Table 2 Cointegration test Model 1 Model...

Table 2

Cointegration test

	Model 1		Model 2
	Trace statistic	Maximum eigen value statistic	Trace statistic	Maximum eigen value statistic
r = 0	78.76612^***	51.62169^***	936,160^***	70.0304^***
r ≤ 1	27.14443	15.29916	23.5856	16.7089
r ≤ 2	11.84527	10.76851	6.87675	6.53306
r ≤ 3	1.076758	1.076758	0.34369	0.34369

	Model 1		Model 2
	Trace statistic	Maximum eigen value statistic	Trace statistic	Maximum eigen value statistic
r = 0	78.76612^***	51.62169^***	936,160^***	70.0304^***
r ≤ 1	27.14443	15.29916	23.5856	16.7089
r ≤ 2	11.84527	10.76851	6.87675	6.53306
r ≤ 3	1.076758	1.076758	0.34369	0.34369

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

Model 1: Cointegration between ln(SPVXSTR), ln(TVIX), ln(VXX), ln(XIV)

Model 2: Cointegration between ln(SPVXSTR), ln(VIXY), ln(UVXY), and ln(SVXY)

Source(s): Authors’ own work

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