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.
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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.