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

Table 23: Test of out—of-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 June 1, 2001, and August 15, 2001.
τ a b R 2 a=0 a=0, b=1
3 months 2.4932·10 −6 1.1048 0.3876 0.9768 0.7265
6 months -4.3327·10 −6 1.0831 0.3853 0.9533 0.8126
1year 2.6432·10 −6 1.4872 0.6571 0.9543 0
2years 2.1582·10 −5 1.2478 0.3292 0.6945 0.3289
3years 2.7286·10 −5 1.7289 0.3975 0.6179 0.0020
4years 1.5010·10 −5 1.4481 0.4400 0.6918 0.0172
5years 1.3418·10 −5 1.4935 0.4404 0.7113 0.0098
7years -1.2762·10 −5 0.8099 0.1215 0.7574 0.6464
10 years -2.2822·10 −5 0.8004 0.04373 0.6998 0.8183
20 years -1.2461·10 −5 1.6411 0.07379 0.8180 0.4590
30 years -3.3564·10 −5 1.3692 0.02015 0.5797 0.7487
Table 24: Test of in-sample explanatory power of the extended 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 October 1, 1993, and June 1,
2001.
τ a b R 2 a =0 a =0,b= 1
3months 1.0212·10 −5 0.9159 0.2471 0.8026 0.5601
6months 5.2728·10 −6 0.8646 0.2869 0.8659 0.1409
1year -4.8029·10 −6 1.4812 0.8749 0.6510 0
2years -4.1865·10 −6 1.0945 0.4581 0.8089 0.2838
3years -3.1328·10 −6 1.1691 0.4631 0.8436 0.0287
4years -2.5162·10 −5 2.0421 0.1309 0.6850 0.0005
5years -9.2685·10 −7 0.8857 0.2247 0.9607 0.3778
7years -1.4729·10 −6 1.0066 0.2767 0.9356 0.9941
10 years -4.7821·10 −6 1.1869 0.3419 0.7953 0.0787
20 years -5.9106·10 −6 1.2964 0.3799 0.7535 0.0019
30 years -3.4185·10 −5 2.1661 0.3886 0.2726 0
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