DIAGNOSTICS TEST VEC Residual Portmanteau Tests for Autocorrelations | |||
Lags | 3 | ||
Q-Stat | 15.49692 | ||
Prob.* | 0.0301 | ||
Adj Q-Stat | 15.53912 | ||
Prob.* | 0.0297 | ||
Df | 7 | ||
VEC Residual Serial Correlation LM Tests | |||
Lag | 3 | ||
LRE* stat | 62.64976 | ||
Df | 12 | ||
Prob. | 0.00 | ||
Rao F-stat | 5.308011 | ||
Df | (12, 1590.0) | ||
Prob. | 0 | ||
VEC Residual Normality Tests | |||
Component | SPOT_PRICE | FUTURE Price | Joint |
Jarque-Bera | 649.7518 | 18,947.54 | 19,597.3 |
df | 2 | 2 | 4 |
Prob. | 0.00 | 0.00 | 0.00 |
VEC Residual Heteroskedasticity Tests (Levels and Squares) | |||
Dependent | SPOT_PRICE | FUTURE_PRICE | |
Chi-sq (10) | 316.8531 | 13.26103 | |
Prob. | 0.00 | 0.2094 |