Empirical Evaluation of Hybrid Defaultable Bond Pricing ... - risklab

Table 21: Test of out—of-sample explanatory power of the model of Schmid and
Zagst for BBB1 spreads. The last two columns show the p-values of the F-tests
against the null hypotheses a =0and (a, b) =(0, 1). The results are based on
weekly data of Treasury Strips between June 1, 2001, and August 15, 2001.
τ a b R 2 a=0 a=0, b=1
3months -7.6425·10 −7 0.6777 0.1987 0.9930 0.0470
6months -5.0306·10 −6 0.3055 0.0510 0.9477 0
1year 7.4333·10 −6 1.4301 0.9290 0.7064 0
2years 1.1361·10 −5 0.9324 0.3666 0.8224 0.8148
3years 1.1911·10 −6 1.4025 0.5975 0.7858 0.0016
4years 2.6639·10 −6 0.7721 0.2471 0.9573 0.2020
5years 2.8310·10 −6 0.6973 0.2088 0.9544 0.0637
7years 5.7710·10 −6 0.9573 0.3444 0.9041 0.9321
10 years -1.5753·10 −5 0.9135 0.3612 0.7186 0.7226
20 years -2.7010·10 −6 1.1262 0.4882 0.9446 0.5045
30 years -1.2745·10 −6 1.6374 0.5372 0.9779 0.0001
Table 22: Test of in-sample explanatory power of the model of Schmid and Zagst
for A2 spreads. The last two columns show the p-values of the F-tests against
the null hypotheses a =0and (a, b) =(0, 1). The results are based on weekly
data of Treasury Strips between October 1, 1993, and June 1, 2001
τ a b R 2 a=0 a=0, b=1
3months 1.4370·10 −6 1.1155 0.2290 0.9724 0.5318
6months 2.2400·10 −6 1.2560 0.3872 0.9383 0.0058
1year -4.4005·10 −6 1.4934 0.6571 0.7896 0
2years -5.5875·10 −6 1.4031 0.4988 0.7327 0
3years -4.3448·10 −6 1.4331 0.4523 0.7757 0
4years -1.8207·10 −5 2.2176 0.0777 0.7782 0.0069
5years -8.6022·10 −6 1.6818 0.3904 0.5909 0
7years -6.2219·10 −6 1.7777 0.2930 0.7246 0
10 years 2.3401·10 −6 1.6453 0.1682 0.9008 0.0020
20 years 1.4218·10 −5 1.6851 0.0546 0.4891 0.1014
30 years -6.9543·10 −7 4.7786 0.0583 0.9855 0.0005
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