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. Migration and Technological Change in Rural Households: Complements or Substitutes?2. AMINO ACIDS SEQUENCE ANALYSIS ON COLLAGEN
3. Impact of Ethanol Production on U.S. and Regional Gasoline Prices and On the Profitability of U.S. Oil Refinery Industry
4. The name is absent
5. Quality Enhancement for E-Learning Courses: The Role of Student Feedback
6. EU Preferential Partners in Search of New Policy Strategies for Agriculture: The Case of Citrus Sector in Trinidad and Tobago
7. Technological progress, organizational change and the size of the Human Resources Department
8. The name is absent
9. Opciones de política económica en el Perú 2011-2015
10. Nietzsche, immortality, singularity and eternal recurrence1