TABLE 7
FROM:
Global term structure modelling using principal component analysis
Arcady Novosyolov and Daniel Satchkov
BACK TO ARTICLETable 7. Cumulative proportion of variability explained by the first four PCs in each curve separately (Procedure 3, first step)
| PC1 | PC2 | PC3 | PC4 | |
|---|---|---|---|---|
| US Treasury | 0.87 | 0.91 | 0.94 | 0.97 |
| Swiss LIBOR | 0.76 | 0.92 | 0.96 | 0.98 |
| UK Government | 0.77 | 0.92 | 0.97 | 0.98 |
| Japan Government | 0.67 | 0.93 | 0.96 | 0.97 |
| Canada Government | 0.86 | 0.93 | 0.96 | 0.98 |
| US LIBOR | 0.91 | 0.96 | 0.99 | 0.99 |
| EU LIBOR | 0.87 | 0.93 | 0.98 | 0.99 |
| UK LIBOR | 0.87 | 0.94 | 0.98 | 0.99 |
| Japan LIBOR | 0.83 | 0.95 | 0.98 | 0.99 |
| Canada LIBOR | 0.89 | 0.94 | 0.97 | 0.98 |
