Multi-Frequency Information Flows between Global Commodities and Uncertainties: Evidence from COVID-19 Pandemic

Table 3

Measures of IMFs and residue obtained through CEEMDAN.

Variables	IMF1	IMF2	IMF3	IMF4	IMF5	IMF6	IMF7	Residue
Acommodity
	2.77	5.00	6.93	12.71	25.42	33.89	76.25
	0.73	0.38	0.40	0.35	0.27	0.03	0.20	0.16
	60.37%	7.52%	11.18%	5.78`%	3.85%	2.52%	1.75%	2.90%
	60.37%	7.52%	11.18%	5.78%	3.85%	2.52%	1.75%	2.90%
Aenergy
	2.68	4.84	4.36	9.24	16.05	30.5	61.00
	0.71	0.68	0.59	0.49	0.39	0.28	0.16	0.23
	22.56%	6.22%	3.83%	4.63%	3.02%	6.45%	5.87%	17.57%
	22.56%	6.22%	3.83%	4.63%	3.02%	6.45%	5.87%	17.57%
Ametals
	2.63	5.00	7.63	11.73	20.33	50.83	50.83
	0.72	0.48	0.49	0.24	0.23	0.11	0.16	0.08
	54.47%	11.29%	12.79%	3.79%	3.80%	1.02%	1.71%	0.60%
	54.47%	11.29%	12.79%	3.79%	3.80%	1.02%	1.71%	0.60%
Imetals
	2.68	4.42	5.17	10.17	21.79	27.73	61.00
	0.70	0.67	0.60	0.50	0.37	0.26	0.12	0.26
	22.55%	3.63%	7.32%	4.89%	2.66%	5.23%	4.15%	21.44%
	22.55%	3.63%	7.32%	4.89%	2.66%	5.23%	4.15%	21.44%
Brent
	2.77	4.49	3.72	7.82	12.71	27.73	76.25
	0.71	0.71	0.61	0.53	0.39	0.30	0.17	0.19
	18.34%	5.08%	4.67%	3.54%	5.52%	5.16%	9.18%	22.52%
	18.34%	5.08%	4.67%	3.54%	5.52%	5.16%	9.18%	22.52%
Gasoline
	2.68	4.69	3.39	7.26	13.26	30.5	76.25
	0.70	0.72	0.61	0.53	0.41	0.30	0.19	0.19
	19.17%	6.55%	4.27%	2.83%	4.63%	4.99%	8.97%	20.69%
	19.17%	6.55%	4.27%	2.83%	4.63%	4.99%	8.97%	20.69%
Htoil
	2.80	4.55	3.59	7.26	12.71	30.5	76.25
	0.70	0.72	0.62	0.54	0.41	0.31	0.19	0.20
	17.55%	7.36%	3.78%	3.13%	4.40%	5.11%	7.51%	19.16%
	17.55%	7.36%	3.78%	3.13%	4.40%	5.11%	7.51%	19.16%
Ngas
	2.80	5.65	7.09	12.71	23.46	43.57	76.25
	0.77	0.45	0.43	0.27	0.20	0.10	0.05	0.07
	66.18%	9.77%	8.70%	3.83%	1.62%	3.40%	1.89%	0.82%
	66.18%	9.77%	8.70%	3.83%	1.62%	3.40%	1.89%	0.82%
Petroleum
	2.75	4.77	6.22	10.89	20.33	38.13	76.25
	0.72	0.35	0.38	0.33	0.23	0.02	0.17	0.12
	66.64%	9.63%	10.30%	9.39%	1.84%	5.06%	1.96%	3.66%
	66.64%	9.63%	10.30%	9.39%	1.84%	5.06%	1.96%	3.66%
Cocoa
	2.82	4.49	4.62	9.53	16.94	27.73	50.83
	0.73	0.69	0.62	0.53	0.44	0.31	0.20	0.22
	13.52%	6.98%	3.77%	5.76%	3.07%	7.06%	5.95%	16.01%
	13.52%	6.98%	3.77%	5.76%	3.07%	7.06%	5.95%	16.01%
Coffee
	2.82	4.55	3.72	7.44	15.52	27.73	50.83
	0.72	0.71	0.62	0.52	0.42	0.30	0.17	0.23
	15.47%	8.26%	3.29%	4.08%	2.23%	6.40%	8.30%	22.10%
	15.47%	8.26%	3.29%	4.08%	2.23%	6.40%	8.30%	22.10%
Corn
	2.80	4.69	3.96	8.97	14.52	38.13	50.83
	0.70	0.70	0.63	0.51	0.41	0.29	0.18	0.24
	17.18%	7.60%	3.43%	3.96%	4.11%	5.49%	6.28%	18.63%
	17.18%	7.60%	3.43%	3.96%	4.11%	5.49%	6.28%	18.63%
Cotton
	2.77	4.42	3.39	6.22	12.20	27.73	61.00
	0.71	0.72	0.63	0.51	0.41	0.29	0.19	0.23
