| Crude oil | Heating oil | Natural gas | Copper | Gold | Silver | Palladium | Platinum |
---|---|---|---|---|---|---|---|---|
Mean | 0.332 | 0.275 | 0.411 | 0.244 | 0.168 | 0.297 | 0.31 | 0.229 |
Variance | 0.042 | 0.018 | 0.027 | 0.016 | 0.007 | 0.025 | 0.028 | 0.014 |
Skewness | 4.847*** | 2.487*** | 1.616*** | 2.784*** | 2.352*** | 2.975*** | 2.340*** | 2.661*** |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
Kurtosis | 42.721*** | 12.187*** | 5.171*** | 11.613*** | 8.638*** | 15.606*** | 10.486*** | 12.124*** |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
JB | 268663.762*** | 24255.651*** | 5205.988*** | 23221.302*** | 13542.539*** | 39051.474*** | 18460.757*** | 24544.847*** |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
ERS | −6.694*** | −5.529*** | −4.429*** | −7.011*** | −5.191*** | −9.587*** | −11.443*** | −6.323*** |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
Q(20) | 21489.650*** | 21963.781*** | 13290.228*** | 19714.223*** | 15742.101*** | 12794.413*** | 6777.043*** | 13134.576*** |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
\(Q^2(20)\) | 11714.631*** | 14952.371*** | 7831.009*** | 16963.601*** | 12407.747*** | 6003.273*** | 4022.247*** | 10190.779*** |
(0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
Pearson correlation coefficients | ||||||||
Crude oil | 1.00 | 0.79 | 0.31 | 0.36 | 0.27 | 0.27 | 0.28 | 0.36 |
Heating oil | 0.79 | 1.00 | 0.33 | 0.38 | 0.28 | 0.27 | 0.27 | 0.34 |
Natural gas | 0.31 | 0.33 | 1.00 | 0.23 | 0.25 | 0.26 | 0.19 | 0.22 |
Copper | 0.36 | 0.38 | 0.23 | 1.00 | 0.42 | 0.41 | 0.32 | 0.31 |
Gold | 0.27 | 0.28 | 0.25 | 0.42 | 1.00 | 0.68 | 0.31 | 0.37 |
Silver | 0.27 | 0.27 | 0.26 | 0.41 | 0.68 | 1.00 | 0.33 | 0.39 |
Palladium | 0.28 | 0.27 | 0.19 | 0.32 | 0.31 | 0.33 | 1.00 | 0.45 |
Platinum | 0.36 | 0.34 | 0.22 | 0.31 | 0.37 | 0.39 | 0.45 | 1.00 |