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

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