Research Article
Relationship between Chinese and International Crude Oil Prices: A VEC-TARCH Approach
Table 1
Granger causality test between
and
. “
,” “
,” and “
” denote the significance at the 1%, 5%, and 10% level, respectively.
| | Null hypothesis | Lag length | statistics |
| | Chinese → International | 1 | 5.3098 | | International → Chinese | 1 | 42.2504 | | Chinese → International | 2 | 2.7105 | | International → Chinese | 2 | 21.3865 | | Chinese → International | 3 | 7.2521 | | International → Chinese | 3 | 17.5957 | | Chinese → International | 4 | 6.0005 | | International → Chinese | 4 | 14.2767 | | Chinese → International | 5 | 3.9856 | | International → Chinese | 5 | 10.3246 | | Chinese → International | 6 | 3.3720 | | International → Chinese | 6 | 7.9653 |
|
|
