Table 5 (Continued)
Out-of-Sample 6-month-Ahead Forecasting Results
Cochrane-Piazzesi Forward Curve Regression
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(6) |
P(18) |
|
3 months |
NA |
NA |
NA |
NA |
NA |
|
1 year |
-0.155 |
0.845 |
0.859 |
0.220 |
-0.110 |
|
3 years |
-0.210 |
0.910 |
0.934 |
0.179 |
-0.218 |
|
5 years |
-0.224 |
0.910 |
0.937 |
0.193 |
-0.270 |
|
10 years |
-0.345 |
0.837 |
0.905 |
0.192 |
-0.287 |
|
__________________Univariate AR(1)s on Yield Level |
s__________________________ | ||||
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(6) |
P(18) |
|
3 months |
0.224 |
0.539 |
0.584 |
0.405 |
-0.210 |
|
1 year |
0.160 |
0.707 |
0.725 |
0.193 |
-0.155 |
|
3 years |
-0.030 |
0.800 |
0.801 |
0.075 |
-0.211 |
|
5 years |
-0.144 |
0.789 |
0.802 |
0.061 |
-0.253 |
|
10 years |
-0.286 |
0.699 |
0.755 |
0.073 |
-0.278 |
VAR(1) on Yield Levels
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
P(6) |
P(18) |
|
3 months |
-0.138 |
0.659 |
0.673 |
0.289 |
-0.160 |
|
1 year |
-0.195 |
0.880 |
0.901 |
0.133 |
-0.169 |
|
3 years |
-0.218 |
0.926 |
0.951 |
0.122 |
-0.240 |
|
5 years |
-0.258 |
0.919 |
0.955 |
0.140 |
-0.273 |
|
10 years |
-0.406 |
0.811 |
0.907 |
0.137 |
-0.293 |
VAR(1) on Yield Changes
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
P(6) |
P(18) |
|
3 months |
0.312 |
0.661 |
0.731 |
0.319 |
-0.256 |
|
1 year |
0.310 |
0.845 |
0.900 |
0.172 |
-0.181 |
|
3 years |
0.276 |
0.941 |
0.981 |
0.059 |
-0.210 |
|
5 years |
0.246 |
0.917 |
0.949 |
0.048 |
-0.242 |
|
10 years |
0.192 |
0.809 |
0.831 |
0.043 |
-0.259 |