Determinants of Commodity Futures Prices: Decomposition Approach

Table 7

Measures of modes and residue obtained through VMD for Bloomberg daily price series of crude oil (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	2.008				113.1117
M1	21.283	0.731	0.607	0.778	34.704	30.68	42.03
M2	49.115	0.746	0.547	0.745	32.542	28.77	39.41
M3	55.523	0.447	0.226	0.299	12.728	11.25	15.42
M4	21.644	0.184	0.118	0.174	1.417	1.25	1.72
M5	13.302	0.129	0.066	0.097	0.733	0.65	0.89
M6	5.940	0.069	0.042	0.061	0.190	0.17	0.23
M7	3.835	0.057	0.035	0.051	0.157	0.14	0.19
M8	2.484	0.049	0.029	0.041	0.096	0.08	0.12
Sum						72.99	100