Statistic

Full-Sample

In-Sample

Out-of-Sample

Return

Volatility

Return

Volatility

Return

Volatility

N

5016

5016

4767

4767

249

249

Min

−0.0969

1.2181 × 10⁻⁶

−0.0969

1.2181 × 10⁻⁶

−0.0303

1.9708 × 10⁻⁶

Max

0.1064

0.0077

0.1064

0.0077

0.0337

2.5871 × 10⁻⁴

μ

1.5910 × 10⁻⁴

1.0526 × 10⁻⁴

1.1426 × 10⁻⁴

1.0884 × 10⁻⁴

0.0010

3.6659 × 10⁻⁵

σ

0.0118

2.4015 × 10⁻⁴

0.0120

2.4565 × 10⁻⁴

0.0079

3.8859 × 10⁻⁵

Skewness

−0.2173

12.0305

−0.2038

11.7845

−0.6046

2.7570

Kurtosis

11.2466

262.77

11.1181

251.83

6.0256

12.4982

JB

1.4253 × 10⁵***

1.4224 × 10⁸***

1.3123 × 10⁵***

1.2409 × 10⁸***

110.14***

1.2514 × 10⁴***

KS

0.4793***

0.5000***

0.4792***

0.5000***

0.4879***

0.5000***

Q (5)

50.1340***

9.2241 × 10⁴***

47.0111***

8.7228 × 10⁴***

3.3610**

182.50***

Q (10)

55.7820***

1.5645 × 10⁵***

53.7640***

1.4783 × 10⁵***

11.4565**

223.58***

ADF

−75.8574***

−28.0728***

−73.9543***

−27.3700***

−16.7672***

−6.1913***

H

0.4426

0.8218

0.4303

0.8007

0.5052

0.9093

d

−0.0334

0.4941

−0.0326

0.4963

−0.0096

0.6719

α

1.5068

0.8247

1.5041

0.8342

1.7081

0.9878