Capacitance exists between any two points of differing potential.
The resistor has (quite reasonably) metal pads or leads (depending on type) for mounting and therefore you have two conductors at some space apart at different voltages (it is a resistor after all) which forms a capacitor in parallel with the resistor. There is also series inductance, so we get the below item:
simulate this circuit – Schematic created using CircuitLab
Equivalent circuit of a resistor for ac analysis
You will notice that we have a damped series LC resonant circuit. In series resonance, the impedance goes to a minimum at resonance (the dip in the graph).
The circuit is capacitive below resonance and inductive above it, so that is why you see the dip (resonance) and then the increase (inductive reactance eventually exceeds the value of the resistor).