{ "network": { "feature_to_target": [ { "cause": "Brent_spot", "effect": "target_ret_1m", "p_value": 0.0016, "best_lag": 2, "significant": "True", "group": "Price" }, { "cause": "vix_lag1", "effect": "target_ret_1m", "p_value": 0.0032, "best_lag": 1, "significant": "True", "group": "Risk_Geo" }, { "cause": "rsi12m", "effect": "target_ret_1m", "p_value": 0.0105, "best_lag": 3, "significant": "True", "group": "Technical" }, { "cause": "vix_lag2", "effect": "target_ret_1m", "p_value": 0.0568, "best_lag": 2, "significant": "False", "group": "Risk_Geo" }, { "cause": "mom1m_lag1", "effect": "target_ret_1m", "p_value": 0.0823, "best_lag": 2, "significant": "False", "group": "Technical" }, { "cause": "hist_vol_12m", "effect": "target_ret_1m", "p_value": 0.1806, "best_lag": 3, "significant": "False", "group": "Technical" }, { "cause": "usd_index", "effect": "target_ret_1m", "p_value": 0.2075, "best_lag": 2, "significant": "False", "group": "Demand" }, { "cause": "iron_ore_spot", "effect": "target_ret_1m", "p_value": 0.2637, "best_lag": 1, "significant": "False", "group": "Price" }, { "cause": "rig_count_us_new", "effect": "target_ret_1m", "p_value": 0.2664, "best_lag": 3, "significant": "False", "group": "Supply" }, { "cause": "ipi_us", "effect": "target_ret_1m", "p_value": 0.3134, "best_lag": 1, "significant": "False", "group": "Demand" }, { "cause": "natgas_spot_henry", "effect": "target_ret_1m", "p_value": 0.4202, "best_lag": 3, "significant": "False", "group": "Price" }, { "cause": "nonfarm_us", "effect": "target_ret_1m", "p_value": 0.5343, "best_lag": 2, "significant": "False", "group": "Demand" }, { "cause": "supply_saudi", "effect": "target_ret_1m", "p_value": 0.5627, "best_lag": 2, "significant": "False", "group": "Supply" }, { "cause": "pmi_us_mfg", "effect": "target_ret_1m", "p_value": 0.6344, "best_lag": 1, "significant": "False", "group": "Demand" } ], "inter_feature": [ { "cause": "Brent_spot", "effect": "natgas_spot_henry", "p_value": 0.0025, "best_lag": 2 }, { "cause": "Brent_spot", "effect": "ipi_us", "p_value": 0.0, "best_lag": 2 }, { "cause": "natgas_spot_henry", "effect": "pmi_us_mfg", "p_value": 0.0, "best_lag": 2 }, { "cause": "natgas_spot_henry", "effect": "nonfarm_us", "p_value": 0.0, "best_lag": 2 }, { "cause": "iron_ore_spot", "effect": "Brent_spot", "p_value": 0.0256, "best_lag": 1 }, { "cause": "iron_ore_spot", "effect": "rig_count_us_new", "p_value": 0.0097, "best_lag": 3 }, { "cause": "supply_saudi", "effect": "natgas_spot_henry", "p_value": 0.0193, "best_lag": 2 }, { "cause": "supply_saudi", "effect": "ipi_us", "p_value": 0.0067, "best_lag": 1 }, { "cause": "supply_saudi", "effect": "vix_lag1", "p_value": 0.0151, "best_lag": 2 }, { "cause": "pmi_us_mfg", "effect": "natgas_spot_henry", "p_value": 0.0, "best_lag": 3 }, { "cause": "usd_index", "effect": "iron_ore_spot", "p_value": 0.0028, "best_lag": 1 }, { "cause": "usd_index", "effect": "vix_lag1", "p_value": 0.0, "best_lag": 1 }, { "cause": "nonfarm_us", "effect": "natgas_spot_henry", "p_value": 0.0, "best_lag": 3 }, { "cause": "ipi_us", "effect": "iron_ore_spot", "p_value": 0.0145, "best_lag": 3 }, { "cause": "ipi_us", "effect": "supply_saudi", "p_value": 0.0415, "best_lag": 1 }, { "cause": "ipi_us", "effect": "usd_index", "p_value": 0.0184, "best_lag": 1 }, { "cause": "vix_lag1", "effect": "Brent_spot", "p_value": 0.0003, "best_lag": 3 }, { "cause": "vix_lag1", "effect": "ipi_us", "p_value": 0.0, "best_lag": 3 } ], "n_significant": 3, "n_total": 14 }, "ranking": [ { "feature": "Brent_spot", "group": "Price", "granger_p": 0.0016, "causal_strength": 2.8, "best_lag": 2, "is_causal": "True" }, { "feature": "vix_lag1", "group": "Risk_Geo", "granger_p": 0.0032, "causal_strength": 2.49, "best_lag": 1, "is_causal": "True" }, { "feature": "rsi12m", "group": "Technical", "granger_p": 0.0105, "causal_strength": 1.98, "best_lag": 3, "is_causal": "True" }, { "feature": "vix_lag2", "group": "Risk_Geo", "granger_p": 0.0568, "causal_strength": 1.25, "best_lag": 2, "is_causal": "False" }, { "feature": "mom1m_lag1", "group": "Technical", "granger_p": 0.0823, "causal_strength": 1.08, "best_lag": 2, "is_causal": "False" }, { "feature": "hist_vol_12m", "group": "Technical", "granger_p": 0.1806, "causal_strength": 0.74, "best_lag": 3, "is_causal": "False" }, { "feature": "usd_index", "group": "Demand", "granger_p": 0.2075, "causal_strength": 0.68, "best_lag": 2, "is_causal": "False" }, { "feature": "iron_ore_spot", "group": "Price", "granger_p": 0.2637, "causal_strength": 0.58, "best_lag": 1, "is_causal": "False" }, { "feature": "rig_count_us_new", "group": "Supply", "granger_p": 0.2664, "causal_strength": 0.57, "best_lag": 3, "is_causal": "False" }, { "feature": "ipi_us", "group": "Demand", "granger_p": 0.3134, "causal_strength": 0.5, "best_lag": 1, "is_causal": "False" }, { "feature": "natgas_spot_henry", "group": "Price", "granger_p": 0.4202, "causal_strength": 0.38, "best_lag": 3, "is_causal": "False" }, { "feature": "nonfarm_us", "group": "Demand", "granger_p": 0.5343, "causal_strength": 0.27, "best_lag": 2, "is_causal": "False" }, { "feature": "supply_saudi", "group": "Supply", "granger_p": 0.5627, "causal_strength": 0.25, "best_lag": 2, "is_causal": "False" }, { "feature": "pmi_us_mfg", "group": "Demand", "granger_p": 0.6344, "causal_strength": 0.2, "best_lag": 1, "is_causal": "False" } ], "group_strength": { "Price": { "total_strength": 3.76, "n_causal": 1, "n_total": 3 }, "Risk_Geo": { "total_strength": 3.74, "n_causal": 1, "n_total": 2 }, "Technical": { "total_strength": 3.8, "n_causal": 1, "n_total": 3 }, "Demand": { "total_strength": 1.6500000000000001, "n_causal": 0, "n_total": 4 }, "Supply": { "total_strength": 0.82, "n_causal": 0, "n_total": 2 } }, "rolling_causality": [ { "date": "1994-12-31", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1995-06-30", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1995-12-31", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1996-06-30", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1996-12-31", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1997-06-30", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1997-12-31", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1998-06-30", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1998-12-31", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1999-06-30", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "1999-12-31", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "2000-06-30", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "2000-12-31", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "2001-06-30", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 