Table 3.
Unit root and Heteroskedasticity test
| ADF | PP | ARCH-LM | |||
|---|---|---|---|---|---|
| Variable | Level | 1st Diff. | Level | 1st Diff. | F-statistics |
| SPR | -66.03021*** | -22.63017*** | -66.25453*** | -828.5502*** | 426.7328*** |
| NSR | -64.45909*** | -64.63904*** | -65.08732*** | -816.2465*** | 466.3889*** |
| DXR | -56.48601*** | -22.39084*** | -56.48463*** | -785.2905*** | 48.2608*** |
| NKR | 44.8633*** | 21.9552*** | -53.6732*** | -721.3891*** | 329.7114*** |
| FMBR | -59.11521*** | -26.05068*** | -59.1209*** | -810.3178*** | 80.99362*** |
| SCR | -54.81653*** | -23.65203*** | -54.84421*** | -521.7985*** | 109.9907*** |
Note: *, **, and *** denotes the 10%, 5%, and 1% level of significance, respectively. Source: author's calculation.