Table 4 The results from Augmented Dickey-Fuller test and Phillips-Perron test for five financial time series
From: A chemical-reaction-optimization-based neuro-fuzzy hybrid network for stock closing price prediction
Stock Data | Indicators | ADF-Test | PP-Test | ||
|---|---|---|---|---|---|
Level | 1st Diff. | Level | 1st Diff. | ||
BSE | t-Stat (Prob.) | −2.5460 (0.3223) | −41.5448 (0.0001) | − 2.4068 (0.3913) | −54.0093 (0.0000) |
t-critical (5%) | −3.4138 | − 3.4138 | − 3.4138 | − 3.4138 | |
DJIA | t-Stat (Prob.) | −2.3788 (0.4051) | −44.7766 (0.0000) | −2.4392 (0.3752) | −63.6215 (0.0000) |
t-critical (5%) | −3.4139 | − 3.4139 | − 3.4139 | − 3.4139 | |
NASDAQ | t-Stat (Prob.) | −2.5920 (0.2995) | −48.0225 (0.0001) | −2.5823 (0.3043) | −64.9935 (0.0001) |
t-critical (5%) | −3.4139 | −3.4138 | − 3.4139 | −3.4138 | |
FTSE | t-Stat (Prob.) | −2.0381 (0.5738) | −47.2026 (0.0000) | −2.1130 (0.5367) | −65.5486 (0.0000) |
t-critical (5%) | −3.4139 | −3.4138 | − 3.4139 | −3.4138 | |
TAIEX | t-Stat (Prob.) | −3.2628 (0.0730) | −40.8769 (0.0000) | −3.1798 (0.0889) | −58.4660 (0.0000) |
t-critical (5%) | −3.4138 | −3.4138 | − 3.4138 | −3.4138 | |