ARIMA and naive econometric models outperform machine learning and deep learning methods for US Treasury yield curve forecasting over 47 years, except in one time block, while TimeGPT, LGBM, and RNNs lead among ML approaches.
Since the historical path is just one scenario, testing against just one past scenario risks overfitting
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Yield Curve Forecasting using Machine Learning and Econometrics: A Comparative Analysis
ARIMA and naive econometric models outperform machine learning and deep learning methods for US Treasury yield curve forecasting over 47 years, except in one time block, while TimeGPT, LGBM, and RNNs lead among ML approaches.