Skip to main content
. 2021 Sep 17;29(8):11255–11266. doi: 10.1007/s11356-021-16446-1

Table 5.

Volatility correlations in oil price increase group

Lags W1 F1 M1 W2 F2 M2
WTI−1 −0.2803 *** 0.0598 0.0195 0.4799 *** 0.3157 0.0029
FPU−1 0.0010 −0.4899 *** 0.0420 0.0010 0.3438 *** 0.0016
MPU−1 0.0097 −0.0623 −0.4326 *** 0.0005 0.0119 0.5633 ***
WTI−2 −0.2138 *** 0.0151 −0.0285 −0.5301 *** −0.1353 0.1133
FPU−2 −0.0001 −0.3585 *** −0.0097 −0.0015 −0.6541 *** −0.0370
MPU−2 0.0089 0.0664 −0.1316 ** 0.0033 0.2257 *** −0.4416 ***
WTI−3 −0.1669 *** −0.0824 0.0584
FPU−3 0.0000 −0.2248 *** 0.0014
MPU−3 0.0007 0.0675 −0.1254 **
Lags W3 F3 M3 W4 F4 M4
WTI−1 0.9912 *** 0.1871 −0.1072 0.7908 *** −0.2406 1.0830 ***
FPU−1 0.0000 0.8535 *** 0.0373 0.0116 ** 0.7502 *** −0.1628 ***
MPU−1 0.0029 −0.0647 0.8690 *** −0.0132 *** 0.0802 * 0.9467 ***
WTI−2 −0.1065 ** −0.2666 −0.2474
FPU−2 −0.0010 −0.0685 −0.0662
MPU−2 −0.0040 0.0417 −0.1247 *

Notes: ***, **, and * denote rejection of null hypothesis at 1%, 5%, and 10% significance level, respectively