Research Article
Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
Table 8
Error statistics of each method for all maturities for test dataset 1 with the subperiod 2 training set (case 3).
| Type | Method | 6M | 1Y | 2Y | 3Y | 4Y | 5Y | 7Y | 10Y | 20Y | 30Y | Average |
| RMSE | N-S | 2.50 | 2.18 | 2.57 | 3.06 | 3.26 | 2.83 | 1.39 | 1.54 | 1.96 | 1.94 | 2.32 | RNN | 1.69 | 1.72 | 1.78 | 1.71 | 1.61 | 1.40 | 0.93 | 1.13 | 1.05 | 1.70 | 1.47 | LSTM | 2.11 | 1.74 | 2.07 | 2.00 | 1.59 | 1.46 | 1.06 | 1.10 | 1.04 | 1.32 | 1.55 | SVR | 1.76 | 1.78 | 1.84 | 1.77 | 1.69 | 1.48 | 0.97 | 1.14 | 1.09 | 1.68 | 1.52 | GMDH | 1.45 | 1.58 | 1.63 | 1.65 | 1.57 | 1.24 | 0.84 | 1.00 | 1.04 | 1.56 | 1.36 |
| MSE | N-S | 6.24 | 4.75 | 6.60 | 9.36 | 10.62 | 8.00 | 1.93 | 2.37 | 3.83 | 3.75 | 5.74 | RNN | 2.86 | 2.96 | 3.18 | 2.94 | 2.59 | 1.95 | 0.87 | 1.28 | 1.10 | 2.88 | 2.26 | LSTM | 4.44 | 3.02 | 4.29 | 3.99 | 2.54 | 2.13 | 1.13 | 1.21 | 1.08 | 1.74 | 2.56 | SVR | 3.11 | 3.18 | 3.41 | 3.14 | 2.84 | 2.19 | 0.95 | 1.31 | 1.20 | 2.84 | 2.42 | GMDH | 2.11 | 2.51 | 2.64 | 2.73 | 2.47 | 1.55 | 0.71 | 1.00 | 1.09 | 2.42 | 1.92 |
| MAPE (%) | N-S | 30.77 | 22.06 | 31.04 | 31.76 | 29.36 | 22.11 | 7.47 | 7.49 | 9.08 | 6.22 | 19.74 | RNN | 13.60 | 13.46 | 12.23 | 10.25 | 7.84 | 6.14 | 3.29 | 4.04 | 2.96 | 5.45 | 7.93 | LSTM | 19.34 | 12.80 | 29.63 | 15.97 | 7.25 | 6.69 | 5.65 | 4.03 | 3.23 | 3.42 | 10.80 | SVR | 12.32 | 13.05 | 11.73 | 9.49 | 8.05 | 6.28 | 3.68 | 3.39 | 2.84 | 3.97 | 7.48 | GMDH | 10.88 | 10.80 | 9.69 | 9.11 | 7.94 | 5.25 | 3.22 | 3.34 | 2.69 | 3.60 | 6.65 |
| MPE (%) | N-S | 4.40 | 17.04 | 27.21 | 28.27 | 25.98 | 18.84 | 1.88 | −1.95 | 0.03 | −1.39 | 12.03 | RNN | 1.00 | −1.82 | −1.04 | 0.59 | −1.36 | −0.15 | −0.75 | 1.24 | 0.47 | 3.23 | 0.14 | LSTM | −0.68 | −3.77 | −16.35 | 7.06 | −0.69 | −0.96 | 2.42 | −0.66 | 0.54 | −1.07 | −1.42 | SVR | −5.49 | −6.74 | −5.55 | −3.33 | −2.07 | −0.92 | −1.52 | −0.66 | −0.28 | −1.56 | −2.81 | GMDH | 1.14 | −4.17 | −3.01 | −3.82 | −3.24 | −0.73 | 0.34 | −1.66 | −0.29 | 0.19 | −1.53 |
| MAE | N-S | 1.96 | 1.48 | 2.29 | 2.82 | 3.04 | 2.60 | 1.05 | 1.15 | 1.69 | 1.17 | 1.93 | RNN | 0.77 | 0.72 | 0.74 | 0.74 | 0.66 | 0.62 | 0.45 | 0.66 | 0.56 | 1.09 | 0.70 | LSTM | 1.01 | 0.73 | 0.95 | 1.19 | 0.64 | 0.69 | 0.75 | 0.62 | 0.60 | 0.68 | 0.79 | SVR | 0.67 | 0.67 | 0.69 | 0.68 | 0.68 | 0.63 | 0.49 | 0.54 | 0.53 | 0.76 | 0.63 | GMDH | 0.64 | 0.60 | 0.61 | 0.66 | 0.66 | 0.53 | 0.44 | 0.52 | 0.50 | 0.71 | 0.59 |
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