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