The Scientific World Journal / 2014 / Article / Tab 2

Research Article

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

Table 2

Results for Ljung-Box test.

CommodityVariable

RET Series 10.1670 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 20.2228 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 12.9185 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 23.1149 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 13.9518 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 23.9350 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 13.8889 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 23.8486 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)