Cointegrating Equation:

SPOT_PRICE (−1)

FUTURE_PRICE (−1)

TREND (4/1/15)

C

Long run

1

−1.559049

−0.41762

[−3.73315]

0.124068

−0.0866

[1.43271]

169.16

Error Correction: Short run

Error Correction:

D (SPOT_PRICE)

D (FUTURE_ PRICE)

Coint Equation (1)

−0.01397

−0.00354

[−3.94668]**

0.00735

−0.00431

[1.70614]

D (SPOT_PRICE (−1))

−0.121486

−0.03318

[−3.66140]**

−0.065332

−0.04038

[−1.61782]

D (SPOT_PRICE (−2))

−0.003901

−0.03289

[−0.11859]

−0.02099

−0.04004

[−0.52428]

D (FUTURE_PRICE (−1))

−0.017509

−0.02937

[−0.59615]

0.002894

−0.03575

[0.08095]

D (FUTURE_PRICE (−2))

−5.01E−02

−0.02936

[−1.70825]

0.054278

−0.03573

[1.51914]

C

−0.084828

−0.17702

[−0.47920]

0.311561

−0.21545

[1.44610]

Adj. R-squared

0.030656

2.98E−03

S.E. equation

5.018262

6.107632

F-statistic

6.104307

1.482425

*Standard errors in ( ) & t-statistics in [ ]