Research Article
Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
Table 7
Error statistics of each method for all maturities for test dataset 2 with the subperiod 1 training set (case 2).
| Type | Method | 6M | 1Y | 2Y | 3Y | 4Y | 5Y | 7Y | 10Y | 20Y | 30Y | Average |
| RMSE | N-S | 3.75 | 4.10 | 4.11 | 4.00 | 4.29 | 5.27 | 5.29 | 4.95 | 4.03 | 3.71 | 4.35 | RNN | 2.78 | 4.25 | 3.71 | 3.48 | 3.99 | 4.92 | 5.63 | 5.18 | 3.69 | 3.20 | 4.08 | LSTM | 3.89 | 4.20 | 3.71 | 3.50 | 3.57 | 4.56 | 5.64 | 5.19 | 3.68 | 3.36 | 4.13 | SVR | 4.04 | 4.39 | 3.77 | 3.46 | 4.02 | 5.10 | 5.85 | 5.37 | 3.63 | 3.30 | 4.29 | GMDH | 3.92 | 4.18 | 3.63 | 3.30 | 3.78 | 4.70 | 5.44 | 5.00 | 3.62 | 3.36 | 4.09 |
| MSE | N-S | 14.03 | 16.80 | 16.90 | 16.00 | 18.36 | 27.82 | 27.99 | 24.51 | 16.25 | 13.75 | 19.24 | RNN | 7.74 | 18.07 | 13.78 | 12.13 | 15.90 | 24.20 | 31.69 | 26.86 | 13.59 | 10.27 | 17.42 | LSTM | 15.10 | 17.65 | 13.74 | 12.24 | 12.74 | 20.82 | 31.77 | 26.93 | 13.53 | 11.27 | 17.58 | SVR | 16.33 | 19.30 | 14.22 | 11.95 | 16.16 | 25.98 | 34.26 | 28.86 | 13.18 | 10.87 | 19.11 | GMDH | 15.36 | 17.43 | 13.19 | 10.88 | 14.30 | 22.11 | 29.62 | 25.03 | 13.07 | 11.32 | 17.23 |
| MAPE (%) | N-S | 28.13 | 20.83 | 13.93 | 11.42 | 12.08 | 13.47 | 11.50 | 9.20 | 6.08 | 6.83 | 13.35 | RNN | 19.36 | 28.14 | 16.36 | 11.69 | 11.16 | 11.68 | 11.62 | 9.71 | 6.26 | 5.19 | 13.11 | LSTM | 26.75 | 26.79 | 16.36 | 11.79 | 10.41 | 10.59 | 11.61 | 9.82 | 6.32 | 5.51 | 13.60 | SVR | 27.32 | 28.52 | 16.40 | 11.48 | 11.14 | 12.07 | 12.27 | 10.11 | 6.19 | 5.36 | 14.09 | GMDH | 26.44 | 26.58 | 15.65 | 10.83 | 10.48 | 11.16 | 11.48 | 9.44 | 6.16 | 5.46 | 13.37 |
| MPE (%) | N-S | −14.07 | 6.80 | 6.03 | 0.59 | −3.99 | −7.69 | −3.05 | −0.41 | 3.37 | −4.72 | −1.72 | RNN | −13.08 | −8.39 | −4.84 | −3.65 | −3.37 | −2.35 | −1.26 | −1.28 | −0.74 | 0.27 | −3.87 | LSTM | −6.75 | −4.96 | −5.07 | −3.58 | −4.29 | −1.35 | −1.20 | −1.85 | −1.26 | −0.71 | −3.10 | SVR | −7.37 | −8.40 | −4.46 | −3.08 | −2.58 | −2.49 | −2.40 | −1.82 | −0.71 | −0.49 | −3.38 | GMDH | −5.89 | −6.42 | −4.03 | −2.44 | −2.42 | −2.49 | −2.38 | −1.75 | −0.60 | −0.36 | −2.88 |
| MAE | N-S | 3.18 | 3.30 | 3.07 | 3.04 | 3.62 | 4.46 | 4.52 | 4.16 | 3.09 | 3.15 | 3.56 | RNN | 2.28 | 3.58 | 3.02 | 2.84 | 3.34 | 4.13 | 4.68 | 4.34 | 2.99 | 2.54 | 3.37 | LSTM | 3.33 | 3.57 | 3.01 | 2.86 | 3.11 | 3.76 | 4.68 | 4.36 | 3.00 | 2.66 | 3.43 | SVR | 3.41 | 3.67 | 3.05 | 2.81 | 3.39 | 4.27 | 4.88 | 4.50 | 2.96 | 2.60 | 3.55 | GMDH | 3.32 | 3.47 | 2.93 | 2.67 | 3.18 | 3.92 | 4.54 | 4.19 | 2.95 | 2.65 | 3.38 |
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