China Spot

Chicago Futures

Rotterdam

Paranaguá

Dalian Futures

Overall model

Variable

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Above Threshold

−0.17

0.08

−0.15

0.07

−0.18

0.06

−0.35

0.12

−0.39

0.08

Below Threshold

−0.28

0.07

−0.27

0.07

−0.19

0.06

−0.40

0.10

−0.37

0.08

Differenced Residuals (t − 1)

0.26

0.09

0.15

0.09

0.35

0.09

0.19

0.09

0.39

0.08

Differenced Residuals (t − 2)

0.11

0.09

0.05

0.09

0.01

0.09

−0.11

0.10

0.27

0.09

Threshold value (tau):

0.00

0.00

0.00

0.00

0.00

F-equal:

1.40

3.78

1.58

3.89

0.04

3.88

0.14

3.92

0.03

3.77

T-max value:

−2.11

−1.98

−2.00

−1.97

−2.90

−1.98

−2.92

−2.00

−4.65

−2.80

F-joint (Phi):

10.80

6.33

9.09

6.33

8.06

6.30

10.64

6.48

20.72

10.66