Panel A: Lo’s R/S Test

Returns

q = 1

1.696

1.877

2.404

q = 5

1.562

1.708

1.829

q = 10

1.495

1.637

1.519

Squared Returns

q = 1

4.238

3.762

3.094

q = 5

3.139

2.860

2.428

q = 10

2.602

2.427

1.997

Panel B: GPH Test

Returns

m = T^0.5

0.071 [0.517]

−0.033 [0.766]

0.099 [0.365]

m = T^0.6

0.153 [0.032]

0.106 [0.133]

0.545 [0.000]

m = T^0.8

0.137 [0.000]

0.118 [0.000]

0.302 [0.000]

Squared Returns

m = T^0.5

0.287 [0.009]

0.407 [0.001]

0.239 [0.042]

m = T^0.6

0.423 [0.000]

0.232 [0.000]

0.322 [0.000]

m = T^0.8

0.223 [0.000]

0.218 [0.000]

0.207 [0.000]

Panel C: GSP Test

Returns

m = T/4

0.102 [0.000]

0.110 [0.000]

0.266 [0.000]

m = T/8

0.056 [0.077]

0.018 [0.556]

0.336 [0.000]

m = T/16

0.122 [0.007]

0.075 [0.010]

0.494 [0.000]

Squared Returns

m = T/4

0.234 [0.000]

0.273 [0.000]

0.241 [0.000]

m = T/8

0.354 [0.000]

0.303 [0.000]

0.314 [0.000]

m = T/16

0.485 [0.000]

0.292 [0.000]

0.601 [0.000]