Lược Đồ Tương Quan Của Các Chuỗi Lợi Suất

Equation: UNTITLED

Specification: COERREE C BG COERREE(-1)

Quantile

Coefficient

Std. Error

t-Statistic

Prob.

C

0.01

-0.03752

0.001662

-22.572

0.0000

0.05

-0.02469

0.001616

-15.2788

0.0000

0.1

-0.01692

0.001014

-16.6808

0.0000

0.9

0.017724

0.000908

19.51592

0.0000

0.95

0.026432

0.00144

18.35263

0.0000

0.99

0.041446

0.001465

28.29407

0.0000

BG

0.01

-0.00772

0.002777

-2.78

0.0055

0.05

-0.01034

0.003226

-3.20445

0.0014

0.1

-0.01134

0.002683

-4.22781

0.0000

0.9

0.002141

0.002879

0.743594

0.4572

0.95

0.007404

0.00269

2.752936

0.0060

0.99

0.005379

0.002875

1.871031

0.0615

COERREE(-1)

0.01

0.245743

0.064981

3.7818

0.0002

0.05

0.374237

0.064774

5.777545

0.0000

0.1

0.386689

0.042453

9.108745

0.0000

0.9

0.311739

0.046856

6.653105

0.0000

0.95

0.253086

0.037827

6.690592

0.0000

0.99

0.028505

0.024387

1.168866

0.2426

Equation: UNTITLED

Specification: COERSTB C BG COERSTB(-1)

Quantile

Coefficient

Std. Error

t-Statistic

Prob.

C

0.01

-0.036

0.001601

-22.4928

0.0000

0.05

-0.02114

0.002133

-9.91121

0.0000

0.1

-0.01397

0.001002

-13.9363

0.0000

0.9

0.014386

0.001204

11.94366

0.0000

0.95

0.022626

0.001561

14.49826

0.0000

0.99

0.042092

0.001252

33.6155

0.0000

BG

0.01

-0.0094

0.002666

-3.52511

0.0004

0.05

-0.01624

0.002673

-6.07411

0.0000

0.1

-0.01558

0.00278

-5.60509

0.0000

0.9

0.006697

0.002608

2.568128

0.0103

0.95

0.010972

0.003136

3.498767

0.0005

0.99

0.004172

0.002064

2.021459

0.0434

COERSTB(-1)

0.01

0.228135

0.041246

5.531016

0.0000

0.05

0.257639

0.059781

4.309713

0.0000

0.1

0.356387

0.037701

9.453

0.0000

0.9

0.269583

0.051592

5.225253

0.0000

0.95

0.274899

0.057419

4.78757

0.0000

0.99

0.030341

0.01563

1.941204

0.0524

Equation: UNTITLED

Specification: COERVNM C BG COERVNM(-1)

Quantile

Coefficient

Std. Error

t-Statistic

Prob.

C

0.01

-0.03492

0.001503

-23.2285

0.0000

0.05

-0.02226

0.001778

-12.5165

0.0000

0.1

-0.01282

0.000929

-13.7938

0.0000

0.9

0.012761

0.000944

13.51492

0.0000

0.95

0.023392

0.001956

11.96019

0.0000

0.99

0.04004

0.001524

26.27479

0.0000

BG

0.01

-0.01003

0.003041

-3.29874

0.0010

0.05

-0.01235

0.003091

-3.99607

0.0001

0.1

-0.01513

0.002923

-5.17608

0.0000

0.9

0.006351

0.002499

2.541156

0.0111

0.95

0.009697

0.003044

3.186034

0.0015

0.99

0.00585

0.001988

2.942559

0.0033

COERVNM(-1)

0.01

0.273418

0.038821

7.042969

0.0000

0.05

0.325719

0.086769

3.753865

0.0002

0.1

0.346746

0.037032

9.363452

0.0000

0.9

0.269979

0.048637

5.5509

0.0000

0.95

0.242789

0.054773

4.43264

0.0000

0.99

0.008481

0.016588

0.511267

0.6092

Equation: UNTITLED

Specification: COERVSH C BG COERVSH(-1)

Quantile

Coefficient

Std. Error

t-Statistic

Prob.

C

0.01

-0.03656

0.001729

-21.1475

0.0000

0.05

-0.02342

0.001706

-13.7293

0.0000

0.1

-0.01545

0.001032

-14.9711

0.0000

0.9

0.015549

0.001041

14.94218

0.0000

0.95

0.023029

0.001325

17.37561

0.0000

0.99

0.039932

0.001507

26.49917

0.0000

BG

0.01

-0.00864

0.002685

-3.21726

0.0013

0.05

-0.0109

0.004716

-2.31119

0.0210

0.1

-0.01157

0.003072

-3.7679

0.0002

0.9

0.002801

0.002433

1.151146

0.2499

0.95

0.008443

0.003717

2.271249

0.0233

0.99

0.006331

0.002099

3.015736

0.0026

COERVSH(-1)

0.01

0.248828

0.057236

4.347366

0.0000

0.05

0.408105

0.055563

7.344949

0.0000

0.1

0.361449

0.04561

7.924856

0.0000

0.9

0.29661

0.049948

5.93831

0.0000

0.95

0.317557

0.037542

8.458626

0.0000

0.99

0.01465

0.019509

0.750927

0.4528

Equation: UNTITLED

Specification: COERHNX C BG COERHNX(-1)

Quantile

Coefficient

Std. Error

t-Statistic

Prob.

C

0.01

-0.03656

0.001502

-24.3313

0.0000

0.05

-0.02381

0.001651

-14.4228

0.0000

0.1

-0.0154

0.000755

-20.398

0.0000

0.9

0.017446

0.00088

19.81492

0.0000

0.95

0.024692

0.001708

14.46043

0.0000

0.99

0.04176

0.00162

25.78415

0.0000

BG

0.01

-0.00864

0.002722

-3.17317

0.0015

0.05

-0.01486

0.002721

-5.46126

0.0000

0.1

-0.0161

0.003646

-4.4173

0.0000

0.9

0.00035

0.001903

0.183692

0.8543

0.95

0.006812

0.003438

1.981529

0.0477

0.99

0.004782

0.003497

1.367474

0.1717

COERHNX(-1)

0.01

0.248828

0.04846

5.134743

0.0000

0.05

0.336758

0.054015

6.234531

0.0000

0.1

0.287378

0.053669

5.354625

0.0000

0.9

0.302415

0.035849

8.435731

0.0000

0.95

0.316865

0.054777

5.78462

0.0000

0.99

0.05556

0.031692

1.753125

0.0798