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. Existentialism: a Philosophy of Hope or Despair?2. The name is absent
3. Government spending composition, technical change and wage inequality
4. Expectations, money, and the forecasting of inflation
5. The name is absent
6. The name is absent
7. Examining Variations of Prominent Features in Genre Classification
8. Natural hazard mitigation in Southern California
9. Real Exchange Rate Misalignment: Prelude to Crisis?
10. Visual Artists Between Cultural Demand and Economic Subsistence. Empirical Findings From Berlin.