Table App.V-1: Persistence as revealed by the autocorrelation for months 1, 12 and 24, by decade
| |
Decade 1 |
Decade 2 |
Decade 3 |
||||||
|
Commodities |
p(1) |
p(12) |
p(24) |
p(1) |
p(12) |
p(24) |
p(1) |
p(12) |
p(24) |
|
Maize -r |
0.947 |
0.440 |
0.064 |
0.973 |
0.544 |
0.081 |
0.948 |
0.212 |
0.096 |
|
Maize -n |
0.947 |
0.440 |
0.006 |
0.964 |
0.582 |
- |
0.958 |
0.278 |
0.013 |
|
Wheat -r |
0.954 |
0.441 |
0.007 |
0.979 |
0.673 |
0.181 |
0.951 |
0.385 |
0.034 |
|
Wheat -n |
0.966 |
0.537 |
0.081 |
0.969 |
0.547 |
- |
0.961 |
0.421 |
- |
|
Rice -r |
0.977 |
0.341 |
- |
0.977 |
0.615 |
0.248 |
0.902 |
0.271 |
- |
|
Rice -n |
0.983 |
0.546 |
- |
0.946 |
0.533 |
0.225 |
0.907 |
0.295 |
- |
|
Soybeans -r |
0.899 |
0.111 |
|
0.949 |
0.310 |
- |
0.937 |
0.280 |
- |
|
Soybeans -n |
0.951 |
0.454 |
0.105 |
0.947 |
0.083 |
- |
0.943 |
0.430 |
- |
|
Rapeseed -r |
0.914 |
0.201 |
|
0.947 |
0.530 |
0.225 |
0.967 |
0.447 |
- |
|
Rapeseed -n |
0.965 |
0.553 |
0.112 |
0.909 |
0.320 |
0.148 |
0.965 |
0.545 |
0.099 |
|
Rapeoil -r |
0.935 |
-0.195 |
- |
0.967 |
0.468 |
- |
0.964 |
0.377 |
- |
|
Rapeoil -n |
0.972 |
0.442 |
0.005 |
0.954 |
0.303 |
- |
0.963 |
0.440 |
- |
|
Palmoil -r |
0.904 |
- |
|
0.952 |
0.379 |
- |
0.959 |
0.406 |
0.015 |
|
Palmoil -n |
0.965 |
0.478 |
0.070 |
0.945 |
0.231 |
- |
0.958 |
0.409 |
0.061 |
|
Soymeal -r |
0.930 |
0.012 |
12.000 |
0.940 |
0.289 |
0.125 |
0.956 |
0.187 |
- |
|
Soymeal -n |
0.948 |
0.287 |
- |
0.955 |
0.268 |
- |
0.961 |
0.266 |
- |
|
Sunflmeal -r |
0.914 |
0.061 |
- |
0.959 |
0.541 |
0.345 |
0.927 |
0.257 |
- |
|
Cocoa -r |
0.977 |
0.490 |
0.084 |
0.969 |
0.606 |
0.233 |
0.960 |
0.254 |
- |
|
Cocoa -n |
0.984 |
0.667 |
0.341 |
0.950 |
0.440 |
0.102 |
0.955 |
0.338 |
- |
|
Coffee -r |
0.968 |
0.341 |
- |
0.960 |
0.446 |
0.244 |
0.951 |
0.292 |
- |
|
Coffee -n |
0.977 |
0.548 |
0.260 |
0.942 |
0.153 |
0.189 |
0.951 |
0.316 |
- |
|
Tea -r |
0.884 |
0.82 |
- |
0.959 |
0.398 |
0.002 |
0.891 |
0.192 |
- |
|
Tea -n |
0.940 |
0.494 |
0.315 |
0.940 |
0.194 |
- |
0.879 |
0.210 |
0.183 |
|
Sugar -r |
0.944 |
0.224 |
- |
0.860 |
0.201 |
0.015 |
0.957 |
0.443 |
- |
|
Sugar -n |
0.929 |
0.117 |
- |
0.866 |
0.232 |
0.002 |
0.959 |
0.494 |
- |
|
Cotton -r |
0.954 |
- |
- |
0.969 |
0.374 |
0.130 |
0.961 |
0.356 |
- |
|
Cotton -n |
0.955 |
0.281 |
0.145 |
0.955 |
0.090 |
- |
0.966 |
0.392 |
- |
|
Rubber -r |
0.917 |
- |
- |
0.938 |
0.347 |
0.206 |
0.936 |
0.370 |
0.149 |
|
Rubber -n |
0.959 |
0.510 |
0.152 |
0.908 |
0.031 |
- |
0.983 |
0.537 |
0.126 |
|
Jute -r |
0.962 |
0.474 |
0.193 |
0.974 |
0.090 |
- |
0.933 |
- |
- |
|
Jute -n |
0.948 |
0.020 |
-0 |
0.970 |
0.012 |
- |
0.945 |
- |
- |
|
Sisal -r |
0.977 |
0.272 |
- |
0.974 |
0.626 |
0.231 |
0.960 |
0.256 |
0.062 |
|
Sisal -n |
0.975 |
0.228 |
- |
0.954 |
0.382 |
- |
0.967 |
0.347 |
0.109 |
|
Banana -r |
0.706 |
0.343 |
0.041 |
0.660 |
0.363 |
0.150 |
0.594 |
0.299 |
- |
|
Banana -n |
0.932 |
0.635 |
0.400 |
0.750 |
0.474 |
0.20 |
0.585 |
0.292 |
- |
Note: p(1) refers to the ith lag of the autocorrelation function of each prices with its value in the ith time period.
A "-" in the cells indicates that the autocorrelation function dies out before or at the ith lag.
