Interest Rate Swap Market Complexity and Its Risk Management Implications

Table 8

Pearson correlation tests for the complexity measures and volatility of Eurodollar futures and swap rates.

Variables	[2]	[3]	[4]	[5]	[6]	[7]
[1] MacArthur complexity	−0.26	0.81	0.21	0.21	0.18	0.16
[2] AMI complexity	1.00	−0.77	0.01	0.01	−0.18	−0.17
[3] HC complexity		1.00	0.13	0.13	0.23	0.21
[4] Swap (1-year) rate H/L volatility			1.00	0.98	0.18	0.17
[5] Swap (1-year) rate G/K volatility				1.00	0.18	0.17
[6] Eurodollar futures H/L volatility					1.00	0.98
[7] Eurodollar futures G/K volatility						1.00

Note: significance level code: 0.01 “,” 0.05 “,” 0.1 “.”