Research Article
Interest Rate Swap Market Complexity and Its Risk Management Implications
Table 14
The results of swap rate volatility G/K VAR model estimation.
| | Variables | Ct equation estimation results | Vt equation estimation results | | HC complexity | MacArthur complexity | HC complexity | MacArthur complexity |
| | Const | 7.553e + 00 (10.711) | 5.646e + 00 (8.959) | 6.230e − 04 (9.339) | 3.961e − 04 (0.459) | | Trend | 3.157e − 03 (4.067) | 2.201e − 03 (4.383) | −8.400e − 08 (−0.129) | −1.693e − 07 (−0.246) | | 1.149e − 01 (2.096) | 2.224e − 01 (4.011) | −1.611e − 05 (−0.350) | 1.507e − 05 (0.198) | | 1.976e + 01 (3.053) | 1.143e + 02 (2.852) | 2.669e − 01 (4.913) | 2.638e − 01 (4.802) | | −3.202e − 02 (−0.575) | 8.232e − 02 (1.455) | −1.418e − 05 (−0.303) | −3.298e − 05 (−0.425) | | −3.539e + 00 (−0.053) | −1.075e + 01 (−0.259) | −5.900e − 03 (−0.104) | −9.550e − 03 (−0.168) | | −7.087e − 02 (−1.297) | −8.111e − 03 (−0.148) | 3.851e − 05 (0.840) | 5.438e − 05 (0.725) | | 6.428e + 01 (0.981) | 4.548e + 01 (1.123) | 1.259e − 01 (2.289) | 1.238e − 01 (2.231) | | Degrees of freedom | 335 | 335 | 335 | 335 | | F-statistic | 5.551 | 12.98 | 4.9979 | 4.937 | | R-squared | 0.1036 | 0.2134 | 0.0942 | 0.09351 | | Adjusted R-squared | 0.085 | 0.1969 | 0.0753 | 0.07457 | | value | 4.462e − 06 | 8.669e − 15 | 2.229e − 05 | 2.501e − 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 “ ,” and 0.1 “ .” |
