Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning

Figure 14

Error of each method for all maturities from Table 8 and standard deviations for all maturities (case 3): (a) RMSE (subperiod 2 training set); (b) MSE (subperiod 2 training set); (c) MAPE (subperiod 2 training set); (d) MPE (subperiod 2 training set); (e) MAE (subperiod 2 training set); (f) test dataset 1.

(a)

(b)

(c)

(d)

(e)

(f)