Table 1. Open in new tab Summary...

Commodities

Mean

Variance

Skewness

Kurtosis

ERS

Q (20)

Q2(20)

Bajra

0.015

1.429

0.371^***

8.763^***

7215.974^***

−16.649

39.073^***

122.741^***

Barley

0.011

0.705

0.646^***

31.046^***

90,078.035^***

−5.599

146.730^***

357.425^***

Cotton

0.008

0.648

−1.241^***

14.888^***

21,253.140^***

−10.142

318.099^***

53.621^***

Turmeric

0.011

0.819

0.872^***

5.407^***

3010.829^***

−15.123

336.730^***

352.314^***

Coriander

−0.032

1.39

0.115^**

6.598^***

4066.311^***

−11.028

90.657^***

34.645^***

Cumin seeds (jeera)

0.015

1.093

1.608^***

20.081^***

38,583.037^***

−9.623

147.630^***

84.368^***

Soybean

−0.003

1.927

−1.767^***

23.542^***

52,870.830^***

−18.982

91.670^***

376.503^***

Soybean oil

0.003

0.846

0.718^***

6.095^***

3658.154^***

−9.389

113.211^***

91.290^***

Mustard

−0.002

1.673

0.336^***

7.433^***

5196.599^***

−16.619

21.458^***

153.226^***

Crude oil

0.008

9.906

−1.954^***

63.507^***

377,677.651^***

−17.573

99.173^***

514.441^***

Table 1.

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Summary statistics variables, crude oil and agricultural commodities, India, 2015–23

Commodities	Mean	Variance	Skewness	Kurtosis	JB	ERS	Q (20)	Q2(20)
Bajra	0.015	1.429	0.371^***	8.763^***	7215.974^***	−16.649	39.073^***	122.741^***
Barley	0.011	0.705	0.646^***	31.046^***	90,078.035^***	−5.599	146.730^***	357.425^***
Cotton	0.008	0.648	−1.241^***	14.888^***	21,253.140^***	−10.142	318.099^***	53.621^***
Turmeric	0.011	0.819	0.872^***	5.407^***	3010.829^***	−15.123	336.730^***	352.314^***
Coriander	−0.032	1.39	0.115^**	6.598^***	4066.311^***	−11.028	90.657^***	34.645^***
Cumin seeds (jeera)	0.015	1.093	1.608^***	20.081^***	38,583.037^***	−9.623	147.630^***	84.368^***
Soybean	−0.003	1.927	−1.767^***	23.542^***	52,870.830^***	−18.982	91.670^***	376.503^***
Soybean oil	0.003	0.846	0.718^***	6.095^***	3658.154^***	−9.389	113.211^***	91.290^***
Mustard	−0.002	1.673	0.336^***	7.433^***	5196.599^***	−16.619	21.458^***	153.226^***
Crude oil	0.008	9.906	−1.954^***	63.507^***	377,677.651^***	−17.573	99.173^***	514.441^***

Commodities	Mean	Variance	Skewness	Kurtosis	JB	ERS	Q (20)	Q2(20)
Bajra	0.015	1.429	0.371^***	8.763^***	7215.974^***	−16.649	39.073^***	122.741^***
Barley	0.011	0.705	0.646^***	31.046^***	90,078.035^***	−5.599	146.730^***	357.425^***
Cotton	0.008	0.648	−1.241^***	14.888^***	21,253.140^***	−10.142	318.099^***	53.621^***
Turmeric	0.011	0.819	0.872^***	5.407^***	3010.829^***	−15.123	336.730^***	352.314^***
Coriander	−0.032	1.39	0.115^**	6.598^***	4066.311^***	−11.028	90.657^***	34.645^***
Cumin seeds (jeera)	0.015	1.093	1.608^***	20.081^***	38,583.037^***	−9.623	147.630^***	84.368^***
Soybean	−0.003	1.927	−1.767^***	23.542^***	52,870.830^***	−18.982	91.670^***	376.503^***
Soybean oil	0.003	0.846	0.718^***	6.095^***	3658.154^***	−9.389	113.211^***	91.290^***
Mustard	−0.002	1.673	0.336^***	7.433^***	5196.599^***	−16.619	21.458^***	153.226^***
Crude oil	0.008	9.906	−1.954^***	63.507^***	377,677.651^***	−17.573	99.173^***	514.441^***

Source: National Commodity and Derivatives Exchange Limited.

Notes: ^{***, **}, and * indicate significance at the 1, 5, and 10 per cent significance levels, respectively; Skewness: the test of D’Agostino (1970); Kurtosis: Anscombe and Glynn (1983); JB: Jarque and Bera (1980) normality test; ERS: (Elliott et al. 1996) unit-root test statistics; and Q (20) and Q2(20): Fisher and Gallagher (2012) weighted Portmanteau test statistics.

Source: Authors’ calculations.

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