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 |
More intriguing information
1. Confusion and Reinforcement Learning in Experimental Public Goods Games2. Tobacco and Alcohol: Complements or Substitutes? - A Statistical Guinea Pig Approach
3. Accurate, fast and stable denoising source separation algorithms
4. The name is absent
5. Modeling industrial location decisions in U.S. counties
6. The name is absent
7. The name is absent
8. The Role of Land Retirement Programs for Management of Water Resources
9. he Virtual Playground: an Educational Virtual Reality Environment for Evaluating Interactivity and Conceptual Learning
10. On Dictatorship, Economic Development and Stability