Journal of Asset Management

TABLE 8

FROM:

Global term structure modelling using principal component analysis

Arcady Novosyolov and Daniel Satchkov

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Table 8. R2 of regressing 20 global PCs from the Procedure 3 (first step is four PCs)

Figure and tables index
  Government (except Swiss) LIBOR
  US Swiss LIBOR UK Japan Canada US Euro UK Japan Canada
  30.390.970.881.000.360.250.170.810.960.25
  60.440.970.950.990.770.670.550.870.950.80
 120.830.900.950.960.890.740.500.850.940.88
 240.980.940.900.950.950.970.880.900.980.94
 360.980.960.950.980.960.980.910.910.990.97
 480.980.970.960.970.970.980.970.991.000.95
 600.990.980.960.970.970.990.980.990.990.98
 720.980.980.980.970.970.990.981.000.990.96
 840.970.970.980.970.970.990.991.000.990.95
 960.970.970.980.960.960.990.991.000.990.96
1080.980.980.980.970.970.990.990.990.990.98
1200.990.980.980.950.990.980.990.990.990.97
1800.940.960.960.870.950.980.960.990.980.92
2400.920.970.960.910.950.980.961.000.970.96
3000.960.960.960.890.980.970.950.990.950.94
3600.850.960.950.840.870.960.940.980.930.91
Figure and tables index
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