Determinants of Commodity Futures Prices: Decomposition Approach

Table 11

Measures of modes and residue derived through VMD for Bloomberg daily price series of gold (May 2016–April 2019): correlation is significant at the level of 0.05 (2-tailed).

	Mean period	Pearson correlation	Kendall correlation	Spearman correlation	Variance	Variance as of observed (%)	Variance as % of  + residual
Observed	1.912				54236.22
M1	18.779	0.966	0.731	0.902	45806.270	84.457	93.458
M2	44.034	0.417	0.327	0.427	2656.298	4.898	5.420
M3	29.698	0.142	0.123	0.152	322.526	0.595	0.658
M4	15.202	0.075	0.080	0.113	122.172	0.225	0.249
M5	8.457	0.059	0.038	0.054	43.413	0.080	0.089
M6	5.626	0.047	0.040	0.051	37.134	0.068	0.076
M7	3.917	0.029	0.025	0.033	15.249	0.028	0.031
M8	2.929	0.024	0.021	0.029	9.602	0.018	0.020
Sum						92.196	100.00