1.0, "sig": false }, "iron_ore_spot": { "p": 1.0, "sig": false }, "rig_count_us_new": { "p": 1.0, "sig": false }, "supply_saudi": { "p": 1.0, "sig": false }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 1.0, "sig": false }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 1.0, "sig": false } }, { "date": "2001-12-31", "Brent_spot": { "p": 1.0, "sig": false }, "natgas_spot_henry": { "p": 0.9168, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.1176, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 0.2802, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.2756, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 1.0, "sig": false }, "usd_index": { "p": 0.5416, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 1.0, "sig": false }, "ipi_us": { "p": 1.0, "sig": false }, "vix_lag1": { "p": 1.0, "sig": false }, "vix_lag2": { "p": 1.0, "sig": false }, "mom1m_lag1": { "p": 0.1016, "sig": "False", "lag": 1 } }, { "date": "2002-06-30", "Brent_spot": { "p": 0.1563, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.9464, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.0456, "sig": "True", "lag": 1 }, "rig_count_us_new": { "p": 0.1539, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.7885, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.8257, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.425, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.7726, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.8008, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.4411, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.0475, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.0194, "sig": "True", "lag": 2 } }, { "date": "2002-12-31", "Brent_spot": { "p": 0.1917, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.9635, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.0381, "sig": "True", "lag": 1 }, "rig_count_us_new": { "p": 0.174, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.8073, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.3869, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.6185, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.3236, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.0327, "sig": "True", "lag": 2 }, "vix_lag1": { "p": 0.1808, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.0368, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.3968, "sig": "False", "lag": 1 } }, { "date": "2003-06-30", "Brent_spot": { "p": 0.0609, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.201, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.0131, "sig": "True", "lag": 2 }, "rig_count_us_new": { "p": 0.2742, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.1788, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.4335, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.709, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.5449, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.3378, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.0758, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.1358, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.3539, "sig": "False", "lag": 2 } }, { "date": "2003-12-31", "Brent_spot": { "p": 0.0596, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.2176, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.0084, "sig": "True", "lag": 2 }, "rig_count_us_new": { "p": 0.2514, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.1472, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.3162, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.891, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.4315, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.3383, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.078, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.0749, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.2386, "sig": "False", "lag": 2 } }, { "date": "2004-06-30", "Brent_spot": { "p": 0.3265, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.3683, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.1549, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 0.4043, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.2961, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.1667, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.7865, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.2199, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.1507, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.059, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.062, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.2095, "sig": "False", "lag": 2 } }, { "date": "2004-12-31", "Brent_spot": { "p": 0.4388, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.2376, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.2472, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 0.0274, "sig": "True", "lag": 2 }, "supply_saudi": { "p": 0.4278, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.1652, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.8154, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.3975, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.2129, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0861, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.0591, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.4676, "sig": "False", "lag": 2 } }, { "date": "2005-06-30", "Brent_spot": { "p": 0.4765, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.1602, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.435, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.0215, "sig": "True", "lag": 2 }, "supply_saudi": { "p": 0.6327, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.2416, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.7439, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.3997, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.228, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0925, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.0363, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.3813, "sig": "False", "lag": 