| 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 |