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 |