Log Return Series | ase | stoxx | vstoxx | ppc | gbonds | eua | ngas | brent | lignite | smp | load | ||||
Panel A: Descriptive statistics | |||||||||||||||
Observations | 2159 | 2159 | 2159 | 2159 | 2159 | 2159 | 2159 | 2159 | 2159 | 2159 | 2159 | ||||
Mean | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||
Median | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||
Maximum | 0.13 | 0.10 | 0.33 | 0.22 | 0.14 | 0.24 | 0.36 | 0.18 | 0.29 | 1.02 | 0.20 | ||||
Minimum | −0.10 | −0.08 | −0.27 | −0.25 | −0.68 | −0.43 | −0.11 | −0.17 | −0.25 | −0.87 | −0.25 | ||||
Std. Dev. | 0.02 | 0.01 | 0.05 | 0.03 | 0.02 | 0.03 | 0.02 | 0.02 | 0.02 | 0.16 | 0.04 | ||||
Skewness | 0.06 | 0.12 | 0.86 | −0.18 | −12.55 | −1.21 | 3.29 | 0.02 | 4.21 | 0.03 | −0.63 | ||||
Kurtosis | 7.31 | 11.32 | 8.09 | 10.70 | 327.73 | 34.44 | 46.55 | 16.49 | 103.69 | 8.82 | 10.22 | ||||
JB (p-value) | h | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1.00 | |||
p-value | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||
Stat. | 1670 | 6231.9 | 2591.4 | 5342.8 | 9543009.1 | 89462.8 | 174476.26 | 16361.3 | 918408.54 | 3051.87 | 4831.9 | ||||
Panel B: Stationarity | |||||||||||||||
ADF | h1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |||
p-value | 0.000 | 0.000 | 0.000 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||
Stat. | −43.78 | −45.64 | −46.43 | −42.92 | −42.06 | −44.7 | −47.17 | −58.80 | −62.95 | −52.21 | −58.80 | ||||
PP | h | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 0.00 | |||
p-value | 0.000 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||
Stat. | −43.78 | −45.64 | −46.43 | −42.92 | −42.06 | −44.7 | −46.43 | −47.17 | −58.80 | −62.95 | −52.21 | ||||
Panel C: Serial Correlation. ARCH tests |
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Q (20) | h | 0 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |||
p-value | 0.06 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||
Stat. | 30.7 | 56.53 | 52.55 | 52.41 | 58.22 | 67.50 | 53.44 | 41.76 | 187.97 | 243.84 | 162.24 | ||||
Q2 (20) | h | 1 | 1 | 1 | 1 | 0 | 1 | 0 | 1 | 1 | 1 | 1 | |||
p-value | 0. | 0.00 | 0.00 | 0.00 | 0.99 | 0.00 | 0.94 | 0.00 | 0.00 | 0.00 | 0.00 | ||||
Stat. | 250.8 | 888.27 | 166.38 | 280.2 | 1.18 | 154.9 | 11.06 | 386.1 | 286.8 | 376.23 | 125.35 | ||||
ARCH-LM (20) | h | 1 | 1 | 1 | 1 | 0 | 1 | 0 | 1 | 1 | 1 | 1 | |||
p-value | 0.000 | 0.00 | 0.00 | 0.00 | 0.99 | 0.00 | 0.98 | 0.00 | 0.00 | 0.00 | 0.00 | ||||
Stat. | 155.45 | 408.07 | 119.35 | 182.30 | 1.13 | 120 | 9.42 | 206.8 | 247.3 | 240.01 | 120.82 | ||||