Research Article
Interest Rate Swap Market Complexity and Its Risk Management Implications
Table 13
The results of swap rate volatility H/L VAR model estimation.
| | Variables | Ct equation estimation results | Vt equation estimation results | | HC complexity | MacArthur complexity | HC complexity | MacArthur complexity |
| | Const | 7.562e + 00 (10.729) | 5.642e + 00 (8.964) | 1.931e - 04 (0.921) | 1.359e − 04 (0.444) | | Trend | 3.133e − 03 (3.493) | 2.184e − 03 (4.358) | −1.997e − 08 (−0.087) | −4.042e − 08 (−0.246) | | 1.159e − 01 (2.114) | 2.227e − 01 (4.017) | −5.534e − 06 (−0.339) | −2.379e − 07 (−0.009) | | 5.565e + 01 (3.044.100) | 3.235e + 02 (2.857) | 2.699e − 01 (4.964) | 2.685e − 01 (4.880) | | −3.184e − 01 (−0.572) | 8.478e − 02 (1.498) | −1.141e − 06 (−0.069) | −2.836e − 06 (−0.103) | | −2.425e + 02 (−0.127) | −3.714e + 01 (−0.316) | −1.987e − 02 (−0.351) | −2.316e − 02 (−0.406) | | −7.288e − 02 (−1.334) | −1.026e − 02 (−0.188) | 1.366e − 05 (0.841) | 1.696e − 05 (0.638) | | 1.992e + 02 (1.076) | 1.339e + 02 (1.170) | 1.172e − 01 (2.129) | 1.158e − 01 (2.082) | | Degrees of freedom | 335 | 335 | 335 | 335 | | F-statistic | 5.551 | 12.98 | 4.776 | 4.708 | | R-squared | 0.1039 | 0.2133 | 0.0907 | 0.08957 | | Adjusted R-squared | 0.0852 | 0.1969 | 0.071 | 0.07055 | | value | 1.782e − 6 | 8.757e − 15 | 3.892e − 05 | 4.677e − 05 |
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Notes. L1 of a time series means time lag 1 and L2 means time lag 2. Significance level code: 0.01 “ ,” 0.05 “ ,” 0.1 and “ .” |
