The Scientific World Journal / 2014 / Article / Tab 1

Research Article

Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns

Table 1

Results for ADF test.
(a)

Natural gas modelADF statistics-original seriesPP statistics-original series

VariablesLag termw/constant 
w/o time trend
w/constant 
& w/time trend
Lag termw/constant 
w/o time trend
w/constant 
& w/time trend

RET 0−31.7562***−31.7437***4−31.7534***−31.7411***
RET 0−33.1140***−33.1049***1−33.1135***−33.1043***
6−7.3796***−7.3917***37−5.7894***−5.8117***
9−5.9611***−6.0443***21−5.6500***−5.7281***
EINVN5−6.0680***−6.3519***17−7.4740***−7.7667***
DJ0−33.7349***−33.7173***1−33.7367***−33.7191***

(b)

Heating oil modelADF statistics-original seriesPP statistics-original series

VariablesLag termw/constant 
w/o time trend
w/constant 
& w/time trend
Lag termw/constant 
w/o time trend
w/constant 
& w/time trend

RET 0−33.4204***−33.4068***7−33.4627***−33.4494***
RET 0−33.4655***−33.4534***9−33.5213***−33.5103***
6−7.5365***−7.8002***26−5.3673***−5.5103***
6−8.0559***−8.3002***26−5.4189***−5.5319***
EINVH5−6.5395***−6.5298***10−7.1929***−7.1846***
DJ0−33.7270***−33.7095***1−33.7282***−33.7107***

1% significance level; 5% significance level; 10% significance level; RET : natural gas near-month futures return; RET : natural gas far-month futures return; RET : heating oil near-month futures return; RET : heating oil far-month futures return; : expected temperature shock for natural gas reported by single weather reporting station; : expected weighted average temperature shock for natural gas reported by four weather reporting stations; : expected temperature shock for heating oil reported by one weather reporting station; : expected weighted average temperature shock for heating oil reported by four weather reporting stations; EINVN: expected inventory shock for natural gas; EINVH: expected inventory shock for heating oil; DJ: Dow Jones industrial index.