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

Agricultural and Food Economics

Table 3 Diagnostic tests for the residuals of the VAR model (1995 to 2005) and VAR-BEKK model (2006 to 2015)

	1995–2005 (monthly) VAR model
Statistic	EU butter	Oceania butter	Crude palm oil	Crude oil Brent
Ljung-Box test	7.77***	4.69***	14.36***	8.67***
Ljung-Box test squared returns	10.55***	6.53***	15.76***	16.76**
Engle test	7.87***	11.46***	13.84***	16.27**
	Multivariate tests
Hosking test				146.29***
Hosking test squared returns				996.09***
Lagrange multiplier test				1107.5*
	2006–2015 (biweekly) VAR-BEKK model
Statistic	EU butter	Oceania butter	Crude palm oil	Crude oil Brent
Ljung-Box test	11.80***	16.49**	8.29***	5.80***
Ljung-Box test squared returns	5.49***	13.95***	10.51***	10.03***
Engle test	5.03***	12.34***	10.20***	9.54***
	Multivariate tests
Hosking test				171.93***
Hosking test squared returns				1039.2***
Lagrange multiplier test				1030.7***

The symbols *, ** and *** denote acceptance of the null hypothesis at the 1, 5 and 10 % confidence level, respectively, for the residual diagnostic tests. The residual diagnostic tests were performed with 10 lags