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



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