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 |