Table 5. Results of SHAP estimation...

Table 5.

Results of SHAP estimation using bootstrap (support vector machine)

	OnBid rate	CD rate	Bond spread	Credit spread	KOSPI return
Panel A: 1,000 bootstraps using training data
mean	0.101	0.150	0.119	0.224	0.063
s.d.	0.026	0.027	0.026	0.029	0.017
95% CI	[0.051,0.149]	[0.097,0.198]	[0.072,0.173]	[0.167,0.279]	[0.033,0.101]
Panel B: 1,000 bootstraps using test data
mean	0.100	0.149	0.118	0.225	0.060
s.d.	0.026	0.026	0.024	0.026	0.016
95% CI	[0.054,0.152]	[0.096,0.199]	[0.076,0.169]	[0.169,0.271]	[0.034,0.096]
Panel C: t-test for comparison of the means between two groups (t-test for equal mean)
t-value	0.854	0.763	0.617	−1.062	3.230
p-value	0.393	0.446	0.538	0.289	0.001

	OnBid rate	CD rate	Bond spread	Credit spread	KOSPI return
Panel A: 1,000 bootstraps using training data
mean	0.101	0.150	0.119	0.224	0.063
s.d.	0.026	0.027	0.026	0.029	0.017
95% CI	[0.051,0.149]	[0.097,0.198]	[0.072,0.173]	[0.167,0.279]	[0.033,0.101]
Panel B: 1,000 bootstraps using test data
mean	0.100	0.149	0.118	0.225	0.060
s.d.	0.026	0.026	0.024	0.026	0.016
95% CI	[0.054,0.152]	[0.096,0.199]	[0.076,0.169]	[0.169,0.271]	[0.034,0.096]
Panel C: t-test for comparison of the means between two groups (t-test for equal mean)
t-value	0.854	0.763	0.617	−1.062	3.230
p-value	0.393	0.446	0.538	0.289	0.001

Notes:

This table reports bootstrap results of estimated SHAP in support vector machine. We run 1,000 times to compute the mean, standard deviation (s.d.), and 95% confidence interval (CI) for training (Panel A) and test data (Panel B). Panel C shows t- and p-values of t-test for comparison for the means between training and test data; the null hypothesis is that both means are equal to each other

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