Coefficients | Cointegrating vector and adjustment coefficient |
---|

\( {P}_{t-1}^{ETH} \) | 1.139** |

ECT_{t-1} | − 0.236* |

Half-life | 2.57 |

Short-run parameters |

\( {\Delta P}_{t-1}^{JUBA} \) | − 0.209 |

\( {\Delta P}_{t-2}^{JUBA} \) | 0.073 |

\( {\Delta P}_{t-1}^{ETH} \) | − 0.618 |

\( {\Delta P}_{t-2}^{ETH} \) | − 1.007 |

Shift13 | 0.076* |

Model specification tests |

LM (3) test | 0.71 |

Adj. portmanteau test | 0.39 |

Normality test | 438*** |

*MARCH-LM* test | 54.77** |

*ARCH LM* test | 0.36 |

- Half-life is computed as
*h* = [ln(0.5)/( ln(1 + *α*)], where *α* is the error correction term (ECT_{t-1}) and interpreted in months; adj. portmanteau test denotes adjusted portmanteau test which has more powerful small sample properties than the standard portmanteau test (see Lütkepohl and Krätzig 2004, 127); MARCH-LM test denotes multivariate ARCH test; ***, ** reject the null hypothesis at 1 and 5% significance levels, respectively