Statistics | S&P | FTSE | DAX | CAC | SMI | EURO | S&P_TSX | N225 | KOSPI | HSI | BSESN | SSE |
In-sample |
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No. of Obs. | 2670 | 2713 | 2695 | 2727 | 2656 | 2740 | 2659 | 2567 | 2604 | 2592 | 2607 | 2540 |
Min | −9.4695 | −9.2656 | −7.4335 | −9.4715 | −9.0704 | −9.1009 | −9.7879 | −12.1110 | −11.1720 | −13.5820 | −11.6044 | −9.2562 |
Max | 10.957 | 9.3843 | 10.7975 | 10.5946 | 10.7876 | 10.4376 | 9.3703 | 13.2346 | 11.2844 | 13.4068 | 15.9899 | 9.0343 |
Mean | 0.0203 | 0.0071 | 0.0252 | −0.0024 | 0.0018 | −0.0058 | 0.0093 | −0.0003 | 0.0138 | 0.0123 | 0.0417 | 0.0351 |
Std.Dev | 1.2900 | 1.2425 | 1.453 | 1.5007 | 1.1940 | 1.5025 | 1.1913 | 1.6284 | 1.3302 | 1.6257 | 1.5438 | 1.8063 |
Skew | −0.3334 | −0.1345 | −0.0281 | −0.0269 | −0.2237 | −0.0678 | −0.6611 | −0.4551 | −0.5644 | 0.0301 | 0.0913 | −0.6087 |
Kurt. | 10.3369 | 7.2749 | 5.5163 | 5.7007 | 7.8009 | 5.3376 | 9.9723 | 7.1498 | 8.6935 | 8.4008 | 8.3019 | 3.5603 |
Out-of-sample |
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No. of Obs. | 1000 | 1000 | 1000 | 1000 | 1000 | 1000 | 1000 | 1000 | 1000 | 1000 | 1000 | 1000 |
Min | −12.765 | −11.512 | −13.055 | −13.098 | −10.1339 | −13.2405 | −13.1761 | −8.2529 | −8.7669 | −5.7202 | −14.1017 | −8.0391 |
Max | 8.9683 | 8.6668 | 10.4143 | 8.0561 | 6.7805 | 8.8343 | 11.29446 | 7.7314 | 8.2513 | 4.9249 | 8.5947 | 5.5543 |
Mean | 0.0397 | −0.0141 | 0.0142 | 0.0085 | 0.02314 | 0.0042 | 0.0107 | 0.0319 | 0.01304 | 0.0184 | 0.0305 | 0.0133 |
Std.Dev | 1.2682 | 1.0703 | 1.2578 | 1.1951 | 0.9772 | 1.1813 | 1.1368 | 1.2266 | 1.0725 | 1.1344 | 1.1918 | 1.0822 |
Skew | −1.1713 | −1.5436 | −0.7376 | −1.7609 | −1.2942 | −1.7337 | −2.1783 | −0.3285 | −0.3119 | −0.4915 | −1.9551 | −0.7165 |
Kurt. | 23.2205 | 22.1706 | 22.0029 | 21.6635 | 17.3195 | 23.7462 | 49.344 | 7.6226 | 13.0891 | 2.7614 | 30.1745 | 6.8474 |
Full-sample |
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No. of Obs. | 3670 | 3713 | 3695 | 3727 | 3656 | 3740 | 3659 | 3567 | 3604 | 3592 | 3607 | 3540 |
Min | −12.765 | −11.512 | −13.055 | −13.098 | −10.134 | −13.240 | −13.176 | −12.111 | −11.172 | −13.582 | −14.102 | −9.256 |
Max | 10.957 | 9.384 | 10.797 | 10.595 | 10.788 | 10.438 | 11.294 | 13.235 | 11.284 | 13.407 | 15.990 | 9.034 |
Mean | 0.0256 | 0.0014 | 0.222 | 0.00055 | 0.00766 | −0.00311 | 0.00967 | 0.00873 | 0.014 | 0.014 | 0.0386 | 0.0289 |
Std.Dev | 1.284 | 1.198 | 1.403 | 1.425 | 1.138 | 1.424 | 1.176 | 1.5263 | 1.264 | 1.505 | 1.455 | 1.634 |
Skew | −0.554 | −0.40275 | −0.1654 | −0.3035 | −0.413 | −0.325 | −1.036 | −0.45176 | −0.528 | −0.033 | −0.2172 | −0.6419 |
Kurt. | 13.6775 | 9.999 | 8.5298 | 8.098 | 9.482 | 7.966 | 19.380 | 7.711 | 9.683 | 8.719 | 11.516 | 4.549 |
JB | 28832.83* | 15590.73* | 11234.93* | 10256.82* | 13818.48* | 9968.14* | 57985.92* | 8972.53* | 14269.23* | 11394.75* | 19987.47* | 3301.71* |
ADF | −15.026* | −15.526* | −15.031* | −15.424* | −15.847* | −15.386* | −14.92* | −14.825* | −15.107* | −14.665* | −13.937* | −13.437* |
Q(5) | 86.857* | 28.647* | 5.465 | 18.218* | 46.115* | 18.982* | 34.64* | 9.874 | 10.152 | 7.793 | 10.179 | 19.988* |
Q2(5) | 2281.50* | 1342.60* | 680.77* | 1026.9* | 1644.9* | 946.48* | 2425* | 1675.9* | 1685.1* | 1859.4* | 747.07* | 514.49* |
LM(5) | 1086.8* | 722.86* | 438.11* | 579.30* | 754.93* | 554.94* | 994.98* | 788.80* | 838.20* | 851.46* | 430.42* | 305.83* |