	16.67%	8.34%	3.25%	4.14%	3.49%	4.88%	6.87%	17.91%
	16.67%	8.34%	3.25%	4.14%	3.49%	4.88%	6.87%	17.91%
Soybeans
	2.80	4.92	3.35	6.1	12.2	25.42	61.00
	0.70	0.72	0.63	0.52	0.40	0.29	0.21	0.23
	16.21%	9.12%	3.07%	3.74%	3.74%	5.40%	6.54%	16.56%
	16.21%	9.12%	3.07%	3.74%	3.74%	5.40%	6.54%	16.56%
Wheat
	2.70	4.77	3.43	7.09	13.86	27.73	61.00
	0.70	0.72	0.62	0.51	0.41	0.31	0.11	0.22
	16.97%	8.23%	3.04%	4.08%	3.48%	4.14%	11.59%	27.15%
	16.97%	8.23%	3.04%	4.08%	3.48%	4.14%	11.59%	27.15%
Gold
	2.63	4.55	4.62	9.53	15.25	38.13	61.00
	0.70	0.69	0.61	0.53	0.40	0.28	0.18	0.21
	19.07%	5.17%	4.57%	4.88%	4.33%	6.13%	6.35%	18.73%
	19.07%	5.17%	4.57%	4.88%	4.33%	6.13%	6.35%	18.73%
Lead
	2.75	5.00	5.98	11.73	23.46	43.57	76.25
	0.81	0.49	0.30	0.25	0.15	0.12	0.09	0.06
	64.00%	13.91%	2.62%	6.64%	3.10%	1.39%	1.38%	1.26%
	64.00%	13.91%	2.62%	6.64%	3.10%	1.39%	1.38%	1.26%
Nickel
	2.80	4.77	7.09	13.86	27.73	38.13	76.25
	0.77	0.43	0.33	0.34	0.22	0.15	0.12	0.13
	60.05%	9.87%	7.34%	8.87%	3.53%	0.41%	0.53%	1.81%
	60.05%	9.87%	7.34%	8.87%	3.53%	0.41%	0.53%	1.81%
Palladium
	2.88	5.00	6.49	11.73	19.06	33.89	61.00
	0.64	0.47	0.53	0.42	0.28	0.08	0.08	0.02
	49.32%	8.92%	15.825	11.77%	1.90%	0.35%	0.68%	0.06%
	49.32%	8.92%	15.825	11.77%	1.90%	0.35%	0.68%	0.06%
Zinc
	2.75	4.30	5.00	9.53	16.94	33.89	76.25
	0.73	0.69	0.57	0.51	0.42	0.32	0.25	0.19
	16.89%	5.69%	8.19%	2.29%	4.10%	5.39%	7.04%	15.09%
	16.89%	5.69%	8.19%	2.29%	4.10%	5.39%	7.04%	15.09%
EPU
	2.82	5.00	6.49	11.73	21.79	33.89	76.25
	0.86	0.38	0.28	0.23	0.11	0.06	0.04	0.06
	79.39%	6.90%	2.91%	5.82%	0.70%	0.70%	0.49%	3.37%
	79.39%	6.90%	2.91%	5.82%	0.70%	0.70%	0.49%	3.37%
Gvolatility
	2.77	4.42	3.47	6.78	13.26	25.42	76.25
	0.71	0.72	0.61	0.53	0.41	0.28	0.17	0.21
	16.83%	8.30%	4.09%	2.64%	3.72%	6.39%	8.94%	20.13%
	16.83%	8.30%	4.09%	2.64%	3.72%	6.39%	8.94%	20.13%
OVX
	2.77	4.62	6.49	9.53	15.25	43.57	76.25
	0.69	0.60	0.46	0.46	0.39	0.27	0.15	0.23
	29.17%	9.60%	5.34%	4.25%	1.89%	6.59%	3.63%	14.96%
	29.17%	9.60%	5.34%	4.25%	1.89%	6.59%	3.63%	14.96%
VCRIX
	3.02	4.77	5.55	9.84	21.79	43.57	50.83
	0.63	0.68	0.56	0.46	0.36	0.32	0.20	0.24
	19.03%	6.92%	8.05%	5.28%	4.06%	7.18%	2.27%	14.61%
	19.03%	6.92%	8.05%	5.28%	4.06%	7.18%	2.27%	14.61%
VIX
	2.68	5.00	7.63	12.20	17.94	43.57	61
	0.76	0.46	0.42	0.33	0.21	0.25	0.18	0.03
	56.30%	11.39%	5.34%	3.68%	3.42%	5.43%	0.81%	0.74%
	56.30%	11.39%	5.34%	3.68%	3.42%	5.43%	0.81%	0.74%

Note. , , , and denote mean period, Pearson product moment correlations, variance as % of observed, and variance as % of the sum of all IMFs and residue. ^∗, ^∗∗, and ^∗∗∗ indicate significance at 10%, 5%, and 1% levels, respectively.