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

Table 5

Summary statistics for test dataset 2 for the subperiod 1 training set.

	CDS6M	CDS1Y	CDS2Y	CDS3Y	CDS4Y	CDS5Y	CDS7Y	CDS10Y	CDS20Y	CDS30Y
Mean	13.99	14.44	19.74	25.55	30.83	35.83	40.10	44.76	48.17	49.23
Std. dev.	3.77	4.02	3.85	3.73	3.79	4.44	4.98	4.63	3.42	3.20