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 P1

−0.05

0.04

−0.04

0.04

−0.04

0.04

−0.34

0.09

−0.35

0.08

Below Threshold P2

−0.08

0.05

−0.06

0.04

−0.09

0.05

−0.21

0.08

−0.41

0.08

Differenced Residuals (t − 1)

0.17

0.09

0.13

0.09

0.24

0.09

0.15

0.09

0.39

0.08

Differenced Residuals (t − 2)

−0.03

0.09

−0.02

0.09

−0.05

0.09

0.27

0.09

Threshold value (tau):

0.00

0.00

0.00

0.00

0.00

F-equal:

0.27

2.81

0.08

2.68

0.67

2.88

1.30

2.09

0.36

1.76

T-max value:

−1.23

−2.13

−1.21

−2.12

−1.07

−2.10

−2.45

−2.43

−4.64

−3.01

F-joint (Phi):

2.05

5.93

1.57

5.92

2.32

5.76

10.07

7.36

20.94

10.15