NA

NA

NA

1 year

0.048

0.242

0.247

0.328

-0.145

3 years

0.032

0.286

0.288

0.373

-0.146

5 years

0.019

0.284

0.285

0.318

-0.150

10 years

0.013

0.260

0.260

0.245

-0.159

Fama-Bliss Forward Rate Regression

Maturity (j)

Mean

Std. Dev.

RMSE

ft(ɪ)

P(12)

3 months

0.066

0.159

0.172

0.178

0.036

1 year

0.066

0.233

0.242

0.313

-0.148

3 years

0.024

0.286

0.287

0.380

-0.157

5 years

0.038

0.277

0.280

0.273

-0.125

10 years

0.041

0.251

0.254

0.200

-0.159



More intriguing information

1. The name is absent
2. The name is absent
3. AN IMPROVED 2D OPTICAL FLOW SENSOR FOR MOTION SEGMENTATION
4. The name is absent
5. TOMOGRAPHIC IMAGE RECONSTRUCTION OF FAN-BEAM PROJECTIONS WITH EQUIDISTANT DETECTORS USING PARTIALLY CONNECTED NEURAL NETWORKS
6. The name is absent
7. Bargaining Power and Equilibrium Consumption
8. 03-01 "Read My Lips: More New Tax Cuts - The Distributional Impacts of Repealing Dividend Taxation"
9. The name is absent
10. Subduing High Inflation in Romania. How to Better Monetary and Exchange Rate Mechanisms?