index | contract | stationarity test | autocorrelation test | ARCH effect test | index | contract | stationarity test | autocorrelation test | ARCH effect test |
logarithmic yield | IC1705 | 0.01 | 0.5847 | 3.55E−05 | position change rate | IC1705 | 0.01 | <2.2E−16 | <0.2E−16 |
IC1706 | 0.01 | 0.2688 | 0.002402 | IC1706 | 0.01 | <2.2E−16 | 1.05E−07 | ||
IC1709 | 0.01 | 0.000883 | 7.06E−05 | IC1709 | 0.01 | <2.2E−16 | 0.01792 | ||
IC1712 | 0.01 | 0.2436 | 3.11E−12 | IC1712 | 0.01 | 4.78E−13 | 2.53E−11 | ||
volume change rate | IC1705 | 0.01 | 7.64E−06 | 0.5234 | price fluctuation | IC1705 | 0.01 | 2.00E−13 | 1.57E−10 |
IC1706 | 0.01 | 1.19E−09 | 0.3437 | IC1706 | 0.01 | 1.00E−11 | 8.61E−12 | ||
IC1709 | 0.01 | 6.23E−11 | 0.6447 | IC1709 | 0.01 | <2.2E−16 | <0.2E−16 | ||
IC1712 | 0.01 | NA | NA | IC1712 | 0.01 | <2.2E−16 | <0.2E−16 | ||
spread | April | 0.06839 | <2.2E−16 | <2.2E−16 | spread | July | 0.4484 | <2.2E−16 | <0.2E−16 |