Research Article
Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
Table 1
Summary statistics for the historical CDS term structure.
| Index | Mean | Std. dev. | 1st per. | 10th per. | 25th per. | Median | 75th per. | 90th per. | 99th per. |
| CDS6M | 12.081 | 9.995 | 1 | 4.745 | 6.263 | 9.122 | 13.688 | 22.98 | 58 | CDS1Y | 12.305 | 9.718 | 2 | 4.84 | 6.54 | 9.715 | 14.158 | 23.39 | 57.43 | CDS2Y | 14.117 | 10.126 | 4.02 | 6.21 | 7.5 | 11.406 | 16.49 | 23.54 | 62 | CDS3Y | 16.083 | 10.838 | 5.2 | 7.29 | 9.063 | 13.35 | 19.48 | 26.57 | 68 | CDS4Y | 19.038 | 11.557 | 6.29 | 8.57 | 11.33 | 16.005 | 23.04 | 30.743 | 73 | CDS5Y | 22.154 | 12.35 | 7.91 | 10.38 | 13.88 | 19.16 | 27.783 | 35.561 | 78 | CDS7Y | 26.715 | 11.819 | 11.95 | 14.95 | 18.8 | 23.57 | 32.499 | 40.731 | 78 | CDS10Y | 31.02 | 11.813 | 14.12 | 17.695 | 23.790 | 27.963 | 36.783 | 44.774 | 80 | CDS20Y | 33.903 | 11.986 | 17.83 | 18.77 | 24.33 | 34.01 | 39.597 | 47.952 | 80 | CDS30Y | 34.709 | 12.214 | 16.788 | 19.04 | 24.159 | 35.485 | 40.493 | 49.265 | 80 |
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per.: percentile.
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