1.
Download interest rate spread data from the St. Louis Federal
Reserve:
-
Here's the link: 10-Year Treasury Constant
Maturity Minus 2-Year Treasury Constant Maturity
(T10Y2Y)
2. Fit
a 2nd, 3rd and 4th order Polynomial curve (n=3).
-
Record the polynomial Equations (e.g., y = 0.04*x^2 + 0.22*x +
.45)
-
Record the R-Squared values (e.g., R^2 = 0.84)
3.
Forecast interest spreads
- Use
the best fitting curve (and its equation)
-
Generate forecasts for the next 5 time periods (n=5
forecasts).
1. Download interest rate spread data from the St. Louis Federal Reserve: - Here's the link: 10-Year Treasury Constant M
-
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