Table 2 Descriptive statistics of... | Emerald Publishing

Table 2

Descriptive statistics of volatility and volatility indices

	$i n r$	$b r l$	$i d r$	$t r y$	$t h b$	$p h p$	$p k r$	$e c v$	$s c v$
Obs	1,598	1,598	1,598	1,598	1,598	1,598	1,598	1,598	1,598
Mean	0.07	0.14	0.11	0.13	0.07	0.10	0.11	0.00	−0.04
Maximum	0.40	0.65	1.23	1.72	0.46	1.29	1.63	1.40	3.38
Minimum	0.00	0.00	0.00	0.00	0.02	0.00	0.00	−2.05	−4.29
Std. Deviation	0.04	0.07	0.10	0.15	0.04	0.09	0.10	0.24	0.51
Skewness	2.23	1.40	4.06	4.21	2.90	7.24	5.02	−0.87	−1.90
Kurtosis	8.41	4.88	25.16	27.73	13.10	71.08	53.75	10.66	11.46
JB	5,989***	2092.1***	46,233***	55,604***	13,572***	348,166***	197,812***	7716.5***	9654.6***
BDS	32.71***	10.45***	20.65***	37.38***	18.30***	11.97***	27.71***	16.63***	29.99***
ADF	−5.5 ***	−6.4***	−5.9***	−6.4***	−7.7***	−8.7***	−8.1***	−6.9***	−7.1***
PP	−1,087***	−1,562***	−1,523***	−625***	−1,668***	−1,158***	−1,408***	−1,151***	−1,248***

	$i n r$	$b r l$	$i d r$	$t r y$	$t h b$	$p h p$	$p k r$	$e c v$	$s c v$
Obs	1,598	1,598	1,598	1,598	1,598	1,598	1,598	1,598	1,598
Mean	0.07	0.14	0.11	0.13	0.07	0.10	0.11	0.00	−0.04
Maximum	0.40	0.65	1.23	1.72	0.46	1.29	1.63	1.40	3.38
Minimum	0.00	0.00	0.00	0.00	0.02	0.00	0.00	−2.05	−4.29
Std. Deviation	0.04	0.07	0.10	0.15	0.04	0.09	0.10	0.24	0.51
Skewness	2.23	1.40	4.06	4.21	2.90	7.24	5.02	−0.87	−1.90
Kurtosis	8.41	4.88	25.16	27.73	13.10	71.08	53.75	10.66	11.46
JB	5,989***	2092.1***	46,233***	55,604***	13,572***	348,166***	197,812***	7716.5***	9654.6***
BDS	32.71***	10.45***	20.65***	37.38***	18.30***	11.97***	27.71***	16.63***	29.99***
ADF	−5.5 ***	−6.4***	−5.9***	−6.4***	−7.7***	−8.7***	−8.1***	−6.9***	−7.1***
PP	−1,087***	−1,562***	−1,523***	−625***	−1,668***	−1,158***	−1,408***	−1,151***	−1,248***

Note(s): ***, ** and * implies null is rejected at 1%, 5% and 10% level of significance

Source(s): Authors’ estimations