Variable

Mean

Std.

Skw.

Kurt.

J-B stat

Autocorrelation

Heteroscedasticity

$k=30$

$k=60$

$k=90$

$k=30$

$k=60$

$k=90$

$p_t^{br}$

3.974

0.587

−0.353

2.19

46.9***

118.25***

154.44***

179.03***

1.381*

1.352**

1.791***

$p_t^{wti}$

3.96

0.533

−0.377

2.234

46.98***

127.49***

157.15***

185.98***

1.591**

1.194

1.332**

$s_t$

Bahrain

1.301

0.011

-31.19

973.9

38,492,311***

0.0003

0.0019

0.0074

1.521**

1.114

0.881

Kuwait

−1.231

0.039

−0.447

2.348

49.631

243.49***

297.44***

343.6***

12.952***

6.914***

4.591***

Oman

−0.955

0.011

−31.159

972.6

38,387,969***

0.0045

0.0117

0.0228

2.532***

1.694***

1.347**

Qatar

1.292

0.01

−30.006

927.1

34,870,761***

34.97

34.978

34.991

171,976.9***

81,595.8***

51,426.9***

Saudi Arabia

1.321

0.011

−31.087

969.6

38,151,058***

0.0016

0.007

0.0247

0.266

0.248

0.375

United Arab Emirate

1.301

0.011

−31.191

973.9

38,492,811***

0.0003

0.0026

0.0074

1.521**

1.114

0.881