DIAGNOSTICS TEST

VEC Residual Portmanteau Tests for Autocorrelations

Lags

3

Q-Stat

15.49692

Prob.*

0.0301

Adj Q-Stat

15.53912

Prob.*

0.0297

Df

7

VEC Residual Serial Correlation LM Tests

Lag

3

LRE* stat

62.64976

Df

12

Prob.

0.00

Rao F-stat

5.308011

Df

(12, 1590.0)

Prob.

0

VEC Residual Normality Tests

Component

SPOT_PRICE

FUTURE Price

Joint

Jarque-Bera

649.7518

18,947.54

19,597.3

df

2

2

4

Prob.

0.00

0.00

0.00

VEC Residual Heteroskedasticity Tests (Levels and Squares)

Dependent

SPOT_PRICE

FUTURE_PRICE

Chi-sq (10)

316.8531

13.26103

Prob.

0.00

0.2094