Table 8. Results of SHAP estimation...

Table 8.

Results of SHAP estimation using bootstrap (logistic regression and support vector machine)

	OnBid rate	CD rate	Bond spread	Credit spread	KOSPI return
Panel A: 1,000 bootstraps using logistic regression and test data
mean	0.027	0.211	0.107	0.246	0.020
s.d.	0.019	0.022	0.017	0.024	0.017
95% CI	[0.000,0.067]	[0.169,0.254]	[0.074,0.140]	[0.200,0.294]	[0.000,0.060]
Panel B: 1,000 bootstraps using support vector machine and test data
mean	0.071	0.189	0.135	0.253	0.056
s.d.	0.026	0.023	0.026	0.025	0.015
95% CI	[0.032,0.130]	[0.141,0.230]	[0.085,0.185]	[0.205,0.301]	[0.032,0.091]

	OnBid rate	CD rate	Bond spread	Credit spread	KOSPI return
Panel A: 1,000 bootstraps using logistic regression and test data
mean	0.027	0.211	0.107	0.246	0.020
s.d.	0.019	0.022	0.017	0.024	0.017
95% CI	[0.000,0.067]	[0.169,0.254]	[0.074,0.140]	[0.200,0.294]	[0.000,0.060]
Panel B: 1,000 bootstraps using support vector machine and test data
mean	0.071	0.189	0.135	0.253	0.056
s.d.	0.026	0.023	0.026	0.025	0.015
95% CI	[0.032,0.130]	[0.141,0.230]	[0.085,0.185]	[0.205,0.301]	[0.032,0.091]

Notes:

This table reports SHAP bootstrap results of logistic regression and support vector machine by using the 20% test data of the 186 building blocks. We run 1,000 times to compute the mean, standard deviation (s.d.) and 95% confidence interval (CI) for logistic regression (Panel A) and support vector machine (Panel B)

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