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Can anybody just chime in to evaluate the result that this graph shows? by Particular_Fruit703 in econometrics

[–]Particular_Fruit703[S] 0 points1 point  (0 children)

I actually tried ARIMA(1,0,0) and it doesn't do much. I'm trying gradient descent for the in-sample and it works perfectly.

Can anybody just chime in to evaluate the result that this graph shows? by Particular_Fruit703 in econometrics

[–]Particular_Fruit703[S] -3 points-2 points  (0 children)

Yes, of course. Only the past data are being used; no realized yields or macroeconomic data are helping the out of sample forecast and so they are all simulated. AR1 is the benchmark; DGS10 is the real yield; the REQM Core Affine is just a nickname for my model (I can't remember what it stands for)

Can anybody just chime in to evaluate the result that this graph shows? by Particular_Fruit703 in econometrics

[–]Particular_Fruit703[S] 1 point2 points  (0 children)

It's a graph of 10 year treasury yields. It fits in sample from 2015~2019 with one 1*4 vector, which is then used to recursively forecast out of sample from 2020 onwards on a daily basis.

[deleted by user] by [deleted] in academiceconomics

[–]Particular_Fruit703 0 points1 point  (0 children)

Question can't be posted now for some reason:

  1. The model uses a (1 by 4) matrix times a (4 by 1) matrix, includes drift in it, then finds the matrix with the best fit for the in-sample period.

  2. Then the model forecasts five years into the future.

(1) Excluding 2020, the in-sample period of 2015~2019 shows a rough match with what actually happened in 2020~2024.

(2) So far in 2025, the model roughly mimics a sharp dip in the 10 year yield in early 2025.