The volatility of returns from commodity futures: evidence from India

Financial Innovation

Table 7 Result of ARCH-LM test for residuals

	Potato			Mentha oil			Crude oil			Gold
	Near	Next Near	Far	Near	Next Near	Far	Near	Next Near	Far	Near	Next Near	Far
Obs R-squared	0.604	0.046	0.010	4.45 8	30.52 2	0.037	78.95 5	64.85 4	0.099	48.72 8	26.39 4	142.6 915
Prob. Chi-Square	0.437	0.831	0.919	0.03 5	0.000	0.847	0.000	0.000	0.752	0.000	0.000	0.000

Note: ARCH- LM Statistic (at lag-1) is the Lagrange Multiplier test statistic to examine the presence of ARCH effect in the residuals of the estimated model. If the value of ARCH LM Statistic is greater than the critical value from the Chi-square distribution, the null hypothesis of no heteroskedasticity is rejected