Correlogram of the series returns in interbank rates (differentiated)
| AC | PAC | AC | PAC | Q-Stat | Probability | ||
|---|---|---|---|---|---|---|---|
| CDI | | | | | | | 1 | 0.045 | 0.045 | 60898.000 | 0.014 |
| | | | | | | 2 | 0.011 | 0.009 | 64633.000 | 0.039 | |
| | | | | | | 3 | −0.004 | −0.005 | 65100.000 | 0.089 | |
| | | | | | | 4 | −0.015 | −0.015 | 71973.000 | 0.126 | |
| | | | | | | 5 | −0.009 | −0.008 | 74440.000 | 0.190 | |
| | | | | | | 6 | 0.008 | 0.009 | 76177.000 | 0.267 | |
| | | | | | | 7 | −0.005 | −0.005 | 76860.000 | 0.361 | |
| | | | | | | 8 | −0.002 | −0.002 | 76961.000 | 0.464 | |
| | | | | | | 9 | −0.002 | −0.002 | 77044.000 | 0.564 | |
| | | | | | | 10 | 0.002 | 0.002 | 77113.000 | 0.657 | |
| TIRUSSIA | |* | | |* | | 1 | 0.123 | 0.123 | 45843.000 | 0.000 |
| **| | | **| | | 2 | −0.323 | −0.343 | 363.170 | 0.000 | |
| *| | | *| | | 3 | −0.167 | −0.082 | 447.980 | 0.000 | |
| | | | | | | 4 | 0.038 | −0.042 | 452.300 | 0.000 | |
| |* | | | | | 5 | 0.082 | 0.000 | 472.850 | 0.000 | |
| | | | | | | 6 | 0.016 | −0.009 | 473.640 | 0.000 | |
| *| | | *| | | 7 | −0.167 | −0.167 | 558.650 | 0.000 | |
| *| | | *| | | 8 | −0.135 | −0.099 | 614.010 | 0.000 | |
| | | | *| | | 9 | 0.017 | −0.068 | 614.900 | 0.000 | |
| | | | | | | 10 | 0.071 | −0.045 | 630.160 | 0.000 | |
| MIBOR | ***| | |***| | 1 | −0.409 | −0.409 | 569.570 | 0.000 |
| | | | *| | | 2 | 0.073 | −0.113 | 587.730 | 0.000 | |
| *| | | *| | | 3 | −0.122 | −0.165 | 638.720 | 0.000 | |
| | | | *| | | 4 | 0.026 | −0.107 | 641.060 | 0.000 | |
| *| | | *| | | 5 | −0.079 | −0.151 | 662.460 | 0.000 | |
| | | | *| | | 6 | −0.035 | −0.191 | 666.640 | 0.000 | |
| |**| | |* | | 7 | 0.231 | 0.148 | 848.120 | 0.000 | |
| *| | | | | | 8 | −0.107 | 0.040 | 887.260 | 0.000 | |
| | | | *| | | 9 | −0.029 | −0.078 | 890.180 | 0.000 | |
| *| | | *| | | 10 | −0.071 | −0.115 | 907.200 | 0.000 | |
| SHIBOR | | | | | | | 1 | −0.009 | −0.009 | 0.114 | 0.736 |
| *| | | *| | | 2 | −0.067 | −0.067 | 60690.000 | 0.048 | |
| | | | | | | 3 | 0.044 | 0.043 | 85827.000 | 0.035 | |
| | | | | | | 4 | −0.005 | −0.009 | 86119.000 | 0.072 | |
| *| | | *| | | 5 | −0.111 | −0.106 | 24763.000 | 0.000 | |
| | | | | | | 6 | −0.053 | −0.058 | 28492.000 | 0.000 | |
| | | | | | | 7 | −0.013 | −0.029 | 28727.000 | 0.000 | |
| *| | | *| | | 8 | −0.111 | −0.112 | 44930.000 | 0.000 | |
| | | | | | | 9 | −0.054 | −0.060 | 48810.000 | 0.000 | |
