10-Year Treasury Inflation-Indexed Security
Why Use This Data Source In Your Models?
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.
10-Year Treasury Inflation-Indexed Security
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Automated Data Profiling
Suggested Treatment:
Grain Transformation:
Source:
Board of Governors of Fed Reserve System
Release:
Selected Interest Rates
Units:
Percent, Not Seasonally Adjusted
Frequency:
Daily
Available Through:
05/08/2025
Suggested Treatment:
The data shows auto correlation 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.
Grain Transformation:
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
Auto Correlation Analysis:
Data shows auto correlation indicating a need for differencing
The ACF indicates 1 order differencing is appropriate.
Further differencing is reccommended
Trend Analysis:
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 2.71 p-value = 0.01 indicates that the data is not stationary.
Distribution Analysis:
The Shapiro-Wilk test returned W = 0.94 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of -0.37 indicates the data are fairly symmetrical.
Hartigan's dip test score of 0.03 with a p-value of 0.00 inidcates the data is multimodal
Statistics (Pearson P/ df, lower => more normal)
Auto Correlation Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal Impact
Seasonal and Trend Decompostion
Citation:
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.
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