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



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