The Nobel Memorial Prize for Robert F. Engle



Table 5

Out-of-Sample 6-month-Ahead Forecasting Results

Nelson-Siegel with AR(1) Factor Dynamics

Maturity (j)

Mean

Std. Dev.

RMSE

P(6)

P(18)

3 months

0.083

0.510

0.517

0.301

-0.190

1 year

0.131

0.656

0.669

0.168

-0.174

3 years

-0.052

0.748

0.750

0.049

-0.189

5 years

-0.173

0.758

0.777

0.069

-0.273

10 years

-0.251

0.676

0.721

0.058

-0.288

Random Walk

Maturity (j)

Mean

Std. Dev.

RMSE

P(6)

P(18)

3 months

0.220

0.564

0.605

0.381

-0.214

1 year

0.181

0.758

0.779

0.139

-0.150

3 years

0.099

0.873

0.879

0.018

-0.211

5 years

0.048

0.860

0.861

0.008

-0.249

10 years

-0.020

0.758

0.758

0.019

-0.271

Slope Regression

Maturity (j)

Mean

Std. Dev.

RMSE

P(6)

P(18)

3 months

NA

NA

NA

NA

NA

1 year

0.422

0.811

0.914

0.109

-0.113

3 years

0.281

0.944

0.985

0.116

-0.198

5 years

0.209

0.939

0.962

0.103

-0.235

10 years

0.145

0.832

0.845

0.096

-0.256

Fama-Bliss Forward Rate Regression

Maturity (j)

Mean

Std. Dev.

RMSE

P(6)

P(18)

3 months

0.494

0.549

0.739

0.208

-0.072

1 year

0.373

0.821

0.902

0.194

-0.150

3 years

0.255

0.964

0.997

0.092

-0.211

5 years

0.220

0.932

0.958

0.050

-0.248

10 years

0.223

0.794

0.825

0.038

-0.268



More intriguing information

1. Are Public Investment Efficient in Creating Capital Stocks in Developing Countries?
2. The name is absent
3. TRADE NEGOTIATIONS AND THE FUTURE OF AMERICAN AGRICULTURE
4. The name is absent
5. TOWARDS THE ZERO ACCIDENT GOAL: ASSISTING THE FIRST OFFICER MONITOR AND CHALLENGE CAPTAIN ERRORS
6. The name is absent
7. The name is absent
8. Bird’s Eye View to Indonesian Mass Conflict Revisiting the Fact of Self-Organized Criticality
9. Outline of a new approach to the nature of mind
10. The changing face of Chicago: demographic trends in the 1990s