Interest Rate Swap Market Complexity and Its Risk Management Implications

Table 3

Descriptive statistics of variables used.

Variables	Num. of obs. (days)	Mean	STD	25th quantile	Median	75th. quantile
Eurodollar futures volatility (H&L)	347	5.548e − 08	1.044e − 07	8.275e − 09	2.293e − 08	5.852e − 08
Eurodollar futures volatility (G&K)	347	5.950e − 08	1.065e − 07	:1.135e − 08	3.071e − 08	6.138e − 08
Swap (1-year) rate volatility (H&L)	347	3.967e − 04	4.120e − 04	1.763e − 04	2.879e − 04	4.824e − 04
Swap (1-year) rate volatility (G&K)	347	1.117e − 03	1.165e − 03	5.056e − 04	7.937e − 04	1.371e − 03
Swap (10-year) rate volatility (H&L)	347	6.637e − 04	8.031e − 04	2.592e − 04	4.115e − 04	6.781e − 04
Swap (10-year) rate volatility (G&K)	347	1.897e − 03	2.321e − 03	7.340e − 04	1.174e − 03	1.956e − 03
MacArthur complexity	347	8.805	0.910	8.462	8.912	9.361
AMI complexity	347	0.3178	0.8429	−0.0233	0.5257	0.8586
HC complexity	347	8.4874	1.3906	7.7192	8.4763	9.1966

Note: significance level code: 0.01 “,” 0.05 “,” and 0.1 “.”