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

Table 29: Test of out—of-sample explanatory power of the model of Bakshi,
madan and Zhang 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.
τ a b R 2 a =0 a =0,b= 1
3months -3.8419·10 −5 0.2315 0.0063 0.7032 0.0220
6months -2.6180·10 −5 0.3674 0.0237 0.7446 0.0194
1year -1.9550·10 −6 1.1710 0.2828 0.9750 0.6202
2years 1.0215·10 −5 1.1404 0.3391 0.8444 0.6415
3years 3.3238·10 −5 1.8995 0.8028 0.2782 0
4years 1.6708·10 −6 0.7812 0.1947 0.9742 0.3384
5years 3.6568·10 −6 0.7025 0.1685 0.9428 0.1256
7years 9.8674·10 −6 0.8264 0.2132 0.8506 0.4788
10 years 3.1589·10 −7 0.9605 0.3431 0.9943 0.9498
20 years 4.8768·10 −6 0.8469 0.2705 0.9169 0.4823
30 years 1.8837·10 −5 1.1903 0.3369 0.7343 0.4789
Table 30: Test of in-sample explanatory power of the model of Bakshi, Madan
and Zhang 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 -9.2744·10 −6 0.9169 0.0477 0.8411 0.8993
6months -5.7591·10 −6 0.9469 0.0819 0.8711 0.9306
1year -9.3418·10 −6 1.2075 0.2238 0.7069 0.1789
2years -7.9277·10 −6 1.4121 0.4439 0.6456 0
3years -6.3596·10 −6 1.5829 0.7001 0.5729 0
4years -2.1751·10 −5 2.5275 0.1685 0.7228 0
5years -2.7363·10 −6 1.2222 0.4301 0.8593 0.0075
7years -9.9890·10 −7 1.2112 0.4113 0.9504 0.0153
10 years 4.70952·10 −6 1.0610 0.3363 0.7782 0.6788
20 years 1.5229·10 −5 0.6620 0.1265 0.4392 0.0006
30 years 2.2612·10 −7 1.3466 0.1495 0.9950 0.0993
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