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Average of the root mean squared predition error (RMSPE) and mean absolute prediction error (MAPE) over 30 partitions by method. The out-of-sample statistics of the Bayesian hierarchical model (BHM-firm) that estimates term structures by firm are 60% smaller than those by rating class obtained with the single-curve approach (SC-rating).
| RMSPE | MAPE | |
|---|---|---|
| BHM-firm | 3.20 | 2.14 |
| SC-rating | 8.34 | 5.46 |
| Relative Difference | −62% | −61% |
