Frequency | Parameter | Negative risk premium | Negative market return | Positive market return |
| Number of observations | 49,984 | ||
Daily | Absolute proportion | 38,777 | 26,336 | 23,552 |
Relative proportion | 77.58% | 52.69% | 47.12% | |
t-value6 | −6.5853 | −141.9717 | 125.9184 | |
Mean | −0.0021905 | −0.002807 | 0.0026455 | |
Standard deviation | 0.0743666 | 0.0044203 | 0.0046971 | |
skewness (0) | −39.44609 | −2.5040444 | 2.86864 | |
kurtosis (3) | 1904.962 | 11.48958 | 13.6968 | |
Jarque-Bera (5.99) | 4,378,617.4721 | 378.65883 | 178.2749 |