VAR (p) futures (CL2) and spot prices
| Futures vs spot prices (CL2 vs spot) | Lag order | Log Lτ | BIC |
|---|---|---|---|
| Interval (21st March 1995–05th December 2000) | 1 | −726.31 | 5.01 |
| Interval (15th September 1998–03rd June 2003) | 1 | −712.15 | 5.95 |
| Interval (05th December 2000–06th March 2007) | 1 | −1194.84 | 7.46 |
| Interval (03rd June 2003–19th October 2010) | 2 | −1777.29 | 9.44 |
| Interval (06th March 2007–14th May 2013) | 2 | −1571.93 | 9.97 |
| Interval (19th October 2010–30th May 2017) | 1 | −1522.40 | 8.95 |
| Futures vs spot prices (CL2 vs spot) | Lag order | Log Lτ | BIC |
|---|---|---|---|
| Interval (21st March 1995–05th December 2000) | 1 | −726.31 | 5.01 |
| Interval (15th September 1998–03rd June 2003) | 1 | −712.15 | 5.95 |
| Interval (05th December 2000–06th March 2007) | 1 | −1194.84 | 7.46 |
| Interval (03rd June 2003–19th October 2010) | 2 | −1777.29 | 9.44 |
| Interval (06th March 2007–14th May 2013) | 2 | −1571.93 | 9.97 |
| Interval (19th October 2010–30th May 2017) | 1 | −1522.40 | 8.95 |
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)