Descriptive statistics of the data
| Summary | Ibovespa (log-return) | Interest rate expectation (log-return) |
|---|---|---|
| Count | 2,239 | 2,239 |
| Mean | 0.00019 | 0.00094 |
| Min | −0.17342 | −0.97472 |
| 25% | −0.00822 | −0.00416 |
| 50% | 0.00051 | 0.00001 |
| 75% | 0.00937 | 0.00277 |
| Max | 0.12210 | 1.05616 |
| ADF test | −11.45 | −10.491 |
| p-value | 0.0001 | 0.0001 |
| Summary | Ibovespa (log-return) | Interest rate expectation (log-return) |
|---|---|---|
| Count | 2,239 | 2,239 |
| Mean | 0.00019 | 0.00094 |
| Min | −0.17342 | −0.97472 |
| 25% | −0.00822 | −0.00416 |
| 50% | 0.00051 | 0.00001 |
| 75% | 0.00937 | 0.00277 |
| Max | 0.12210 | 1.05616 |
| ADF test | −11.45 | −10.491 |
| 0.0001 | 0.0001 |
Source(s): Authors’ elaboration
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