Research Article

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

Table 1

Summary statistics for the historical CDS term structure.

IndexMeanStd. dev.1st per.10th per.25th per.Median75th per.90th per.99th per.

CDS6M12.0819.99514.7456.2639.12213.68822.9858
CDS1Y12.3059.71824.846.549.71514.15823.3957.43
CDS2Y14.11710.1264.026.217.511.40616.4923.5462
CDS3Y16.08310.8385.27.299.06313.3519.4826.5768
CDS4Y19.03811.5576.298.5711.3316.00523.0430.74373
CDS5Y22.15412.357.9110.3813.8819.1627.78335.56178
CDS7Y26.71511.81911.9514.9518.823.5732.49940.73178
CDS10Y31.0211.81314.1217.69523.79027.96336.78344.77480
CDS20Y33.90311.98617.8318.7724.3334.0139.59747.95280
CDS30Y34.70912.21416.78819.0424.15935.48540.49349.26580

per.: percentile.