Return r

Absolute return |r|

Test Statistic and Critical Values

Test Statistic and Critical Values

Scen 1

Scen 2

Scen 3

Scen 1

Scen 2

Scen 3

PP Test (p < 0.05)

−979.84 < −2.8619

−8531.9 < −2.8619

−1603.7 < −2.8619

−50.85 < −2.8619

−11.061 < −2.8619

−17.726 < −2.8619

ADF Test (p < 0.05)

−21.51 < −2.8619

−21.938 < −2.8619

−18.708 < −2.8619

−35.82 < −2.8619

−8.9769 < −2.8619

−6.0601 < −2.8619

KPSS Test (p > 0.05)

0.13 < 0.463

0.0098 < 0.463

0.0867 < 0.463

0.36 < 0.463

0.9664 < 0.463

0.1221 < 0.463