Table 3.

Results of PP unit root test for volatility series in five time scales

Oil price	Variable	Scale 1	Scale 2	Scale 3	Scale 4	Scale 5
Decrease	W	−21.4508***	−5.0004***	−5.5034***	−3.3933**	−1.9164
	F	−41.3850***	−8.8256***	−3.6921**	−3.4375**	−2.0799
	M	−58.6063***	−15.5151***	−3.6380***	−3.0603**	−1.5971
Increase	W	−101.5920***	−4.4759***	−3.3604**	−4.2697***	−2.2373
	F	−68.0989***	−27.5227***	−5.3983***	−4.1008***	−1.9268
	M	−36.0294***	−10.4622***	−3.6759***	−3.2150**	−1.7788