Journal of Asset Management

TABLE 6

FROM:

Global term structure modelling using principal component analysis

Arcady Novosyolov and Daniel Satchkov

BACK TO ARTICLE

Table 6. R 2 values of regressing of each interest rate curve, point by point, on the 20 global (Procedure 2) interest rate PCs

Figure and tables index
  Government (except Swiss) LIBOR
  US Swiss LIBOR UK Japan Canada US Euro UK Japan Canada
  30.280.960.821.000.390.310.210.790.990.28
  60.310.960.900.990.720.670.590.830.970.78
 120.800.910.931.000.860.720.520.850.980.86
 240.970.910.880.990.950.970.870.830.990.92
 360.980.940.930.990.960.980.900.851.000.95
 480.970.950.950.990.970.980.960.981.000.94
 600.990.970.950.980.970.990.980.991.000.97
 720.970.970.970.990.970.990.980.991.000.95
 840.960.970.980.990.970.990.990.991.000.94
 960.970.970.980.980.960.980.990.991.000.96
1080.980.980.980.980.970.980.990.991.000.97
1200.990.980.980.970.970.980.980.990.990.97
1800.920.950.960.920.850.970.960.990.990.92
2400.890.960.930.970.830.970.960.990.980.96
3000.950.950.910.980.920.960.950.980.970.94
3600.840.950.890.930.870.950.930.960.960.91
Figure and tables index
BACK TO ARTICLE