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Table 6 Result of unit root test

From: The volatility of returns from commodity futures: evidence from India

Commodity futures → Potato Mentha oil Crude oil Gold
Contract types → Near Next
Near
Far Near Next
Near
Far Near Next
Near
Far Near Next
Near
Far
ADF Test Statistic −28.242 −31.121 −27.875 −41.075 −45.046 −5.682 −43.527 −43.770 −43.860 −37.804 −32.710 −34.323
 Prob. 0.000 0.000 0.000 0.000 0.0001 0.000 0.000 0.0001 0.0001 0.000 0.000 0.000
Philips Perron
Test Statistic
−36.475 −31.120 −27.875 −41.179 −44.800 −44.315 −43.525 −43.781 −43.860 −37.821 −32.692 −34.331
 Prob. 0.000 0.000 0.000 0.000 0.0001 0.0001 0.000 0.0001 0.0001 0.000 0.000 0.000
Test critical value
 1% −3.434 −3.436 −3.438 −3.433 −3.433 −3.433 −3.433 −3.433 −3.433 −3.435 −3.435 −3.435
 5% −2.863 −2.864 −2.865 −2.862 −2.862 −2.862 −2.862 −2.862 −2.862 −2.863 −2.863 −2.863
 10% −2.567 −2.568 −2.568 −2.567 −2.567 −2.567 −2.567 −2.567 −2.567 −2.567 −2.568 −2.567
  1. Note: ADF Test Statistic is estimated by fitting the equation of the form: Δy t = φ + ∂y t−1 + ∑θ j Δy t − j + μ t and PP test statistic is estimated by the equation: Δy t−1 = φ + ∂y t−1 + μ t