Board of Governors of Fed Reserve System
Selected Interest Rates
Percent, Not Seasonally Adjusted
The constant maturity of 10-year treasury inflation indexed securities is an adjustment used by the Federal Reserve Board to compute an index based on the average yield of 10-year treasury securitie. Constant maturity yields are used as a reference for pricing debt securities issued by entities such as corporations and institutions.
The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Yeo Johnson variable will also perform well.
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
10-Year Treasury Inflation-Indexed Security
Auto Correction Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal and Trend Decompostion
Data shows autocorrectation indicating a need for differencing
The ACF indicates 1 order differencing is appropriate.
Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.48
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 2.56 p-value = 0.01 indicates that the data is not stationary.
The Shapiro-Wilk test returned W = 0.93 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of -0.80 indicates the data are moderately skewed.
Hartigan's dip test score of 0.02 with a p-value of 0.00 inidcates the data is multimodal
Statistics (Pearson P/ df, lower => more normal)
Board of Governors of the Federal Reserve System (US), 10-Year Treasury Inflation-Indexed Security, Constant Maturity [DFII10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DFII10, December 19, 2019.