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- (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) |