| | | | *| | | 10 | −0.038 | −0.070 | 50760.000 | 0.000 | |
| TICHILE | *| | | *| | | 1 | −0.148 | −0.148 | 61006.000 | 0.000 |
| | | | *| | | 2 | −0.047 | −0.071 | 67223.000 | 0.000 | |
| | | | | | | 3 | 0.008 | −0.010 | 67400.000 | 0.000 | |
| | | | | | | 4 | −0.011 | −0.015 | 67719.000 | 0.000 | |
| | | | | | | 5 | 0.006 | 0.003 | 67831.000 | 0.000 | |
| | | | | | | 6 | −0.008 | −0.008 | 68001.000 | 0.000 | |
| | | | | | | 7 | 0.006 | 0.004 | 68093.000 | 0.000 | |
| | | | | | | 8 | −0.001 | 0.000 | 68094.000 | 0.000 | |
| | | | | | | 9 | 0.013 | 0.014 | 68558.000 | 0.000 | |
| | | | | | | 10 | −0.005 | −0.001 | 68627.000 | 0.000 | |
| BAIBOR | | | | | | | 1 | −0.007 | −0.007 | 0.141 | 0.708 |
| **| | | **| | | 2 | −0.266 | −0.266 | 208.100 | 0.000 | |
| *| | | *| | | 3 | −0.126 | −0.140 | 254.640 | 0.000 | |
| | | | *| | | 4 | −0.003 | −0.089 | 254.670 | 0.000 | |
| | | | *| | | 5 | −0.001 | −0.085 | 254.670 | 0.000 | |
| | | | *| | | 6 | −0.026 | −0.082 | 256.670 | 0.000 | |
| | | | *| | | 7 | −0.022 | −0.072 | 258.050 | 0.000 | |
| | | | *| | | 8 | −0.020 | −0.078 | 259.240 | 0.000 | |
| | | | | | | 9 | 0.022 | −0.033 | 260.610 | 0.000 | |
| | | | | | | 10 | 0.019 | −0.031 | 261.710 | 0.000 | |
| TIEE | |**| | |**| | 1 | 0.285 | 0.285 | 244.830 | 0.000 |
| |* | | | | | 2 | 0.101 | 0.022 | 275.940 | 0.000 | |
| | | | | | | 3 | 0.069 | 0.038 | 290.410 | 0.000 | |
| | | | | | | 4 | −0.017 | −0.053 | 291.300 | 0.000 | |
| | | | | | | 5 | 0.007 | 0.023 | 291.450 | 0.000 | |
| | | | | | | 6 | 0.005 | −0.001 | 291.540 | 0.000 | |
| | | | | | | 7 | 0.027 | 0.031 | 293.750 | 0.000 | |
| | | | | | | 8 | 0.004 | −0.016 | 293.790 | 0.000 | |
| | | | | | | 9 | −0.048 | −0.052 | 300.850 | 0.000 | |
| | | | | | | 10 | 0.012 | 0.040 | 301.270 | 0.000 | |
| SABOR | | | | | | | 1 | 0.036 | 0.036 | 14925.000 | 0.222 |
| | | | | | | 2 | 0.028 | 0.026 | 23677.000 | 0.306 | |
| | | | | | | 3 | 0.031 | 0.029 | 34600.000 | 0.326 | |
| | | | | | | 4 | −0.006 | −0.008 | 34967.000 | 0.478 | |
| | | | | | | 5 | −0.019 | −0.020 | 39077.000 | 0.563 | |
| | | | | | | 6 | −0.005 | −0.004 | 39333.000 | 0.686 | |
| | | | | | | 7 | 0.010 | 0.012 | 40501.000 | 0.774 | |
| | | | | | | 8 | 0.004 | 0.005 | 40678.000 | 0.851 | |
| | | | | | | 9 | 0.003 | 0.002 | 40751.000 | 0.906 | |
| | | | | | | 10 | −0.003 | −0.004 | 40853.000 | 0.943 | |
| SABOR (2D) | ****| | |****| | 1 | −0.493 | −0.493 | 278.890 | 0.000 |
