Descriptive statistics of the return series in interbank rates in emerging countries
| SERIE | CDI | TIRUSSIA | MIBOR | SHIBOR | TICHILE | BAIBOR | TIIE | SABOR | FFUNDS | EURIBOR | TMIR |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Average | 1.93E-06 | −1.98E-09 | 1.04E-08 | 8.42E-08 | −2.02E-08 | 4.12E-08 | −1.63E-07 | −3.29E-09 | −3.51E-08 | −3.09E-08 | 6.06E-10 |
| Median | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| Maximum | 0.002 | 0.001 | 0.002 | 0.000 | 0.000 | 0.003 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| Minimum | −0.002 | −0.001 | −0.002 | 0.000 | 0.000 | −0.005 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| SD | 1.11E-04 | 6.50E-05 | 5.60E-05 | 1.35E-05 | 4.30E-06 | 1.50E-04 | 4.50E-06 | 3.30E-06 | 3.40E-06 | 4.60E-06 | 7.10E-07 |
| Asymmetry | 0.544 | 0.225 | 2.365 | −1.367 | −6.965 | −7.507 | 0.658 | −0.506 | 0.729 | 0.271 | 0.530 |
| Kurtosis | 199.29 | 48.96 | 447.02 | 74.42 | 149.46 | 496.90 | 36.99 | 57.03 | 69.70 | 19.66 | 79.73 |
| JB test | 4837116.0 | 250817.8 | 27958126.0 | 279255.1 | 2339337.0 | 29839192.0 | 145663.7 | 139099.2 | 812575.8 | 35532.5 | 722.879.8 |
| Prob | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| SERIE | CDI | TIRUSSIA | MIBOR | SHIBOR | TICHILE | BAIBOR | TIIE | SABOR | FFUNDS | EURIBOR | TMIR |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Average | 1.93E-06 | −1.98E-09 | 1.04E-08 | 8.42E-08 | −2.02E-08 | 4.12E-08 | −1.63E-07 | −3.29E-09 | −3.51E-08 | −3.09E-08 | 6.06E-10 |
| Median | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| Maximum | 0.002 | 0.001 | 0.002 | 0.000 | 0.000 | 0.003 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| Minimum | −0.002 | −0.001 | −0.002 | 0.000 | 0.000 | −0.005 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| SD | 1.11E-04 | 6.50E-05 | 5.60E-05 | 1.35E-05 | 4.30E-06 | 1.50E-04 | 4.50E-06 | 3.30E-06 | 3.40E-06 | 4.60E-06 | 7.10E-07 |
| Asymmetry | 0.544 | 0.225 | 2.365 | −1.367 | −6.965 | −7.507 | 0.658 | −0.506 | 0.729 | 0.271 | 0.530 |
| Kurtosis | 199.29 | 48.96 | 447.02 | 74.42 | 149.46 | 496.90 | 36.99 | 57.03 | 69.70 | 19.66 | 79.73 |
| JB test | 4837116.0 | 250817.8 | 27958126.0 | 279255.1 | 2339337.0 | 29839192.0 | 145663.7 | 139099.2 | 812575.8 | 35532.5 | 722.879.8 |
| Prob | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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