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Augmented Dickey-Fuller Test Statistics T-Statistics Prob

The document reports the results of Augmented Dickey-Fuller unit root tests on currency derivative future and option data. The test strongly rejects the null hypothesis that future has a unit root with a t-statistic of -9.618811 and probability of 0.000. The test also rejects the null hypothesis that option has a unit root, but with a t-statistic of -3.293787 and probability of 0.0155, providing weaker evidence against the unit root.

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Shalini Sagar
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49 views

Augmented Dickey-Fuller Test Statistics T-Statistics Prob

The document reports the results of Augmented Dickey-Fuller unit root tests on currency derivative future and option data. The test strongly rejects the null hypothesis that future has a unit root with a t-statistic of -9.618811 and probability of 0.000. The test also rejects the null hypothesis that option has a unit root, but with a t-statistic of -3.293787 and probability of 0.0155, providing weaker evidence against the unit root.

Uploaded by

Shalini Sagar
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Null hypothesis: Currency derivative (future) has a unit root

Augmented Dickey-Fuller test statistics t- statistics Prob


-9.618811 0.000
Test critical Values: 1% level -4.252879
5%level -3.548490
10% level -3.207094

Null hypothesis: Currency derivative (option) has a unit root

Augmented Dickey-Fuller test statistics t- statistics Prob


-3.293787 0.0155
Test critical Values: 1% level -4.252879
5%level -3.548490
10% level -3.207094

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