Research Article
Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns
Table 2
Results for Ljung-Box
test.
| | Commodity | Variable | | | | | | | | |
| | RET | Series 1 | 0.1670 | 0.3630 | 1.8291 | 2.2173 | 4.1915 | 4.6245 | 6.7521 | 8.0710 | | (0.6830) | (0.8340) | (0.6090) | (0.6960) | (0.5220) | (0.5930) | (0.6630) | (0.7800) | | Series 2 | 0.2228 | 0.3636 | 2.0589 | 2.3091 | 4.5976 | 5.1488 | 7.2407 | 8.6039 | | (0.6370) | (0.8340) | (0.5600) | (0.6790) | (0.4670) | (0.5250) | (0.6120) | (0.7360) |
| | RET | Series 1 | 2.9185 | 3.9548 | 4.2424 | 4.2924 | 5.4078 | 5.6102 | 7.7109 | 11.3040 | | (0.0880*) | (0.1380) | (0.2360) | (0.3680) | (0.3680) | (0.4680) | (0.5640) | (0.5030) | | Series 2 | 3.1149 | 4.0195 | 4.3823 | 4.4941 | 5.8186 | 6.0655 | 8.1283 | 11.5900 | | (0.0780*) | (0.1340) | (0.2230) | (0.3430) | (0.3240) | (0.4160) | (0.5210) | (0.4790) |
| | Series 1 | 3.9518 | 4.5093 | 4.5625 | 6.0989 | 6.1009 | 6.6292 | 8.5532 | 10.4580 | | (0.0470**) | (0.1050) | (0.2070) | (0.1920) | (0.2970) | (0.3570) | (0.4790) | (0.5760) | | Series 2 | 3.9350 | 4.4883 | 4.5397 | 6.0974 | 6.0986 | 6.6583 | 8.5968 | 10.4910 | | (0.0470**) | (0.1060) | (0.2090) | (0.1920) | (0.2970) | (0.3540) | (0.4750) | (0.5730) |
| | Series 1 | 3.8889 | 4.1075 | 4.2889 | 5.7237 | 6.0139 | 6.7367 | 8.1229 | 9.7870 | | (0.0490**) | (0.1280) | (0.2320) | (0.2210) | (0.3050) | (0.3460) | (0.5220) | (0.6350) | | Series 2 | 3.8486 | 4.0742 | 4.2522 | 5.7043 | 6.0079 | 6.7678 | 8.1760 | 9.8194 | | () | (0.1300) | (0.2350) | (0.2220) | (0.3050) | (0.3430) | (0.5170) | (0.6320) |
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