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Journal of Probability and Statistics
/
2020
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Article
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Tab 2
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Research Article
Forecasting the Covolatility of Coffee Arabica and Crude Oil Prices: A Multivariate GARCH Approach with High-Frequency Data
Table 2
DF unit root test of stationarity for log returns.
Series
t
-statistic
MacKinnon approximate
-
value
Crude oil
ā5.791
0.001
Arabica coffee
ā5.877
0.001