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Table 3 Conditional Heteroscedasticity and Serial Correlation Tests

From: COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations

 

Consumer discretionary

Consumer staples

Financials

Health

Industrials

Materials

Real estate

Technology

Telecom

Utilities

Oil

Full data sample (8/01/2004 to 12/30/2020)

           

ARCH5

257.47***

253.95***

166.4***

239.88***

276.62***

170.62***

277.99***

211.84***

86.82***

316.41***

127.05***

ARCH10

184.49***

142.23***

98.37***

127.97***

147.75***

91.85***

157.70***

119.92***

49.25***

165.71***

80.83***

LB5

7.62

37.88***

17.94***

14.97***

3.68

27.76***

23.20***

5.47

24.60***

26.65***

11.09**

LB10

15.76*

46.66***

32.72***

18.55**

12.74

29.39***

43.42***

11.42

35.08***

39.67***

43.62***

LB25

2351***

1811***

1323***

1367***

2183***

1433***

2241***

1803***

570.66***

1980***

575.91***

LB210

4214***

2428***

2158***

1779***

3072***

1986***

3972***

2957***

738.57***

2838***

855.38***

Before COVID-19 sample (8/01/2004 to 12/31/2019)

           

ARCH5

286.998***

283.988***

156.510***

227.041***

317.81***

310.75***

269.78***

210.64***

84.052***

290.55***

41.365***

ARCH10

191.811***

155.531***

93.627***

120.996***

168.55***

185.68***

152.33***

121.52***

47.308***

149.175***

29.142***

LB5

21.367***

32.243***

22.350***

20.211***

5.310

15.695***

27.894***

4.873

37.97***

27.832***

2.355

LB10

35.410***

39.054***

39.388***

26.509***

16.299*

18.746**

45.79***

10.969

53.91***

57.244***

13.04

LB25

2422***

1946***

1239***

1275***

2455***

2674***

2175***

1795***

537.31***

1883***

291.47***

LB210

4367***

2409***

2030***

1608***

3278***

4083***

3873***

2870***

680.39***

2440***

552.08***

During COVID-19 Sample (1/2/2020 to 12/30/2020)

           

ARCH5

13.15***

8.43***

12.35***

15.58***

7.42***

3.84***

10.51***

8.74***

7.37***

23.85***

5.58***

ARCH10

7.58***

12.50***

7.08***

10.01***

5.45***

1.91**

6.31***

5.11***

4.98***

15.73***

3.63***

LB5

7.43

19.03***

13.31**

5.10

7.18

15.35***

5.40

3.14

7.94*

5.78

4.43

LB10

11.78

22.95***

19.21**

9.21

12.87

16.04*

9.99

4.86

17.53**

16.24*

17.90**

LB25

77.37***

57.27***

83.71***

82.23***

50.24***

22.85***

65.71***

58.57***

51.48***

102.82***

26.82***

LB210

119.01***

161.11***

128.39***

150.93***

98.50***

25.09***

109.91***

99.81***

96.03***

208/14***

39.89***

  1. ARCH5 and ARCH10 indicate the ARCH LM tests at 5 and 10 lags respectively. The Ljung-Box tests—LB and LB2 test for autocorrelations and respectively utilize the standardized residuals in levels and squared standardized residuals. A non-rejection of the null hypotheses for the ARCH LM and Ljung-Box tests implies the absence of conditional heteroscedasticity and serial correlation respectively while a rejection implies otherwise. The superscripts ***, ** and * indicate statistical significance respectively at 1%, 5% and 10% levels