2 } }, { "date": "2005-12-31", "Brent_spot": { "p": 0.2052, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.0424, "sig": "True", "lag": 1 }, "iron_ore_spot": { "p": 0.3768, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.0233, "sig": "True", "lag": 2 }, "supply_saudi": { "p": 0.6354, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.616, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.3733, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.5951, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.0821, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.2309, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.003, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.2485, "sig": "False", "lag": 2 } }, { "date": "2006-06-30", "Brent_spot": { "p": 0.1723, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.0089, "sig": "True", "lag": 1 }, "iron_ore_spot": { "p": 0.387, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.0179, "sig": "True", "lag": 2 }, "supply_saudi": { "p": 0.5163, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.6387, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.4433, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.6242, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.3017, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0631, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.0035, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.1937, "sig": "False", "lag": 2 } }, { "date": "2006-12-31", "Brent_spot": { "p": 0.1813, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.0014, "sig": "True", "lag": 1 }, "iron_ore_spot": { "p": 0.3556, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.0706, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.2965, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.5817, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.4347, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.5822, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.7059, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.5067, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.533, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.1621, "sig": "False", "lag": 1 } }, { "date": "2007-06-30", "Brent_spot": { "p": 0.2492, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.0028, "sig": "True", "lag": 1 }, "iron_ore_spot": { "p": 0.3224, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.3722, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.3448, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.6196, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.7179, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.6107, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.7905, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.6955, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.7591, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.1558, "sig": "False", "lag": 1 } }, { "date": "2007-12-31", "Brent_spot": { "p": 0.5529, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.0016, "sig": "True", "lag": 1 }, "iron_ore_spot": { "p": 0.327, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.9156, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.5305, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.6435, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.5283, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.6338, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.5832, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.293, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.3509, "sig": "False", "lag": 1 } }, { "date": "2008-06-30", "Brent_spot": { "p": 0.564, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.0349, "sig": "True", "lag": 1 }, "iron_ore_spot": { "p": 0.8218, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.6999, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.1516, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.4313, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.1515, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.8198, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.0321, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.6821, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.0, "sig": "True", "lag": 2 } }, { "date": "2008-12-31", "Brent_spot": { "p": 0.8289, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.1601, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.8836, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.2954, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.2033, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.653, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.2026, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.78, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0205, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.5631, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.0187, "sig": "True", "lag": 2 } }, { "date": "2009-06-30", "Brent_spot": { "p": 0.0198, "sig": "True", "lag": 1 }, "natgas_spot_henry": { "p": 0.1725, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.4376, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.2087, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.4586, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.1575, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.4597, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.6664, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.8656, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.6402, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.8814, "sig": "False", "lag": 2 } }, { "date": "2009-12-31", "Brent_spot": { "p": 0.0324, "sig": "True", "lag": 1 }, "natgas_spot_henry": { "p": 0.3323, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.4191, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.1759, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.4428, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.2093, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.443, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.7428, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.7661, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.604, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.7445, "sig": "False", "lag": 2 } }, { "date": "2010-06-30", "Brent_spot": { "p": 0.0293, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.4296, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.3189, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.4845, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.2377, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.1523, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.2384, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.7313, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.7665, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.7475, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.7432, "sig": "False", "lag": 1 } }, { "date": "2010-12-31", "Brent_spot": { "p": 0.031, "sig": "True", "lag": 1 }, "natgas_spot_henry": { "p": 0.3061, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.5378, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.7722, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.8535, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.2183, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.7515, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.7289, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.5466, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.4945, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.3548, "sig": "False", "lag": 1 } }, { "date": "2011-06-30", "Brent_spot": { "p": 0.1874, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.2675, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.5206, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.7207, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.8122, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.1324, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.4776, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.4743, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.5076, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.4729, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.4995, "sig": "False", "lag": 2 } }, { "date": "2011-12-31", "Brent_spot": { "p": 0.0558, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.0571, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.4103, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.7094, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.688, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.1806, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.297, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.5647, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.3057, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.5712, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.4312, "sig": "False", "lag": 2 } }, { "date": "2012-06-30", "Brent_spot": { "p": 0.016, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.022, "sig": "True", "lag": 1 }, "iron_ore_spot": { "p": 0.4484, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.7986, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.7264, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.2523, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.3544, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.4417, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.2027, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.1522, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.5584, "sig": "False", "lag": 1 } }, { "date": "2012-12-31", "Brent_spot": { "p": 0.0531, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.0226, "sig": "True", "lag": 1 }, "iron_ore_spot": { "p": 0.5356, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.6989, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.6288, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.1047, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.2954, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.8632, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.8441, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.6489, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.7106, "sig": "False", "lag": 2 } }, { "date": "2013-06-30", "Brent_spot": { "p": 0.0144, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.0271, "sig": "True", "lag": 2 }, "iron_ore_spot": { "p": 0.5693, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.8841, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.6206, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.1257, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.228, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.084, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.7545, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.833, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.6586, "sig": "False", "lag": 2 } }, { "date": "2013-12-31", "Brent_spot": { "p": 0.0052, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.7223, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.9562, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.5905, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.0128, "sig": "True", "lag": 1 }, "usd_index": { "p": 0.1079, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.0016, "sig": "True", "lag": 1 }, "ipi_us": { "p": 0.1967, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.3103, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.0147, "sig": "True", "lag": 1 }, "mom1m_lag1": { "p": 0.558, "sig": "False", "lag": 1 } }, { "date": "2014-06-30", "Brent_spot": { "p": 0.0297, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.2395, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.3937, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.5844, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.5408, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.6988, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.0382, "sig": "True", "lag": 1 }, "ipi_us": { "p": 0.5015, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.4137, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.3147, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.341, "sig": "False", "lag": 1 } }, { "date": "2014-12-31", "Brent_spot": { "p": 0.1186, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.7691, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.3119, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.912, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.3395, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.0963, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.0136, "sig": "True", "lag": 