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

Table 25: Test of out—of-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). Theresults
are based on weekly data of Treasury Strips between June 1, 2001, andAugust
15, 2001.
Maturity a b R 2 a =0 a =0,b= 1
3 Months -2.5276·10 −5 0.7015 0.1751 0.7831 0.1166
6 Months -2.376·10 −5 0.3597 0.0583 0.7633 0
1Year 1.6800·10 −5 1.5245 0.9053 0.4585 0
2Years 1.2188·10 −5 1.0585 0.3527 0.8130 0.8929
3Years 2.1560·10 −5 1.5295 0.4792 0.6648 0.0027
4Years 5.4541·10 −6 0.8987 0.2023 0.9156 0.8191
5Years 5.4744·10 −6 0.8083 0.1591 0.9150 0.5309
7Years 2.0507·10 −5 1.2161 0.2971 0.6793 0.4608
10 Years 1.2919·10 −6 1.2282 0.3384 0.9769 0.3645
20 Years 2.2289·10 −5 1.5332 0.5186 0.5569 0.0010
30 Years 3.1546·10 −5 1.9345 0.5329 0.4976 0
Table 26: Test of in-sample explanatory power of the extended 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 1.3097·10 −6 0.8084 0.2266 0.9749 0.0391
6months 3.4119·10 −6 0.8927 0.3585 0.9083 0.2018
1year -2.0876·10 −6 1.3200 0.8966 0.8177 0
2years -3.3194·10 −7 1.0131 0.4333 0.9848 0.9750
3years 5.3541·10 −7 1.0917 0.4526 0.9720 0.3131
4years -1.8315·10 −5 2.1747 0.1420 0.7687 0
5years -6.2845·10 −6 1.3654 0.5564 0.6447 0
7years -6.4588·10 −6 1.4064 0.5307 0.6529 0
10 years 1.2235·10 −6 1.1073 0.3391 0.9416 0.3790
20 years 9.5899·10 −6 0.8640 0.2014 0.6108 0.2700
30 years -7.3028·10 −6 1.5061 0.1796 0.8373 0.0078
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