Statistics

S&P

FTSE

DAX

CAC

SMI

EURO

S&P_TSX

N225

KOSPI

HSI

BSESN

SSE

In-sample

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

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

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*