Interest Rate Swap Market Complexity and Its Risk Management Implications

Table 9

The results of the Augmented Dickey Fuller (ADF) test for a unit root.

Time series	ADF test statistics	99% critical value	90% critical value	90% critical value	Lag order	value
MacArthur complexity	−7.052	−3.98	−3.42	−3.13	4	<0.0001
AMI complexity	−8.236	−3.98	−3.42	−3.13	4	<0.0001
HC complexity	−6.516	−3.98	−3.42	−3.13	4	<0.0001
Swap (1-year) rate H/L volatility	−6.386	−3.98	−3.42	−3.13	4	<0.001
Swap (1-year) rate G/K volatility	−6.386	−3.44	−2.87	−2.57	4	<0.001
Eurodollar H/L volatility	−7.378	−3.98	−3.42	−3.13	4	<0.001
Eurodollar G/K volatility	−7.420	−3.98	−3.42	−3.13	4	<0.001

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