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 |
More intriguing information
1. PERFORMANCE PREMISES FOR HUMAN RESOURCES FROM PUBLIC HEALTH ORGANIZATIONS IN ROMANIA2. The name is absent
3. Income Mobility of Owners of Small Businesses when Boundaries between Occupations are Vague
4. Examining the Regional Aspect of Foreign Direct Investment to Developing Countries
5. The name is absent
6. Contribution of Economics to Design of Sustainable Cattle Breeding Programs in Eastern Africa: A Choice Experiment Approach
7. The Functions of Postpartum Depression
8. AGRIBUSINESS EXECUTIVE EDUCATION AND KNOWLEDGE EXCHANGE: NEW MECHANISMS OF KNOWLEDGE MANAGEMENT INVOLVING THE UNIVERSITY, PRIVATE FIRM STAKEHOLDERS AND PUBLIC SECTOR
9. The name is absent
10. 101 Proposals to reform the Stability and Growth Pact. Why so many? A Survey