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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