Paranaguá Spot

Chicago futures

Rotterdam

Overall model

Variable

Coeff.

Std. Error

Coeff.

Std. Error

Coeff.

Std. Error

Above Threshold

−0.35

0.07

−0.27

0.09

−0.30

0.07

Below Threshold

−0.33

0.09

−0.37

0.10

−0.38

0.08

Differenced Residuals (t − 1)

0.43

0.08

0.14

0.09

0.41

0.08

Differenced Residuals (t − 2)

0.16

0.09

0.03

0.09

0.24

0.09

Threshold value (tau):

0.00

0.00

0.00

F-equal:

0.04

2.88

0.54

2.83

0.7

2.22

T-max value:

−3.57

−2.11

−3.03

−2.12

−4.53

−2.43

F-joint (Phi):

17.21

5.83

9.68

5.99

19.29

7.24