ETFS/ Indices

ADF

ARMA

AIC

LM

ARCH-LM

GARCH

AIC

ARCH-LM

EGARCH

AIC

ARCH-LM

Precious metal ETFs

1

GLD/

−46.228***

(3.3)

3.503

0.116

101.379***

(3.2)

3.014

3.755

(0.3)

3.316

0.127

Gold

−33.757***

(2.2)

8.157

0.936

52.747***

(2.1)

7.674

0.255

(3.3)

7.640

0.575

2

SLV/

−18.578***

(2.2)

1.666

0.215

309.016***

(3.3)

1.088

3.223

(0.2)

1.380

0.043

Silver

−48.367***

(2.3)

1.940

2.908

454.821***

(3.3)

1.313

0.329

(3.3)

1.288

0.240

3

PALL/

−26.369***

(2.2)

3.365

1.136

17.424***

(3.1)

3.322

1.903

(3.2)

3.313

0.302

Palladium

−29.466***

(3.3)

8.028

0.205

3.747659

(3.2)

7.977

1.727

(2.2)

7.977

1.342

4

PTM/

−20.430***

(3.2)

0.951

0.162

160.041***

(3.3)

0.594

1.424

(3.1)

0.609

2.516

Platinum

−32.049***

(3.3)

9.115

1.093

23.969***

(3.2)

9.022

0.268

(3.3)

9.009

1.119

Base metal ETFs

1

JJC/

−25.954***

(3.3)

2.560

1.313

25.616***

(3.2)

2.477

0.367

(3.1)

2.472

1.521

Copper

−39.043***

(3.2)

12.700

0.513

51.822***

(2.3)

12.611

0.206

(1.2)

12.598

0.141

2

JJN/

−38.002***

(2.2)

2.325

0.238

48.242***

(1.1)

2.165

0.061

(3.3)

2.165

2.913

Nickel

−37.707***

(3.3)

15.293

0.078

45.740***

(1.3)

15.117

0.304

(1.3)

15.105

0.338

3

JJT/

−32.939***

(2.3)

2.847

1.512

28.158***

(3.1)

2.769

1.021

(3.1)

2.753

2.642

Tin

−33.451***

(2.2)

14.977

1.699

25.661***

(3.1)

14.904

0.400

(3.1)

14.897

0.417

4

LD/

−34.449***

(3.2)

3.485

1.045

7.595**

(3.3)

3.415

3.048

(0.1)

3.478

0.00002

Lead

−32.842***

(2.3)

10.737

0.497

22.106***

(3.3)

10.616

0.390

(3.2)

10.602

0.051