Summary statistics
| Variable | Mean | Std. dev | Skewness | Kurtosis | J-B | LLC | IPS | N |
|---|---|---|---|---|---|---|---|---|
| ΔCoVaR | −0.68 | 0.40 | −0.87 | 4.21 | 0.00 | 0.00 | 0.00 | 756 |
| BVE | 0.02 | 0.07 | 3.65 | 74.57 | 0.00 | 0.00 | 0.00 | 756 |
| AST | 0.02 | 0.06 | −1.48 | 23.79 | 0.00 | 0.00 | 0.00 | 756 |
| DTE | 4.71 | 2.55 | −0.25 | 2.65 | 0.00 | 0.36 | 0.13 | 756 |
| VIX | 0.01 | 0.30 | 0.15 | 2.68 | 0.03 | – | – | 756 |
| FED | −0.06 | 0.26 | −4.75 | 26.49 | 0.00 | – | – | 756 |
| VUCI | 0.05 | 0.01 | 2.40 | 8.52 | 0.00 | – | – | 756 |
| Variable | Mean | Std. dev | Skewness | Kurtosis | J-B | LLC | IPS | |
|---|---|---|---|---|---|---|---|---|
| ΔCoVaR | −0.68 | 0.40 | −0.87 | 4.21 | 0.00 | 0.00 | 0.00 | 756 |
| BVE | 0.02 | 0.07 | 3.65 | 74.57 | 0.00 | 0.00 | 0.00 | 756 |
| AST | 0.02 | 0.06 | −1.48 | 23.79 | 0.00 | 0.00 | 0.00 | 756 |
| DTE | 4.71 | 2.55 | −0.25 | 2.65 | 0.00 | 0.36 | 0.13 | 756 |
| VIX | 0.01 | 0.30 | 0.15 | 2.68 | 0.03 | – | – | 756 |
| FED | −0.06 | 0.26 | −4.75 | 26.49 | 0.00 | – | – | 756 |
| VUCI | 0.05 | 0.01 | 2.40 | 8.52 | 0.00 | – | – | 756 |
Note(s): The p-values for J-B (Jarque–Bera), LLC (Levin–Lin–Chu) and IPS (Im–Pesaran–Shin) are reported
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