Table 2 Further preliminary analysis...

Table 2

Further preliminary analysis

Statistic	Climate risk (1)	Climate risk (2)	Oil risk (1)	Oil risk (2)
Mean	133.520	0.327	4.056	4.392
Std. Dev	94.766	0.261	3.699	4.267
Skewness	1.830	2.224	6.563	6.382
Kurtosis	8.099	11.945	57.246	51.922
Persistence	0.576***	0.075	0.991***	0.992***
Persistence	(0.072)	(0.088)	(0.003)	(0.002)
ARCH(1)	0.358	0.003	71566.70***	85591.69***
ARCH(1)	[0.551]	[0.956]	[0.000]	[0.000]
ARCH(5)	0.129	0.076	16711.60***	18781.21***
ARCH(5)	[0.985]	[0.996]	[0.000]	[0.000]
ARCH(10)	0.557	0.101	8723.71***	9626.31***
ARCH(10)	[0.845]	[0.999]	[0.000]	[0.000]
Correlation analysis
Global	0.1758	−0.0745	0.0213	0.0255
Europe	0.1101	−0.1276	0.0143	0.0145
US	0.1241	−0.2016	0.0199	0.0227
Asia	0.1242	−0.1230	0.0107	0.0098
Solar	0.1783	−0.1252	0.0183	0.0168
Wind	0.1448	−0.0968	0.0151	0.0208

Statistic	Climate risk (1)	Climate risk (2)	Oil risk (1)	Oil risk (2)
Mean	133.520	0.327	4.056	4.392
Std. Dev	94.766	0.261	3.699	4.267
Skewness	1.830	2.224	6.563	6.382
Kurtosis	8.099	11.945	57.246	51.922
Persistence	0.576***	0.075	0.991***	0.992***
Persistence	(0.072)	(0.088)	(0.003)	(0.002)
ARCH(1)	0.358	0.003	71566.70***	85591.69***
ARCH(1)	[0.551]	[0.956]	[0.000]	[0.000]
ARCH(5)	0.129	0.076	16711.60***	18781.21***
ARCH(5)	[0.985]	[0.996]	[0.000]	[0.000]
ARCH(10)	0.557	0.101	8723.71***	9626.31***
ARCH(10)	[0.845]	[0.999]	[0.000]	[0.000]
Correlation analysis
Global	0.1758	−0.0745	0.0213	0.0255
Europe	0.1101	−0.1276	0.0143	0.0145
US	0.1241	−0.2016	0.0199	0.0227
Asia	0.1242	−0.1230	0.0107	0.0098
Solar	0.1783	−0.1252	0.0183	0.0168
Wind	0.1448	−0.0968	0.0151	0.0208

Note(s): Climate risk 1 (CPU) is climate policy uncertainty (Gavriilidis, 2021), Climate risk 2 (EER) is equity market volatility: EER (Baker et al., 2020), Oil risk 1 is the realized volatility from the Brent crude oil price, Oil risk 2 is the realized volatility from the WTI crude oil price. ARCH is the test for conditional heteroscedasticity conducted with ten (10) lags. The null hypotheses for persistence and ARCH tests are no persistence and no ARCH effects, respectively. ”***” indicates statistical significance at the 1% significance level. Values in “()” are standard errors while those in “[]” are probability values

Source(s): Table by authors

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