Statistics | IVIX (level) | Log-Returns of IVIX |
Mean | 21.36 | −0.0006 |
Median | 19.25 | −0.002 |
Maximum | 56.07 | 0.496 |
Minimum | 11.56 | −0.414 |
Std. Dev. | 7.315 | 0.051 |
Skewness | 1.690 | 0.428 |
Kurtosis | 6.357 | 10.84 |
Jarque-Bera statistics | 1759.5* (0.000) | 4824.2* (0.000) |
KPSS test statistics | 2.469* | 0.047 |
DF-GLS test statistics | −0.869 | −4.890* |
ARCH-LM statistics |
| 12.27* (0.000) |
Observations | 1860 | 1860 |