Table 4 (Continued)
Out-of-Sample 1-Month-Ahead Forecasting Results
Cochrane-Piazzesi Forward Curve Regression
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
ft(ɪ) |
P(12) |
|
3 months |
NA |
NA |
NA |
NA |
NA |
|
1 year |
-0.038 |
0.238 |
0.241 |
0.282 |
-0.088 |
|
3 years |
-0.034 |
0.287 |
0.289 |
0.377 |
-0.108 |
|
5 years |
-0.068 |
0.292 |
0.300 |
0.364 |
-0.084 |
|
10 years |
-0.113 |
0.257 |
0.281 |
0.271 |
-0.097 |
|
__________________Univariate AR(1)s on Yield Leve |
s___________________ | ||||
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
ft(ɪ) |
P(12) |
|
3 months |
0.042 |
0.177 |
0.182 |
0.229 |
0.060 |
|
1 year |
0.025 |
0.238 |
0.239 |
0.341 |
-0.147 |
|
3 years |
-0.005 |
0.276 |
0.276 |
0.345 |
-0.125 |
|
5 years |
-0.030 |
0.274 |
0.276 |
0.280 |
-0.127 |
|
10 years |
-0.054 |
0.252 |
0.258 |
0.224 |
-0.144 |
VAR(1) on Yield Levels
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
ft(ɪ) |
P(12) |
|
3 months |
-0.013 |
0.176 |
0.176 |
0.229 |
0.128 |
|
1 year |
-0.026 |
0.262 |
0.263 |
0.447 |
-0.162 |
|
3 years |
-0.041 |
0.302 |
0.305 |
0.437 |
-0.154 |
|
5 years |
-0.064 |
0.303 |
0.310 |
0.429 |
-0.133 |
|
10 years |
-0.090 |
0.274 |
0.288 |
0.310 |
-0.123 |
VAR(1) on Yield Changes
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
ft(ɪ) |
P(12) |
|
3 months |
0.043 |
0.176 |
0.181 |
-0.019 |
0.156 |
|
1 year |
0.029 |
0.230 |
0.232 |
0.157 |
-0.149 |
|
3 years |
0.026 |
0.276 |
0.277 |
0.077 |
-0.049 |
|
5 years |
0.021 |
0.276 |
0.277 |
0.010 |
-0.002 |
|
10 years |
0.020 |
0.263 |
0.264 |
-0.017 |
-0.030 |