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  • Augmented Dickey-Fuller Test Statistics T-Statistics Prob

    Загружено:

    Shalini Sagar
    11 просмотров1 страница
    The document reports the results of Augmented Dickey-Fuller unit root tests on currency derivative future and option data. The test strongly rejects the null hypothesis that future has a unit root with a t-statistic of -9.618811 and probability of 0.000. The test also rejects the null hypothesis that option has a unit root, but with a t-statistic of -3.293787 and probability of 0.0155, providing weaker evidence against the unit root.

    Исходное описание:

    important tool

    Оригинальное название

    Augmented Dickey

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    The document reports the results of Augmented Dickey-Fuller unit root tests on currency derivative future and option data. The test strongly rejects the null hypothesis that future has a unit root with a t-statistic of -9.618811 and probability of 0.000. The test also rejects the null hypothesis that option has a unit root, but with a t-statistic of -3.293787 and probability of 0.0155, providing weaker evidence against the unit root.

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    © All Rights Reserved
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    11 просмотров1 страница

    Augmented Dickey-Fuller Test Statistics T-Statistics Prob

    Загружено:

    Shalini Sagar
    The document reports the results of Augmented Dickey-Fuller unit root tests on currency derivative future and option data. The test strongly rejects the null hypothesis that future has a unit root with a t-statistic of -9.618811 and probability of 0.000. The test also rejects the null hypothesis that option has a unit root, but with a t-statistic of -3.293787 and probability of 0.0155, providing weaker evidence against the unit root.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате DOCX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 1

    Null hypothesis: Currency derivative (future) has a unit root

    Augmented Dickey-Fuller test statistics t- statistics Prob


    -9.618811 0.000
    Test critical Values: 1% level -4.252879
    5%level -3.548490
    10% level -3.207094

    Null hypothesis: Currency derivative (option) has a unit root

    Augmented Dickey-Fuller test statistics t- statistics Prob


    -3.293787 0.0155
    Test critical Values: 1% level -4.252879
    5%level -3.548490
    10% level -3.207094

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