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Agricultural and Food Economics

Table 2 Statistical properties of log returns from January 1995 till December 2015

From: An analysis of price and volatility transmission in butter, palm oil and crude oil markets

 

1995–2005 (monthly)

 

EU butter

Oceania butter

Crude palm oil

Crude oil Brent

Augmented Dickey Fuller test

−7.6*

−8.77*

−4.55*

−11.08*

Jarque-Bera test

3.58

248.63*

19.10*

0.97*

Ljung-Box test

25.14*

43.54*

42.16*

7.65

Ljung-Box test squared returns

8.62

2.14

22.21**

24.09*

Engle test

10.46

7.21

17.18

24.90*

 

2006–2015 (biweekly)

 

EU butter

Oceania butter

Crude palm oil

Crude oil Brent

Augmented Dickey Fuller test

−8.03*

−6.90*

−10.34*

−10.20*

Jarque-Bera test

61.02*

46.75*

62.27*

47.50*

Ljung-Box test

148.74*

130.21*

65.50*

67.32*

Ljung-Box test squared returns

44.42*

42.65*

94.6*

85.58*

Engle test

40.61*

27.46*

65.22*

50.28*

  1. The symbols * and ** denotes rejection of the null hypothesis at the 1 and 5 % confidence level, respectively. The augmented Dickey Fuller test was performed with automated lag selection based on the Hannan Quinn (HQ) criterion. The Ljung-Box and Engle tests were performed with 10 lags
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