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. FOREIGN AGRICULTURAL SERVICE PROGRAMS AND FOREIGN RELATIONS2. The name is absent
3. NVESTIGATING LEXICAL ACQUISITION PATTERNS: CONTEXT AND COGNITION
4. AN EXPLORATION OF THE NEED FOR AND COST OF SELECTED TRADE FACILITATION MEASURES IN ASIA AND THE PACIFIC IN THE CONTEXT OF THE WTO NEGOTIATIONS
5. Short- and long-term experience in pulmonary vein segmental ostial ablation for paroxysmal atrial fibrillation*
6. Nurses' retention and hospital characteristics in New South Wales, CHERE Discussion Paper No 52
7. The name is absent
8. Standards behaviours face to innovation of the entrepreneurships of Beira Interior
9. Effects of red light and loud noise on the rate at which monkeys sample the sensory environment
10. The name is absent