VAR (p) non-commercial trading activity (TA) and futures (CL2)
| Non-commercial activity vs futures (TA vs CL2) | Lag order | Log Lτ | BIC |
|---|---|---|---|
| Interval (21st March 1995–05th December 2000) | 1 | −3540.51 | 23.96 |
| Interval (15th September 1998–03rd June 2003) | 1 | −3023.67 | 24.82 |
| Interval (05th December 2000–06th March 2007) | 1 | −4176.57 | 25.81 |
| Interval (03rd June 2003–19th October 2010) | 1 | −5270.92 | 27.55 |
| Interval (06th March 2007–14th May 2013) | 1 | −4499.25 | 28.05 |
| Interval (19th October 2010–30th May 2017) | 1 | −4698.41 | 27.42 |
| Non-commercial activity vs futures (TA vs CL2) | Lag order | Log Lτ | BIC |
|---|---|---|---|
| Interval (21st March 1995–05th December 2000) | 1 | −3540.51 | 23.96 |
| Interval (15th September 1998–03rd June 2003) | 1 | −3023.67 | 24.82 |
| Interval (05th December 2000–06th March 2007) | 1 | −4176.57 | 25.81 |
| Interval (03rd June 2003–19th October 2010) | 1 | −5270.92 | 27.55 |
| Interval (06th March 2007–14th May 2013) | 1 | −4499.25 | 28.05 |
| Interval (19th October 2010–30th May 2017) | 1 | −4698.41 | 27.42 |
Note(s): p = lag order informed by BIC criterion; heteroskedasticity-robust standard errors
LT = likelihood function
Source(s): Personal elaborations on Datastream (2021) and Quandl (2021)