1 }, "ipi_us": { "p": 0.6646, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.3086, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.2653, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.6486, "sig": "False", "lag": 2 } }, { "date": "2015-06-30", "Brent_spot": { "p": 0.2022, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.7942, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.4251, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.8871, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.2126, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.2638, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.0025, "sig": "True", "lag": 1 }, "ipi_us": { "p": 0.6958, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.0124, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.1322, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.2875, "sig": "False", "lag": 1 } }, { "date": "2015-12-31", "Brent_spot": { "p": 0.2635, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.8912, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.6808, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 1.0, "sig": false, "lag": 0 }, "supply_saudi": { "p": 0.8569, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.3131, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.3416, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.1358, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.7506, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.2641, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.6806, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.1801, "sig": "False", "lag": 1 } }, { "date": "2016-06-30", "Brent_spot": { "p": 0.4728, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.9319, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.5762, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.0848, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.4633, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.3068, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.0313, "sig": "True", "lag": 2 }, "nonfarm_us": { "p": 0.2151, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.5436, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.2519, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.8032, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.0086, "sig": "True", "lag": 1 } }, { "date": "2016-12-31", "Brent_spot": { "p": 0.7844, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.3977, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.5539, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.1282, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.0632, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.0918, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.0837, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.2555, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.8493, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.7436, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.5972, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.0082, "sig": "True", "lag": 1 } }, { "date": "2017-06-30", "Brent_spot": { "p": 0.6707, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.4432, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.3452, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.3271, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.1802, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.0297, "sig": "True", "lag": 2 }, "usd_index": { "p": 0.0888, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.7933, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.6141, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.8805, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.6439, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.0227, "sig": "True", "lag": 1 } }, { "date": "2017-12-31", "Brent_spot": { "p": 0.593, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.4986, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.3694, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.3279, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.0916, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.1297, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.0562, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.3528, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.056, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.7627, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.4163, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.0262, "sig": "True", "lag": 1 } }, { "date": "2018-06-30", "Brent_spot": { "p": 0.5875, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.5927, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.2903, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.6596, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.4599, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.291, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.0701, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.4849, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.7281, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.8221, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.3418, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.0297, "sig": "True", "lag": 1 } }, { "date": "2018-12-31", "Brent_spot": { "p": 0.969, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.2991, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.2175, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 0.6849, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.5954, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.2977, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.0808, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.5409, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.6967, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.549, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.3304, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.0405, "sig": "True", "lag": 1 } }, { "date": "2019-06-30", "Brent_spot": { "p": 0.8677, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.5127, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.3511, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 