| | | | **| | | 2 | −0.008 | −0.333 | 278.970 | 0.000 | |
| | | | **| | | 3 | 0.021 | −0.221 | 279.480 | 0.000 | |
| | | | *| | | 4 | −0.012 | −0.171 | 279.650 | 0.000 | |
| | | | *| | | 5 | −0.014 | −0.159 | 279.880 | 0.000 | |
| | | | *| | | 6 | −0.001 | −0.151 | 279.880 | 0.000 | |
| | | | *| | | 7 | 0.011 | −0.125 | 280.010 | 0.000 | |
| | | | *| | | 8 | −0.001 | −0.107 | 280.010 | 0.000 | |
| | | | *| | | 9 | 0.003 | −0.088 | 280.020 | 0.000 | |
| | | | *| | | 10 | −0.020 | −0.108 | 280.460 | 0.000 |
| AC | PAC | AC | PAC | Probability | |||
|---|---|---|---|---|---|---|---|
| CDI | 1 | 0.045 | 0.045 | 60898.000 | 0.014 | ||
| 2 | 0.011 | 0.009 | 64633.000 | 0.039 | |||
| 3 | −0.004 | −0.005 | 65100.000 | 0.089 | |||
| 4 | −0.015 | −0.015 | 71973.000 | 0.126 | |||
| 5 | −0.009 | −0.008 | 74440.000 | 0.190 | |||
| 6 | 0.008 | 0.009 | 76177.000 | 0.267 | |||
| 7 | −0.005 | −0.005 | 76860.000 | 0.361 | |||
| 8 | −0.002 | −0.002 | 76961.000 | 0.464 | |||
| 9 | −0.002 | −0.002 | 77044.000 | 0.564 | |||
| 10 | 0.002 | 0.002 | 77113.000 | 0.657 | |||
| TIRUSSIA | 1 | 0.123 | 0.123 | 45843.000 | 0.000 | ||
| 2 | −0.323 | −0.343 | 363.170 | 0.000 | |||
| 3 | −0.167 | −0.082 | 447.980 | 0.000 | |||
| 4 | 0.038 | −0.042 | 452.300 | 0.000 | |||
| 5 | 0.082 | 0.000 | 472.850 | 0.000 | |||
| 6 | 0.016 | −0.009 | 473.640 | 0.000 | |||
| 7 | −0.167 | −0.167 | 558.650 | 0.000 | |||
| 8 | −0.135 | −0.099 | 614.010 | 0.000 | |||
| 9 | 0.017 | −0.068 | 614.900 | 0.000 | |||
| 10 | 0.071 | −0.045 | 630.160 | 0.000 | |||
| MIBOR | 1 | −0.409 | −0.409 | 569.570 | 0.000 | ||
| 2 | 0.073 | −0.113 | 587.730 | 0.000 | |||
| 3 | −0.122 | −0.165 | 638.720 | 0.000 | |||
| 4 | 0.026 | −0.107 | 641.060 | 0.000 | |||
| 5 | −0.079 | −0.151 | 662.460 | 0.000 | |||
| 6 | −0.035 | −0.191 | 666.640 | 0.000 | |||
| 7 | 0.231 | 0.148 | 848.120 | 0.000 | |||
| 8 | −0.107 | 0.040 | 887.260 | 0.000 | |||
| 9 | −0.029 | −0.078 | 890.180 | 0.000 | |||
| 10 | −0.071 | −0.115 | 907.200 | 0.000 | |||
| SHIBOR | 1 | −0.009 | −0.009 | 0.114 | 0.736 | ||
| 2 | −0.067 | −0.067 | 60690.000 | 0.048 | |||
| 3 | 0.044 | 0.043 | 85827.000 | 0.035 | |||
| 4 | −0.005 | −0.009 | 86119.000 | 0.072 | |||
| 5 | −0.111 | −0.106 | 24763.000 | 0.000 | |||
| 6 | −0.053 | −0.058 | 28492.000 | 0.000 | |||
| 7 | −0.013 | −0.029 | 28727.000 | 0.000 | |||
| 8 | −0.111 | −0.112 | 44930.000 | 0.000 | |||
| 9 | −0.054 | −0.060 | 48810.000 | 0.000 | |||
