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Financial Innovation

Table 6 Results of unit-root tests for logarithmic realized volatility

From: Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange

 

5-min intraday intervals

15-min intraday intervals

ADF test stat

PP test stat

ADF test stat

PP test stat

Log(RVrr)

− 3.70***

− 21.06***

− 3.50***

− 16.60***

Log(RVrmm)

− 6.61***

− 17.83***

− 3.57***

− 18.22***

  1. *** indicates a 1% significance level
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