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

Table 5

Descriptive statistics of the reconstructed series and the residue obtained through CEEMDAN (HFQ, MFQ, LFQ, and RESID denote high frequency, medium frequency, low frequency, and residue, respectively; ^∗, ^∗∗, and ^∗∗∗ indicate significance at 10%, 5%, and 1% levels, respectively).

Commodities and uncertainties	Pearson correlation coefficient				Kendall tau-b				Variance as % of observed				Variance as % of the sum of all IMFs and residue
	HFRQ	MFRQ	LFRQ	RESID	HFRQ	MFRQ	LFRQ	RESID	HFRQ (%)	MFRQ (%)	LFRQ (%)	RESID (%)	HFRQ (%)	MFRQ (%)	LFRQ (%)	RESID (%)
Acommodity	0.94	0.23	0.20	0.16	0.75	0.11	0.13	0.09	88.68	6.09	1.75	2.90	88.68	6.09	1.75	2.90
Aenergy	0.89	0.39	0.16	0.23	0.70	0.10	−0.02	0.06	66.81	12.42	5.06	17.57	66.81	12.42	5.06	17.57
Ametals	0.95	0.26	0.16	0.08	0.80	0.14	0.11	0.05	92.00	4.70	1.71	0.60	92.00	4.70	1.71	0.60
Imetals	0.88	0.36	0.12	0.26	0.74	0.12	−0.07	0.12	70.00	10.87	4.15	21.44	70	10.87	4.15	21.44
Brent	0.87	0.43	0.17	0.19	0.65	0.10	0.10	−0.08	63.45	13.84	9.18	22.52	63.45	13.84	9.18	22.52
Gasoline	0.88	0.42	0.19	0.19	0.67	0.15	0.04	−0.05	64.00	13.34	8.97	20.69	64.00	13.34	8.97	20.69
Htoil	0.88	0.43	0.19	0.20	0.69	0.07	0.07	−0.08	63.92	12.91	7.51	19.16	63.92	12.91	7.51	19.16
Ngas	0.97	0.18	0.05	0.07	0.82	0.08	0.03	0.05	95.62	5.42	1.89	0.82	95.62	5.42	1.89	0.82
Petroleum	0.95	0.13	0.17	0.12	0.74	0.07	0.16	0.09	92.39	7.27	1.96	3.66	92.39	7.27	1.96	3.66
Cocoa	0.88	0.42	0.20	0.22	0.72	0.20	−0.02	0.04	64.16	14.66	5.95	16.01	64.16	14.66	5.95	16.01
Coffee	0.88	0.41	0.17	0.23	0.59	0.10	−0.01	0.04	64.05	11.62	8.30	22.10	64.05	11.62	8.30	22.10
Corn	0.88	0.42	0.18	0.24	0.58	0.14	−0.04	0.07	63.11	13.13	6.28	18.63	63.11	13.13	6.28	18.63
Cotton	0.89	0.40	0.19	0.23	0.63	0.10	−0.06	0.07	64.52	12.16	6.87	17.91	64.52	12.16	6.87	17.91
Soybeans	0.89	0.41	0.21	0.23	0.55	0.03	−0.04	0.09	63.72	12.57	6.54	16.56	63.72	12.57	6.54	16.56
Wheat	0.89	0.42	0.11	0.22	0.62	0.12	−0.05	0.06	63.27	11.10	11.59	27.15	63.27	11.10	11.59	27.15
Gold	0.88	0.40	0.18	0.21	0.74	0.05	0.06	−0.04	65.13	14.86	6.35	18.73	65.13	14.86	6.35	18.73
Lead	0.96	0.19	0.09	0.06	0.81	0.11	0.08	0.03	96.21	4.83	1.38	1.26	96.21	4.83	1.38	1.26
Nickel	0.95	0.23	0.12	0.13	0.80	0.11	0.06	0.07	93.77	4.69	0.53	1.81	93.77	4.69	0.53	1.81
Palladium	0.98	0.27	0.08	0.02	0.82	0.17	0.08	0.03	93.34	2.58	0.68	0.06	93.34	2.58	0.68	0.06
Zinc	0.87	0.43	0.25	0.19	0.73	0.13	0.10	−0.07	64.61	13.57	7.04	15.09	64.61	13.57	7.04	15.09
EPU	0.98	0.10	0.04	0.06	0.88	0.02	−0.01	−0.01	98.95	2.08	0.49	3.37	98.95	2.08	0.49	3.37
Gvolatility	0.89	0.41	0.17	0.21	0.74	0.02	0.06	−0.03	63.26	13.11	8.94	20.13	63.26	13.11	8.94	20.13
OVX	0.89	0.35	0.15	0.23	0.74	0.11	−0.01	0.08	73.52	12.57	3.63	14.96	73.52	12.57	3.63	14.96
VCRIX	0.87	0.40	0.20	0.24	0.41	0.13	0.03	0.09	68.18	15.82	2.27	14.61	68.18	15.82	2.27	14.61
VIX	0.95	0.34	0.18	0.03	0.81	0.14	0.04	−0.05	87.15	8.15	0.81	0.74	87.15	8.15	0.81	0.74