Statistics

Stock

Bond

T-bill

Mean (%)

−0.034 (0.337)

−0.095 (0.045)

0.003 (0.216)

Yearly mean (%)

−8.806

−24.61

0.78

Stdev (%)

1.062

1.413

0.065

Yearly stdev (%)

17.09

22.74

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)

22.591 (0.309)

58.436 (0.000)

21.441 (0.372)

LB2(20)

504.046 (0.0000)

469.484 (0.0000)

40.316 (0.0040)

JB- χ 2 (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)