Determinants of Commodity Futures Prices: Decomposition Approach

Table 13

Correlation and variance of constituents for daily series of gold (May 2016–April 2021) derived through VMD: correlation is significant at 0.05 level (2-tailed).

	Mean period	Pearson correlation	Kendall correlation	Spearman correlation	Variance	Variance as of observed (%)	Variance as % of  + residual
Observed	1.912				54236.22
High frequency	5.149	0.161	0.165	0.217	649.378	1.197	1.322
Low frequency	44.034	0.417	0.327	0.427	2656.298	4.898	5.409
Trend	18.779	0.966	0.731	0.902	45806.270	84.457	93.269
Sum						90.552	100.00