| 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 |