0.7017, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.4932, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.4932, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.0772, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.816, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.7785, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.4726, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.2059, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.073, "sig": "False", "lag": 1 } }, { "date": "2019-12-31", "Brent_spot": { "p": 0.5837, "sig": "False", "lag": 1 }, "natgas_spot_henry": { "p": 0.5721, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.2108, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.7751, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.5255, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.7673, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.1705, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.7203, "sig": "False", "lag": 1 }, "ipi_us": { "p": 0.7697, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.4086, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.0661, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.0277, "sig": "True", "lag": 1 } }, { "date": "2020-06-30", "Brent_spot": { "p": 0.0091, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.4767, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.0758, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.5846, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.1589, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.5854, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.6938, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.0126, "sig": "True", "lag": 2 }, "ipi_us": { "p": 0.2126, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0004, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.0633, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.0139, "sig": "True", "lag": 1 } }, { "date": "2020-12-31", "Brent_spot": { "p": 0.0036, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.7363, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.1324, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.3846, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.2339, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.56, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.7811, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.0356, "sig": "True", "lag": 2 }, "ipi_us": { "p": 0.2165, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0004, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.024, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.1324, "sig": "False", "lag": 2 } }, { "date": "2021-06-30", "Brent_spot": { "p": 0.0122, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.7871, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.1676, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.4241, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.2354, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.5485, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.742, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.0463, "sig": "True", "lag": 2 }, "ipi_us": { "p": 0.2944, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0005, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.0207, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.1984, "sig": "False", "lag": 2 } }, { "date": "2021-12-31", "Brent_spot": { "p": 0.0077, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.6495, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.3695, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.4586, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.1501, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.3771, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.6269, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.0326, "sig": "True", "lag": 2 }, "ipi_us": { "p": 0.2552, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0004, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.0224, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.1464, "sig": "False", "lag": 2 } }, { "date": "2022-06-30", "Brent_spot": { "p": 0.012, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.5234, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.3466, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.4025, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.1642, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.3672, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.839, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.0413, "sig": "True", "lag": 2 }, "ipi_us": { "p": 0.2501, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0018, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.0285, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.1257, "sig": "False", "lag": 2 } }, { "date": "2022-12-31", "Brent_spot": { "p": 0.0475, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.9069, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.2744, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.3699, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.1179, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.4523, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.8832, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.0703, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.2835, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0015, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.0588, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.1798, "sig": "False", "lag": 2 } }, { "date": "2023-06-30", "Brent_spot": { "p": 0.0385, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.9535, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.2916, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.436, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.4099, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.4304, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.8845, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.0654, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.0463, "sig": "True", "lag": 2 }, "vix_lag1": { "p": 0.0013, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.0511, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.1927, "sig": "False", "lag": 2 } }, { "date": "2023-12-31", "Brent_spot": { "p": 0.032, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.9453, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.3175, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.4387, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.4074, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.3927, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.9416, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.0731, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.366, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0027, "sig": "True", "lag": 1 }, "vix_lag2": { "p": 0.0546, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.1636, "sig": "False", "lag": 2 } }, { "date": "2024-06-30", "Brent_spot": { "p": 0.0365, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.9551, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.5753, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.5176, "sig": "False", "lag": 2 }, "supply_saudi": { "p": 0.5425, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.3449, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.918, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.28, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.1075, "sig": "False", "lag": 2 }, "vix_lag1": { "p": 0.0674, "sig": "False", "lag": 1 }, "vix_lag2": { "p": 0.13, "sig": "False", "lag": 2 }, "mom1m_lag1": { "p": 0.1867, "sig": "False", "lag": 2 } }, { "date": "2024-12-31", "Brent_spot": { "p": 0.0236, "sig": "True", "lag": 2 }, "natgas_spot_henry": { "p": 0.8533, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.3157, "sig": "False", "lag": 2 }, "rig_count_us_new": { "p": 0.4575, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.914, "sig": "False", "lag": 2 }, "pmi_us_mfg": { "p": 0.3168, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.7836, "sig": "False", "lag": 1 }, "nonfarm_us": { "p": 0.1063, "sig": "False", "lag": 2 }, "ipi_us": { "p": 0.0481, "sig": "True", "lag": 2 }, "vix_lag1": { "p": 0.0096, "sig": "True", "lag": 2 }, "vix_lag2": { "p": 0.022, "sig": "True", "lag": 2 }, "mom1m_lag1": { "p": 0.1402, "sig": "False", "lag": 2 } }, { "date": "2025-06-30", "Brent_spot": { "p": 0.6071, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.769, "sig": "False", "lag": 1 }, "iron_ore_spot": { "p": 0.1434, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 0.1134, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.7434, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.2473, "sig": "False", "lag": 2 }, "usd_index": { "p": 0.1501, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.001, "sig": "True", "lag": 2 }, "ipi_us": { "p": 0.6124, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.1458, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.0912, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.3371, "sig": "False", "lag": 2 } }, { "date": "2025-12-31", "Brent_spot": { "p": 0.5352, "sig": "False", "lag": 2 }, "natgas_spot_henry": { "p": 0.5372, "sig": "False", "lag": 2 }, "iron_ore_spot": { "p": 0.3309, "sig": "False", "lag": 1 }, "rig_count_us_new": { "p": 0.5951, "sig": "False", "lag": 1 }, "supply_saudi": { "p": 0.442, "sig": "False", "lag": 1 }, "pmi_us_mfg": { "p": 0.8934, "sig": "False", "lag": 1 }, "usd_index": { "p": 0.344, "sig": "False", "lag": 2 }, "nonfarm_us": { "p": 0.001, "sig": "True", "lag": 1 }, "ipi_us": { "p": 0.1922, "sig": "False", "lag": 1 }, "vix_lag1": { "p": 0.2403, "sig": "False", "lag": 2 }, "vix_lag2": { "p": 0.1027, "sig": "False", "lag": 1 }, "mom1m_lag1": { "p": 0.5402, "sig": "False", "lag": 1 } } ], "viz_network": { "nodes": [ { "id": "ipi_us", "group": "Demand" }, { "id": "natgas_spot_henry", "group": "Price" }, { "id": "hist_vol_12m", "group": "Technical" }, { "id": "iron_ore_spot", "group": "Price" }, { "id": "usd_index", "group": "Demand" }, { "id": "rsi12m", "group": "Technical" }, { "id": "nonfarm_us", "group": "Demand" }, { "id": "supply_saudi", "group": "Supply" }, { "id": "pmi_us_mfg", "group": "Demand" }, { "id": "target_ret_1m", "group": "Target" }, { "id": "Brent_spot", "group": "Price" }, { "id": "rig_count_us_new", "group": "Supply" }, { "id": "vix_lag2", "group": "Risk_Geo" }, { "id": "mom1m_lag1", "group": "Technical" }, { "id": "vix_lag1", "group": "Risk_Geo" } ], "edges": [ { "source": "Brent_spot", "target": "target_ret_1m", "weight": 2.8, "lag": 2, "p_value": 0.0016 }, { "source": "vix_lag1", "target": "target_ret_1m", "weight": 2.49, "lag": 1, "p_value": 0.0032 }, { "source": "rsi12m", "target": "target_ret_1m", "weight": 1.98, "lag": 3, "p_value": 0.0105 }, { "source": "Brent_spot", "target": "natgas_spot_henry", "weight": 2.6, "lag": 2, "p_value": 0.0025 }, { "source": "Brent_spot", "target": "ipi_us", "weight": 10.0, "lag": 2, "p_value": 0.0 }, { "source": "natgas_spot_henry", "target": "pmi_us_mfg", "weight": 10.0, "lag": 2, "p_value": 0.0 }, { "source": "natgas_spot_henry", "target": "nonfarm_us", "weight": 10.0, "lag": 2, "p_value": 0.0 }, { "source": "iron_ore_spot", "target": "Brent_spot", "weight": 1.59, "lag": 1, "p_value": 0.0256 }, { "source": "iron_ore_spot", "target": "rig_count_us_new", "weight": 2.01, "lag": 3, "p_value": 0.0097 }, { "source": "supply_saudi", "target": "natgas_spot_henry", "weight": 1.71, "lag": 2, "p_value": 0.0193 }, { "source": "supply_saudi", "target": "ipi_us", "weight": 2.17, "lag": 1, "p_value": 0.0067 }, { "source": "supply_saudi", "target": "vix_lag1", "weight": 1.82, "lag": 2, "p_value": 0.0151 }, { "source": "pmi_us_mfg", "target": "natgas_spot_henry", "weight": 10.0, "lag": 3, "p_value": 0.0 }, { "source": "usd_index", "target": "iron_ore_spot", "weight": 2.55, "lag": 1, "p_value": 0.0028 }, { "source": "usd_index", "target": "vix_lag1", "weight": 10.0, "lag": 1, "p_value": 0.0 }, { "source": "nonfarm_us", "target": "natgas_spot_henry", "weight": 10.0, "lag": 3, "p_value": 0.0 }, { "source": "ipi_us", "target": "iron_ore_spot", "weight": 1.84, "lag": 3, "p_value": 0.0145 }, { "source": "ipi_us", "target": "supply_saudi", "weight": 1.38, "lag": 1, "p_value": 0.0415 }, { "source": "ipi_us", "target": "usd_index", "weight": 1.74, "lag": 1, "p_value": 0.0184 }, { "source": "vix_lag1", "target": "Brent_spot", "weight": 3.52, "lag": 3, "p_value": 0.0003 }, { "source": "vix_lag1", "target": "ipi_us", "weight": 10.0, "lag": 3, "p_value": 0.0 } ] } }