Augmented Dickey Fuller (ADF) test | Kwiatkowsk –Philips–Schmidt–Shin (KPSS) test | ||||||
---|---|---|---|---|---|---|---|
H0: exchange rate return has a unit root | H0: exchange rate return is stationary | ||||||
Intercept | Trend and intercept | Intercept | Trend and intercept | ||||
Test statistic | Probability | Test statistic | Probability | Test statistic | 1% critical value | Test statistic | 1% critical value |
−14.9439 | 0.000 | −14.9552 | 0.000 | 0.4630 | 0.7390 | 0.1913 | 0.2160 |