Descriptive statistics of conditional volatilities
| Quarterly data | Monthly data | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Mean | St. dev. | Skewness | Kurtosis | JB | Mean | St. dev. | Skewness | Kurtosis | JB | |
| Brent-GARCH | 364.682 | 170.794 | 2.998 | 13.335 | 571.0 | 86.539 | 49.957 | 2.256 | 9.689 | 781.2 |
| Brent-BMSG | 17.463 | 3.372 | 2.033 | 7.675 | 153.6 | 9.052 | 1.318 | 2.335 | 11.265 | 1081.4 |
| Quarterly data | Monthly data | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Mean | St. dev. | Skewness | Kurtosis | JB | Mean | St. dev. | Skewness | Kurtosis | JB | |
| Brent-GARCH | 364.682 | 170.794 | 2.998 | 13.335 | 571.0 | 86.539 | 49.957 | 2.256 | 9.689 | 781.2 |
| Brent-BMSG | 17.463 | 3.372 | 2.033 | 7.675 | 153.6 | 9.052 | 1.318 | 2.335 | 11.265 | 1081.4 |
Note:
BMSG denotes Bayesian MS-GARCH model
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