| 10 | −0.038 | −0.070 | 50760.000 | 0.000 | |||
| TICHILE | 1 | −0.148 | −0.148 | 61006.000 | 0.000 | ||
| 2 | −0.047 | −0.071 | 67223.000 | 0.000 | |||
| 3 | 0.008 | −0.010 | 67400.000 | 0.000 | |||
| 4 | −0.011 | −0.015 | 67719.000 | 0.000 | |||
| 5 | 0.006 | 0.003 | 67831.000 | 0.000 | |||
| 6 | −0.008 | −0.008 | 68001.000 | 0.000 | |||
| 7 | 0.006 | 0.004 | 68093.000 | 0.000 | |||
| 8 | −0.001 | 0.000 | 68094.000 | 0.000 | |||
| 9 | 0.013 | 0.014 | 68558.000 | 0.000 | |||
| 10 | −0.005 | −0.001 | 68627.000 | 0.000 | |||
| BAIBOR | 1 | −0.007 | −0.007 | 0.141 | 0.708 | ||
| 2 | −0.266 | −0.266 | 208.100 | 0.000 | |||
| 3 | −0.126 | −0.140 | 254.640 | 0.000 | |||
| 4 | −0.003 | −0.089 | 254.670 | 0.000 | |||
| 5 | −0.001 | −0.085 | 254.670 | 0.000 | |||
| 6 | −0.026 | −0.082 | 256.670 | 0.000 | |||
| 7 | −0.022 | −0.072 | 258.050 | 0.000 | |||
| 8 | −0.020 | −0.078 | 259.240 | 0.000 | |||
| 9 | 0.022 | −0.033 | 260.610 | 0.000 | |||
| 10 | 0.019 | −0.031 | 261.710 | 0.000 | |||
| TIEE | 1 | 0.285 | 0.285 | 244.830 | 0.000 | ||
| 2 | 0.101 | 0.022 | 275.940 | 0.000 | |||
| 3 | 0.069 | 0.038 | 290.410 | 0.000 | |||
| 4 | −0.017 | −0.053 | 291.300 | 0.000 | |||
| 5 | 0.007 | 0.023 | 291.450 | 0.000 | |||
| 6 | 0.005 | −0.001 | 291.540 | 0.000 | |||
| 7 | 0.027 | 0.031 | 293.750 | 0.000 | |||
| 8 | 0.004 | −0.016 | 293.790 | 0.000 | |||
| 9 | −0.048 | −0.052 | 300.850 | 0.000 | |||
| 10 | 0.012 | 0.040 | 301.270 | 0.000 | |||
| SABOR | 1 | 0.036 | 0.036 | 14925.000 | 0.222 | ||
| 2 | 0.028 | 0.026 | 23677.000 | 0.306 | |||
| 3 | 0.031 | 0.029 | 34600.000 | 0.326 | |||
| 4 | −0.006 | −0.008 | 34967.000 | 0.478 | |||
| 5 | −0.019 | −0.020 | 39077.000 | 0.563 | |||
| 6 | −0.005 | −0.004 | 39333.000 | 0.686 | |||
| 7 | 0.010 | 0.012 | 40501.000 | 0.774 | |||
| 8 | 0.004 | 0.005 | 40678.000 | 0.851 | |||
| 9 | 0.003 | 0.002 | 40751.000 | 0.906 | |||
| 10 | −0.003 | −0.004 | 40853.000 | 0.943 | |||
| SABOR (2D) | 1 | −0.493 | −0.493 | 278.890 | 0.000 | ||
| 2 | −0.008 | −0.333 | 278.970 | 0.000 | |||
| 3 | 0.021 | −0.221 | 279.480 | 0.000 | |||
| 4 | −0.012 | −0.171 | 279.650 | 0.000 | |||
| 5 | −0.014 | −0.159 | 279.880 | 0.000 | |||
| 6 | −0.001 | −0.151 | 279.880 | 0.000 | |||
| 7 | 0.011 | −0.125 | 280.010 | 0.000 | |||
| 8 | −0.001 | −0.107 | 280.010 | 0.000 | |||
| 9 | 0.003 | −0.088 | 280.020 | 0.000 | |||
| 10 | −0.020 | −0.108 | 280.460 | 0.000 |
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