Determinants of Commodity Futures Prices: Decomposition Approach

Table 5

Correlation and variance of components obtained from modes of VMD for daily price series of corn (May 2016–April 2021): 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 series	2.02377				0.33526
High frequency	4.76493	0.09428	0.10471	0.15044	0.00145	0.43250	0.58086
Low frequency	63.85000	0.85557	0.66760	0.78770	0.14951	44.5952	59.89264
Trend	13.16495	0.76976	0.34161	0.44076	0.09867	29.43089	39.52650
Sum						74.45863	100.000