Table 1.
Feature Selection based on machine learning.
| CART-Variable Importance | Genetic Algorithm | Random Forest |
|---|---|---|
| VIX (15.53) |
VIX (63.3%) |
VIX (12.08) |
| WTI (11.88) |
TED (46.7%) |
WTI (7.39) |
| High Yield Bond (11.12) |
Fed Target Range (46.7%) |
High Yield Bond Index (7.38) |
| Fed Target Range (10.35) |
EPUI (36.7%) |
Fed Target Range (2.84) |
| EPUI (7.38) |
TERM (36.7%) |
EPUI (2.54) |
This table reports the result of feature selection among 10 economic indicators based on the machine learning methods: CART (Decision Tree)-variable Importance, Genetic Algorithm, Random Forest. All the variables are selected based on their importance measures.
Parenthesis in each method represents mean of importance measure, percent of importance measure, and mean of Gini importance score, respectively.