Journal of Asset Management - Table 10 for article: Global term structure modelling using principal component analysis

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Global term structure modelling using principal component analysis

Arcady Novosyolov and Daniel Satchkov

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Table 10. R² of regressing each volatility curve point on the eight local PCs reconstructed from 20 global PCs obtained in the second step

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	US ST	EU ST	UK ST	Jpn ST	Can ST	US LT	EU LT	UK LT	Jpn LT	Can LT
3 mo	1.00	1.00	0.99	0.97	0.98	0.86	0.59	0.51	0.89	0.82
6 mo	1.00	1.00	0.99	0.97	0.98	0.87	0.71	0.59	0.87	0.95
12 mo	0.93	0.94	0.94	0.91	0.96	0.89	0.76	0.66	0.84	0.79
24 mo	0.92	0.71	0.49	0.42	0.42	0.88	0.80	0.75	0.80	0.92
36 mo	0.73	0.64	0.41	0.43	0.42	0.88	0.84	0.74	0.73	0.92
48 mo	0.78	0.65	0.46	0.87	0.67	0.84	0.83	0.71	0.70	0.91
60 mo	0.78	0.69	0.52	0.90	0.79	0.87	0.82	0.68	0.74	0.92
72 mo	0.71	0.72	0.49	0.85	0.88	0.86	0.81	0.71	0.70	0.90
84 mo	0.78	0.77	0.55	0.96	0.90	0.79	0.83	0.78	0.64	0.87
96 mo	0.76	0.79	0.61	0.96	0.92	0.77	0.82	0.76	0.60	0.82
108 mo	0.75	0.81	0.65	0.96	0.95	0.85	0.86	0.78	0.70	0.84
120 mo	0.74	0.78	0.64	0.98	0.98	0.85	0.84	0.71	0.87	0.88
180 mo	0.75	0.65	0.62	1.00	0.96	0.80	0.71	0.53	0.96	0.79
240 mo	0.75	0.70	0.65	1.00	0.95	0.99	0.83	0.58	0.94	0.76
300 mo	0.80	0.76	0.71	1.00	0.98	0.96	0.78	0.54	0.98	0.84
360 mo	0.97	0.94	0.83	0.97	0.95	0.99	0.83	0.58	0.87	0.88

ST indicates short term volatility, LT indicates long term.

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