AddRS | Return | |||||||
S&P 500 | FTSE 100 | SZSEC | FBMKLCI | S&P 500 | FTSE 100 | SZSEC | FBMKLCI | |
Mean | 1.270 | 1.444 | 1.755 | 1.132 | 0.119 | 0.063 | 0.156 | 0.039 |
Median | 0.552 | 0.659 | 0.764 | 0.296 | 0.274 | 0.214 | 0.242 | 0.101 |
Min | 0.008 | 0.014 | 0.000 | 0.001 | −20.828 | −15.297 | −25.937 | −13.720 |
Max | 45.713 | 59.976 | 31.891 | 54.265 | 10.182 | 13.588 | 17.675 | 28.109 |
Stdev | 2.634 | 3.016 | 3.039 | 3.308 | 2.363 | 2.390 | 3.704 | 2.938 |
Skewness | 8.703# | 9.901# | 4.709# | 9.100# | −0.956# | −0.441# | −0.601# | 1.269# |
Kurtosis | 116.428# | 154.646# | 33.133# | 112.604# | 10.627# | 7.064# | 8.109# | 21.055# |
JB stat | 607965.2# | 1079767.2# | 46014.6# | 569893.7# | 2851.670# | 797.433# | 1270.789# | 15332.112# |
Q(20) | 1149.728# | 856.365# | 596.870# | 1280.295# | 55.247# | 42.985# | 43.736# | 83.904# |
ARCH(10) | 350.873# | 138.080# | 39.573# | 245.005# | 99.229# | 121.457# | 95.687# | 124.006# |