Table 6 Unit root test for invariant... | Emerald Publishing

Table 6

Unit root test for invariant variable

	Phillips–Perron test
Variable	Intercept	Intercept and trend
MSCI_RET	−331.125***	−331.009***
USCDS_RET	−38.6836***	−39.1092***
VIX_RET	−300.606***	−300.474***
OVX_RET	−41.4702***	−41.4586***

Note(s): *** indicates 1% level of significance

Source(s): Created by the authors