Table 1 Unit root test results... | Emerald Publishing

Table 1

Unit root test results

	Ln(SPVXSTR)	Ln(TVIX)	Ln(VXX)	LN(XIV)	Ln(VIXY)	Ln(UVXY)	Ln(SVXY)
Levels
ADF	−2.07	−2.81	−2.73	−2.66	−1.16	−1.09	−1.04
PP	−2.09	−2.80	−2.62	−2.65	−1.11	−1.07	−1.03
DF-GLS	−0.72	−1.81	−2.21	−1.17	−0.21	−0.81	−0.90
KPSS	84.22^***	33.51^***	24.67^***	20.79^***	12.69^***	12.85^***	13.1^***

	Ln(SPVXSTR)	Ln(TVIX)	Ln(VXX)	LN(XIV)	Ln(VIXY)	Ln(UVXY)	Ln(SVXY)
Levels
ADF	−2.07	−2.81	−2.73	−2.66	−1.16	−1.09	−1.04
PP	−2.09	−2.80	−2.62	−2.65	−1.11	−1.07	−1.03
DF-GLS	−0.72	−1.81	−2.21	−1.17	−0.21	−0.81	−0.90
KPSS	84.22^***	33.51^***	24.67^***	20.79^***	12.69^***	12.85^***	13.1^***

	Ln(SPVXSTR)	Ln(TVIX)	Ln(VXX)	LN(XIV)	Ln(VIXY)	Ln(UVXY)	Ln(SVXY)
First differences
ADF	−240.35^***	−779.23^***	−1239.5^***	−1509.4^***	−113.8^***	−85.4^***	−72.3^***
PP	−428.66^***	−741.99^***	−3170.9^***	−3337.0^***	−114.34^***	−126.2^***	−133.6^***
DF-GLS	−240.33^***	−23.39^***	−63.18^***	−38.18^***	−113.1^***	−85.3^***	−72.3^***
KPSS	0.063	0.045	0.038	0.063	0.07	0.09	0.06

	Ln(SPVXSTR)	Ln(TVIX)	Ln(VXX)	LN(XIV)	Ln(VIXY)	Ln(UVXY)	Ln(SVXY)
First differences
ADF	−240.35^***	−779.23^***	−1239.5^***	−1509.4^***	−113.8^***	−85.4^***	−72.3^***
PP	−428.66^***	−741.99^***	−3170.9^***	−3337.0^***	−114.34^***	−126.2^***	−133.6^***
DF-GLS	−240.33^***	−23.39^***	−63.18^***	−38.18^***	−113.1^***	−85.3^***	−72.3^***
KPSS	0.063	0.045	0.038	0.063	0.07	0.09	0.06

Note(s): ^*, ^** and ^*** denotes the rejection of null at the 10%, 5% and 1% level, respectively

Source(s): Authors’ own work