ADF

5% critical value

p

CS*

(C, 0, 1)

−4.081736

−2.869677

0.0012

INDPRO

(C, T, 3)

−2.140683

−2.871029

0.2290

GS10

(C, T, 4)

−2.014745

−2.869677

0.2805

VIX*

(C, 0, 0)

−4.247841

−2.869653

0.0006

SLOPE

(C, 0, 1)

−2.459724

−2.871029

0.1265

DCS*

(C, 0, 0)

−23.81119

−2.869677

0.0000

DINDPRO*

(C, 0, 0)

−4.486157

−2.871029

0.0003

DGS10*

(C, 0, 0)

−14.26482

−2.869677

0.0000

DVIX*

(C, 0, 0)

−15.07556

−2.869701

0.0000

DSLOPE*

(C, 0, 0)

−4.433300

−2.871029

0.0003