Research on the Value at Risk of Basis for Stock Index Futures Hedging in China Based on Two-State Markov Process and Semiparametric RS-GARCH Model

Table 3

The ADF and ARCH-LM test of basis sequences for stock index futures.

Stock index futures	ADF test		ARCH-LM test
	t-Statistic	Prob	ObsR-squared	Prob
CSI 300	-7.866	0.000	110.228	0.000
SSE 50	-6.299	0.000	64.925	0.000
CSI 500	-8.503	0.000	50.588	0.000