The Nobel Memorial Prize for Robert F. Engle



Table 6 (Continued)

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

VAR(1) on Yield Changes

Maturity ( τ )

Mean

Std. Dev.

RMSE

P(12)

P(24)

3 months

0.717

1.072

1.290

-0.068

-0.127

1 year

0.704

1.240

1.426

-0.223

-0.041

3 years

0.627

1.341

1.480

-0.399

0.051

5 years

0.559

1.281

1.398

-0.459

0.070

10 years

0.408

1.136

1.207

-0.491

0.072

ECM(1) with one Common Trend

Maturity (j)

Mean

Std. Dev.

RMSE

P(12)

P(24)

3 months

0.738

0.982

1.228

-0.163

-0.123

1 year

0.767

1.143

1.376

-0.239

-0.072

3 years

0.546

1.203

1.321

-0.278

-0.013

5 years

0.379

1.191

1.250

-0.278

-0.003

10 years

0.169

1.095

1.108

-0.224

0.009

ECM(1) with Two Common Trends

Maturity (j)

Mean

Std. Dev.

RMSE

P(12)

P(24)

3 months

0.778

1.037

1.296

-0.175

-0.129

1 year

0.868

1.247

1.519

-0.286

-0.033

3 years

0.586

1.186

1.323

-0.288

-0.034

5 years

0.425

1.155

1.231

-0.304

-0.014

10 years

0.220

1.035

1.058

-0.274

0.015

Direct Regression on Three AR(1) Principal Components

Maturity (j)

Mean

Std. Dev.

RMSE

P(12)

P(24)

3 months

0.162

0.785

0.802

-0.298

-0.020

1 year

0.416

0.979

1.064

-0.305

0.042

3 years

-0.127

1.014

1.022

-0.372

0.054

5 years

-0.393

1.013

1.087

-0.335

0.038

10 years

-0.394

0.929

1.009

-0.284

0.066



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