Dynamics in the Predictability of Credit Default Swap Spreads of EU Companies

Table 1

Averaged semiannual relative error metrics among 5 best performances.

Time period	Relative RMSE		Relative MAE		Relative MAPE
	Value	Standard deviation	Value	Standard deviation	Value	Standard deviation
Jan 2019–Jun 2019	0.9026	0.0506	0.9097	0.0384	0.9113	0.0492
Jul 2019–Dec 2019	0.8978	0.0355	0.9187	0.0229	0.9196	0.0370
Mar 2020–Aug 2020	0.8749	0.0599	0.9046	0.0594	0.9038	0.0600
Sep 2020–Feb 2021	0.8901	0.0707	0.8881	0.0594	0.8910	0.0706
Mar 2021–Aug 2021	0.9345	0.0637	0.9591	0.0392	0.9585	0.0643
Sep 2021–Feb 2022	0.9265	0.0543	0.9453	0.0438	0.9445	0.0547

Starting from 11 March, i.e., 7 observations short from a full 6-month period.