1\begin{table}[tp]2\centering3\footnotesize4\begin{threeparttable}5\caption{Daily Nelson--Siegel factors from constant-maturity Treasury yields: summary statistics, 2008--2026 (4,715 yield days)}6\label{tab:dailyfactors}7\setlength{\tabcolsep}{3pt}8\begin{tabular}{lrrrrrrr}9\toprule10Factor & Mean (pp) & SD (pp) & SD of $\Delta$ (bp) & \multicolumn{3}{c}{Correlation of daily changes} & Corr.\ GSW \\ \cmidrule(lr){5-7} & & & & Level & Slope & Curvature & \\11\midrule12Level & 3.54 & 1.05 & 6.2 & 1.00 & $-$0.82 & $-$0.11 & 0.96 \\13Slope & $-$1.99 & 1.72 & 7.3 & $-$0.82 & 1.00 & $-$0.17 & 0.79 \\14Curvature & $-$2.89 & 2.21 & 16.8 & $-$0.11 & $-$0.17 & 1.00 & 0.70 \\15\bottomrule16\end{tabular}17\begin{tablenotes}[flushleft]\footnotesize18\item \textit{Notes:} Factors are the daily OLS fit of the Nelson--Siegel curve with $\lambda=0.7308$ per year to the eleven H.15 constant-maturity yields (1, 3, 6 months; 1, 2, 3, 5, 7, 10, 20, 30 years). Level $L$ is the long-run yield, slope $S$ the short rate minus $L$ (hence negative on average) and curvature $C$ the medium-term hump, all in percentage points (pp); changes are first differences in basis points (bp). Means, SDs and correlations use the 4,715 daily observations from 2008-01-02 to 2026-11-05 (the fit itself starts 2007-01-02). Root-mean-squared fitting error 12.0 bp (9.4 bp with $\hat\lambda=0.491$ estimated by nonlinear least squares). ``Corr.\ GSW'' is the correlation of daily factor changes with those obtained from the G\"urkaynak--Sack--Wright zero-coupon curve (1--30 years). Level correlates 0.91 with the 10-year yield and slope 0.997 with the 3-month minus 10-year spread. Entries are sample moments without standard errors.19\end{tablenotes}20\end{threeparttable}21\end{table}22