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 |