| Aggregate Economic Index - Datastream | ||||
| Variables | Coefficients | 7 Factor | 6 Factor | 5 Factor |
| Model | Model | Model | ||
| Intercept | 0.0004 | 0.0004 | 0.0009 | 0.0003 |
| Lagged spread | -0.1933 | -0.1933 | -0.1889 | -0.1645 |
| 3 month TED spread | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 6 month TED spread | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 1 year TED spread | -0.3137 | -0.3137 | -0.3028 | -0.2294 |
| S&P 500 Index | -0.0158 | -0.0158 | -0.0158 | -0.0164 |
| S&P 500 volatility | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| S&P 500 dividend yield | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| T3M rate | 0.0002 | 0.0002 | 0.0000 | 0.0000 |
| T3M volatility | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| T6M volatility | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| T1Y volatility | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| T2Y volatility | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| T3Y volatility | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| T5Y volatility | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| T10Y volatility | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| T30Y volatility | -0.4624 | -0.4624 | -0.2837 | 0.0000 |
| 6mo - 3mo | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 1yr - 6mo | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2yr- 1yr | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 3yr - 2yr | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 5yr - 3yr | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 10yr - 5yr | 0.4081 | 0.4081 | 0.4066 | 0.3238 |
| 30yr - 10yr | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 2 year swap | -0.3338 | -0.3338 | -0.3381 | -0.2919 |
| 5 year swap | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| 10 year swap | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Consumer confidence | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Consumer expectations | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Consumer present | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Industrial production | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Model results: | ||||
| R-squared | 28.1479 | 26.1565 | 21.4251 | |
| Adjusted R-squared | 23.8855 | 22.4333 | 18.2821 | |
| Standard error of estimate | 0.00169 | 0.00170 | 0.00175 | |
| Mean absolute errror | 0.00133 | 0.00133 | 0.00138 | |
| Durbin-Watson statistic | 1.96266 | 1.95026 | 1.91912 | |
| In-sample directional hit rate | 63.37% | 67.33% | 65.35% | |
| Out-of-sample hit rate | 64.00% | 56.00% | 44.00% |