Table 6
Out-of-Sample 12-month-Ahead Forecasting Results
Nelson-Siegel with AR(1) Factor Dynamics
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(12) |
P(24) |
|
3 months |
0.150 |
0.724 |
0.739 |
-0.288 |
0.001 |
|
1 year |
0.173 |
0.823 |
0.841 |
-0.332 |
-0.004 |
|
3 years |
-0.123 |
0.910 |
0.918 |
-0.408 |
0.015 |
|
5 years |
-0.337 |
0.918 |
0.978 |
-0.412 |
0.003 |
|
10 years |
-0.531 |
0.825 |
0.981 |
-0.433 |
-0.003 |
Nelson-Siegel with VAR(1) Factor Dynamics
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(12) |
P(24) |
|
3 months |
-0.463 |
1.000 |
1.102 |
-0.163 |
-0.111 |
|
1 year |
-0.416 |
1.224 |
1.293 |
-0.265 |
-0.065 |
|
3 years |
-0.576 |
1.268 |
1.393 |
-0.317 |
-0.036 |
|
5 years |
-0.673 |
1.210 |
1.385 |
-0.315 |
-0.039 |
|
10 years |
-0.721 |
1.056 |
1.279 |
-0.299 |
-0.037 |
Random Walk
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(12) |
P(24) |
|
3 months |
0.416 |
0.930 |
1.019 |
-0.118 |
-0.109 |
|
1 year |
0.388 |
1.132 |
1.197 |
-0.268 |
-0.019 |
|
3 years |
0.236 |
1.214 |
1.237 |
-0.419 |
0.060 |
|
5 years |
0.130 |
1.184 |
1.191 |
-0.481 |
0.072 |
|
10 years |
-0.033 |
1.051 |
1.052 |
-0.508 |
0.069 |
Slope Regression
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
P(12) |
P(24) |
|
3 months |
NA |
NA |
NA |
NA |
NA |
|
1 year |
0.896 |
1.235 |
1.526 |
-0.187 |
-0.024 |
|
3 years |
0.641 |
1.316 |
1.464 |
-0.212 |
0.024 |
|
5 years |
0.515 |
1.305 |
1.403 |
-0.255 |
0.035 |
|
10 years |
0.362 |
1.208 |
1.261 |
-0.268 |
0.042 |