RET12M

ILLIQ

IVOL

R1

R2

R3

IL1

IL2

IL3

IV1

IV2

IV3

P1

0.0020

0.0000

−0.0071

0.0000

−0.0035

0.0001

−0.0194

−0.0030

0.0406

P2

0.0116

0.0097

0.0092

0.0156

0.0073

0.0074

−0.0151

0.0045

0.0620

P3

0.0208

0.0222

0.0214

0.0326

0.0212

0.0150

−0.0112

0.0118

0.0790

P4

0.0365

0.0399

0.0381

0.0493

0.0373

0.0283

−0.0069

0.0215

0.0950

P5

0.0680

0.0683

0.0505

0.0625

0.0623

0.0555

−0.0003

0.0251

0.1084

P5~P1

0.0660

0.0683

0.0576

0.0625

0.0658

0.0554

0.0191

0.0281

0.0678

t值

4.4826

4.8745

3.8171

4.2849

4.6503

3.8944

3.4201

3.3294

3.5134