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 |