Table 2.
Augmented Dickey–Fuller tests for log prices: Null hypothesis: Log prices have a unit root; Exogenous: A Constant.
| LSPX |
LUKX |
LGD |
LSI |
LOIL |
LNG |
LBDIY |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| t-Stat | Pr* | t-Stat | Pr* | t-Stat | Pr* | t-Stat | Pr* | t-Stat | Pr* | t-Stat | Pr* | t-Stat | Pr* | |
| ADF: | −1.809 | 0.376 | −1.675 | 0.443 | −1.034 | 0.742 | −0.930 | 0.778 | −1.553 | 0.506 | −0.739 | 0.834 | −1.869 | 0.347 |
| Lev. 1% | −3.452 | −3.451 | −3.451 | −3.451 | −3.451 | −3.451 | −3.451 | |||||||
| 5% | −2.871 | −2.871 | −2.871 | −2.871 | −2.871 | −2.871 | −2.871 | |||||||
| 10% | −2.572 | −2.572 | −2.572 | −2.572 | −2.572 | −2.572 | −2.572 | |||||||
| Lag: | 9 | 0 | 6 | 0 | 1 | 1 | 3 |