|
Platinum log squared returns
|
|
Aggregated variance method
|
0.9358 (0.4358)
|
0.0421
|
22.2319
|
<0.0001
|
|
Differenced aggregated variances
|
1.1907 (0.6907)
|
0.1813
|
6.5684
|
<0.0001
|
|
Aggregated absolute value method
|
0.9909 (0.4909)
|
0.0253
|
39.2360
|
<0.0001
|
|
Higuchi method
|
0.9739 (0.4739)
|
0.0358
|
27.1544
|
<0.0001
|
|
Peng method
|
0.6836 (0.1836)
|
0.1127
|
6.0681
|
<0.0001
|
|
R/S method
|
0.6667 (0.1667)
|
0.0754
|
8.8486
|
<0.0001
|
|
Periodogram method (GPH)
|
0.9665 (0.4665)
|
0.0382
|
25.2618
|
<0.0001
|
|
Boxed (modified) periodogram method
|
0.8313 (0.3313)
|
0.0463
|
17.9453
|
<0.0001
|
|
Wavelet estimator
|
0.5248 (0.0248)
|
0.1005
|
5.2199
|
0.0034
|
|
Whittle estimator
|
0.6080 (0.1080)
|
0.0089
|
68.2000
|
<0.0001
|
|
Palladium log squared returns
|
|
Aggregated variance method
|
0.9340 (0.4340)
|
0.0606
|
15.4258
|
<0.0001
|
|
Differenced aggregated variances
|
0.9175 (0.4175)
|
0.1656
|
5.5416
|
<0.0001
|
|
Aggregated absolute value method
|
0.9625 (0.4625)
|
0.0342
|
28.1158
|
<0.0001
|
|
Higuchi method
|
0.9754 (0.4754)
|
0.0380
|
25.6083
|
<0.0001
|
|
Peng method
|
0.5451 (0.0451)
|
0.1256
|
4.3386
|
<0.0001
|
|
R/S method
|
0.4038 (−0.0962)
|
0.1471
|
2.7450
|
0.0087
|
|
Periodogram method (GPH)
|
0.9103 (0.4103)
|
0.0384
|
23.7393
|
<0.0001
|
|
Boxed (modified) periodogram method
|
0.7707 (0.2707)
|
0.0448
|
17.2098
|
<0.0001
|
|
Wavelet estimator
|
0.6145 (0.1145)
|
0.1510
|
4.0691
|
0.0096
|
|
Whittle estimator
|
0.5779 (0.0779)
|
0.0088
|
65.4000
|
<0.0001
|
