Statistics

Stock

Bond

Tbill

Mean (%)

Yearly mean (%)

−0.034 (0.337)

−8.806

−0.095 (0.045)

−24.61

0.003 (0.216)

0.78

Stdev (%)

Yearly stdev (%)

1.062

17.09

1.413

22.74

0.065

1.05

Min

−4.249

−6.278

−0.389

Max

5.529

4.667

0.740

Skewness

−0.203 (0.0140)

−0.273 (0.0009)

1.414 (0.0000)

Excess kurtosis

2.241 (0.0000)

1.816 (0.0000)

20.675 (0.000)

LB (20)

LB² (20)

22.591 (0.309)

504.046 (0.0000)

58.436 (0.000)

469.484 (0.0000)

21.441 (0.372)

40.316 (0.0040)

JB-χ² (2) Test

190.841 (0.0000)

132.348 (0.0000)

16020 (0.0000)

Tsay Ori-F (10,865) Test (lags 4)

4.442 (0.0000)

3.139 (0.0006)

2.619 (0.0028)

McLeod and Li Test (lags 4)

331.257 (0.0000)

254.087 (0.0000)

21.067 (0.0206)

ARCH (LM) Test (lags 4)

36.360 (0.0000)

16.974 (0.0000)

4.404 (0.0000)