TABLE 3
FROM:
Global term structure modelling using principal component analysis
Arcady Novosyolov and Daniel Satchkov
BACK TO ARTICLETable 3. Kurtosis of percentage change in spot rates from 1st August, 2006 to 8th August, 2007
| Government (except Swiss) | LIBOR | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| US | Swiss LIBOR | UK | Japan | Canada | US | Euro | UK | Japan | Canada | |
| 3 | 6.5 | 63.4 | 15.7 | 35.8 | 9.5 | 47.6 | 114.4 | 46.9 | 21.2 | 19.8 |
| 6 | 5.7 | 77.0 | 16.2 | 45.3 | 9.6 | 9.2 | 49.0 | 42.9 | 16.4 | 11.6 |
| 12 | 5.7 | 50.6 | 10.0 | 19.7 | 7.6 | 6.7 | 5.1 | 23.7 | 19.8 | 7.0 |
| 24 | 5.9 | 21.6 | 7.5 | 7.2 | 5.6 | 5.2 | 3.6 | 3.7 | 7.5 | 5.7 |
| 36 | 5.9 | 17.1 | 5.5 | 5.1 | 5.1 | 4.6 | 3.3 | 3.6 | 6.4 | 5.0 |
| 48 | 5.5 | 10.8 | 4.9 | 4.6 | 4.3 | 4.3 | 3.0 | 50.0 | 5.3 | 4.4 |
| 60 | 5.0 | 7.4 | 4.6 | 4.2 | 4.1 | 4.1 | 3.0 | 48.5 | 4.5 | 4.1 |
| 72 | 4.6 | 5.8 | 3.9 | 3.9 | 3.8 | 4.0 | 3.0 | 41.2 | 4.1 | 3.8 |
| 84 | 4.3 | 5.0 | 3.5 | 3.6 | 3.5 | 3.9 | 2.9 | 45.8 | 3.9 | 3.6 |
| 96 | 4.1 | 4.8 | 3.4 | 3.4 | 3.4 | 3.8 | 2.9 | 47.1 | 3.7 | 3.5 |
| 108 | 4.1 | 4.8 | 3.4 | 3.3 | 3.3 | 3.8 | 2.9 | 44.5 | 3.7 | 3.4 |
| 120 | 4.0 | 5.0 | 3.5 | 3.3 | 3.3 | 3.8 | 3.0 | 40.6 | 3.6 | 3.4 |
| 180 | 3.9 | 5.6 | 3.5 | 3.4 | 3.4 | 4.1 | 3.1 | 36.5 | 3.5 | 3.6 |
| 240 | 4.1 | 6.0 | 3.4 | 3.4 | 3.3 | 4.0 | 3.0 | 47.4 | 3.5 | 3.7 |
| 300 | 4.0 | 5.9 | 3.2 | 3.3 | 3.4 | 4.0 | 3.0 | 51.7 | 3.5 | 3.9 |
| 360 | 3.9 | 5.5 | 3.4 | 3.4 | 3.6 | 4.1 | 3.0 | 48.4 | 3.5 | 4.2 |
