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Financial Innovation

Table 6 Linear test

From: Are life insurance futures a safe haven during COVID-19?

Insurance company

Model

L

d

Chi-square statistic

Threshold value

HDFC

VECM

8

6

98.875***

8.161721%

ICICI

VAR

8

6

90.858***

0.131321%

SBIL

VAR

5

5

33.968**

0.243924%

TWN

VAR

5

1

70.683***

0.086630%

  1. The notation "***" and "**" represent 1% and 5% significance levels, respectively; L represents the Lag periods, d represents the delay periods
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