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| Agric | 0.03 | 0.86 | 0.48 | −0.01 | 0.22 | 0.03 | 0.48 | 1.50 | 1.37 | 18.91 | 0.25 | 0.00 |
| Food | −0.19 | 0.83 | 0.01 | −0.05 | 0.45 | 0.45 | 0.71 | 2.01 | 0.91 | 0.27 | 0.09 | 0.88 |
| Soda | 0.31 | 0.83 | −0.04 | −0.15 | 0.68 | 0.09 | 0.63 | 1.36 | 0.89 | 13.44 | 0.47 | 0.09 |
| Beer | −1.59 | 0.97 | 0.15 | −0.14 | 0.59 | 0.70 | 0.56 | 0.98 | 1.41 | 2.72 | 0.07 | 0.84 |
| Smoke | 0.34 | 0.83 | −0.25 | −0.22 | 0.61 | 0.42 | 0.68 | 1.36 | 0.86 | 22.72 | 0.10 | 0.00 |
| Toys | −0.56 | 1.20 | 0.66 | 0.11 | 0.72 | 0.21 | 0.42 | 1.37 | 1.77 | 16.45 | 0.16 | 0.00 |
| Fun | −0.32 | 1.30 | 0.56 | 0.10 | 0.28 | 0.10 | 0.40 | 1.57 | 1.93 | 0.73 | 0.07 | 0.89 |
| Books | −0.07 | 1.06 | 0.35 | 0.19 | 0.49 | 0.09 | 0.31 | 1.13 | 2.00 | 1.08 | 0.09 | 0.80 |
| Hshld | −0.34 | 0.97 | 0.97 | −0.13 | 0.57 | 0.10 | 0.49 | 1.16 | 1.43 | 0.44 | 0.08 | 0.86 |
| Clths | −0.14 | 1.05 | 0.65 | 0.05 | 0.42 | 0.14 | 0.28 | 0.99 | 1.91 | 0.85 | 0.15 | 0.79 |
| MedEq | 0.34 | 0.86 | 0.10 | −0.31 | 0.24 | −0.33 | 0.51 | 1.69 | 1.89 | 8.53 | 0.21 | 0.00 |
| Drugs | 0.39 | 0.88 | −0.25 | −0.43 | 0.16 | −0.26 | 0.56 | 1.87 | 1.60 | 0.69 | 0.10 | 0.83 |
| Chems | −0.44 | 1.17 | 0.01 | 0.15 | 0.27 | 0.52 | 0.40 | 1.39 | 1.82 | 0.49 | 0.11 | 0.83 |
| Rubbr | −0.25 | 1.07 | 0.70 | 0.16 | 0.41 | 0.27 | 0.51 | 1.61 | 1.42 | 0.45 | 0.07 | 0.88 |
| Txtls | −0.41 | 1.08 | 0.68 | 0.29 | 0.58 | 0.74 | 0.51 | 1.35 | 1.28 | 10.96 | 0.33 | 0.00 |
| BldMt | −0.31 | 1.19 | 0.41 | 0.27 | 0.41 | 0.46 | 0.50 | 1.62 | 1.48 | 0.22 | 0.08 | 0.90 |
| Cnstr | −0.43 | 1.27 | 0.62 | 0.21 | 0.43 | 0.20 | 0.23 | 1.02 | 2.22 | 15.41 | 0.03 | 0.00 |
| Steel | −0.51 | 1.23 | 0.25 | 0.32 | −0.47 | 0.43 | 0.48 | 1.73 | 1.54 | 0.68 | 0.09 | 0.88 |
| FabPr | −0.42 | 1.01 | 0.72 | 0.25 | 0.29 | −0.05 | 0.46 | 1.37 | 1.23 | 21.06 | 0.16 | 0.00 |
| Mach | −0.11 | 1.20 | 0.31 | 0.18 | 0.00 | 0.10 | 0.14 | 0.64 | 2.78 | 7.25 | 0.20 | 0.00 |
| ElcEq | 0.06 | 1.21 | 0.17 | −0.03 | 0.12 | 0.03 | 0.68 | 2.79 | 1.25 | 7.72 | 0.23 | 0.00 |
| Autos | 0.19 | 1.10 | 0.13 | 0.54 | 0.15 | 0.31 | 0.54 | 1.60 | 1.17 | 0.82 | 0.09 | 0.87 |
| Aero | −0.12 | 1.18 | 0.30 | 0.25 | 0.59 | 0.20 | 0.41 | 1.16 | 1.39 | 14.92 | 0.14 | 0.00 |
| Ships | −1.36 | 1.29 | 0.42 | 0.18 | 0.37 | 1.06 | 0.60 | 2.02 | 1.36 | 1.01 | 0.08 | 0.88 |
| Estimates for FF5-SSAEPD-GARCH (Monthly, 1963:07-2017:01) | ||||||||||||
| Guns | −0.08 | 0.98 | 0.37 | 0.48 | 0.72 | 0.36 | 0.24 | 0.88 | 1.84 | 23.20 | 0.08 | 0.00 |
| Gold | 1.04 | 0.46 | 0.53 | −0.06 | −0.19 | −0.20 | 0.48 | 1.75 | 1.18 | 2.01 | 0.03 | 0.95 |
| Mines | −0.10 | 1.09 | 0.42 | 0.26 | 0.19 | 0.41 | 0.43 | 1.48 | 1.83 | 25.74 | 0.14 | 0.00 |
| Coal | 0.37 | 1.03 | 0.29 | 0.05 | 0.05 | −0.15 | 0.67 | 2.59 | 1.10 | 1.38 | 0.14 | 0.86 |
| Oil | 0.15 | 0.92 | −0.16 | 0.12 | 0.12 | 0.53 | 0.53 | 1.81 | 1.35 | 11.37 | 0.30 | 0.00 |
| Util | 0.66 | 0.61 | −0.29 | 0.27 | 0.04 | 0.10 | 0.45 | 1.65 | 1.84 | 0.47 | 0.11 | 0.84 |
| Telcm | 0.13 | 0.85 | −0.27 | 0.05 | −0.10 | 0.32 | 0.33 | 1.25 | 2.09 | 0.33 | 0.09 | 0.87 |
| PerSv | −0.57 | 1.09 | 0.69 | 0.14 | 0.70 | 0.07 | 0.56 | 1.33 | 1.27 | 15.03 | 0.18 | 0.00 |
| BusSv | 0.39 | 1.08 | 0.34 | −0.30 | −0.26 | −0.69 | 0.70 | 2.39 | 0.93 | 4.50 | 0.23 | 0.00 |
| Comps | −0.28 | 1.03 | 0.13 | −0.38 | −0.42 | −0.53 | 0.65 | 2.02 | 1.25 | 0.80 | 0.06 | 0.89 |
| Chips | −0.56 | 1.18 | 0.37 | −0.37 | −0.34 | −0.28 | 0.33 | 1.11 | 2.34 | 0.28 | 0.09 | 0.89 |
| LabEq | 0.34 | 1.09 | 0.48 | −0.50 | −0.24 | −0.48 | 0.46 | 1.27 | 1.26 | 9.47 | 0.24 | 0.00 |
| Paper | −0.28 | 1.10 | 0.11 | 0.15 | 0.44 | 0.53 | 0.58 | 1.54 | 0.96 | 8.79 | 0.07 | 0.00 |