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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