TABLE 4
FROM:
Global term structure modelling using principal component analysis
Arcady Novosyolov and Daniel Satchkov
BACK TO ARTICLETable 4. Cumulative proportion of variance explained in UST and US LIBOR curves by the first four PCs (per cent changes vs level changes)
| Level changes | Per cent changes | ||
|---|---|---|---|
| Gov't | LIBOR | Gov't | LIBOR |
| 0.57 | 0.66 | 0.53 | 0.48 |
| 0.70 | 0.86 | 0.73 | 0.75 |
| 0.78 | 0.91 | 0.88 | 0.88 |
| 0.83 | 0.93 | 0.90 | 0.92 |
