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Journal of Shipping and Trade

Table 7 Engle-Granger Co-integration test results

From: Hedging ship price risk using freight derivatives in the drybulk market

 

Level

Capesize

 5-year

−6.56

 10-year

−4.93

 15-year

−6.59

 20-year

−4.81

  1. The table shows the ADF test statistic for the series in level, weekly returns and monthly returns. The weekly returns are the first difference of the level series. The ADF regressions are specified without trend for the level series, and without trend and intercept for the both of the return series. The lag length is determined by the SBIC. The 5% critical value for the ADF is - 2.860 for the level series and − 1.950 for the return series
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