Rosario Spot

Chicago

Rotterdam

Paranaguá

Rosario Futures

Overall model

Variable

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Above Threshold

−0.23

0.07

−0.23

0.09

−0.34

0.09

−0.18

0.07

−0.40

0.08

Below Threshold

−0.22

0.07

−0.21

0.08

−0.32

0.09

−0.28

0.10

−0.25

0.08

Differenced Residuals (t − 1)

0.30

0.09

0.03

0.09

0.26

0.09

0.24

0.09

0.31

0.09

Differenced Residuals (t − 2)

0.15

0.09

0.03

0.09

0.10

0.09

−0.08

0.09

0.21

0.09

Threshold value (tau):

0.00

0.00

0.00

0.00

0.00

F-equal:

0.03

3.89

0.03

2.78

0.04

3.73

0.70

3.85

2.22

3.90

T-max value:

−3.28

−1.98

−2.54

−2.10

−3.67

−2.00

−2.56

−1.97

−3.11

−2.83

F-joint (Phi):

9.92

6.34

6.04

5.85

11.87

6.39

6.65

6.34

16.45

10.58