The Nobel Memorial Prize for Robert F. Engle



Table 6 (Continued)

Out-of-Sample 12-month-Ahead Forecasting Results

Fama-Bliss Forward Rate Regression

Maturity ( τ )

Mean

Std. Dev.

RMSE

P(12)

P(24)

3 months

0.942

1.010

1.381

-0.046

-0.096

1 year

0.875

1.276

1.547

-0.142

-0.039

3 years

0.746

1.378

1.567

-0.291

0.035

5 years

0.587

1.363

1.484

-0.352

0.040

10 years

0.547

1.198

1.317

-0.403

0.062

Cochrane-Piazzesi Forward Curve Regression

Maturity (j)

Mean

Std. Dev.

RMSE

P(12)

P(24)

3 months

NA

NA

NA

NA

NA

1 year

-0.162

1.275

1.285

-0.179

-0.079

3 years

-0.377

1.275

1.330

-0.274

-0.028

5 years

-0.529

1.225

1.334

-0.301

-0.021

10 years

-0.760

1.088

1.327

-0.307

-0.020

__________________Univariate AR(1)s on Yield Leve

s___________________

Maturity (j)

Mean

Std. Dev.

RMSE

P(12)

P(24)

3 months

0.246

0.808

0.845

-0.213

-0.073

1 year

0.182

0.953

0.970

-0.271

-0.004

3 years

-0.113

0.996

1.002

-0.380

0.061

5 years

-0.301

0.961

1.007

-0.433

0.058

10 years

-0.603

0.835

1.030

-0.431

0.020

VAR(1) on Yield Levels

Maturity (j)

Mean

Std. Dev.

RMSE

P(12)

P(24)

3 months

-0.276

1.006

1.043

-0.219

-0.099

1 year

-0.390

1.204

1.266

-0.322

-0.058

3 years

-0.467

1.240

1.325

-0.345

-0.015

5 years

-0.540

1.201

1.317

-0.348

-0.012

10 years

-0.744

1.060

1.295

-0.328

-0.010



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