Panel A: Summary statistics

Mean

Median

Stdev

CV

MAX

Min

IVOL^EW

0.0188

0.0174

0.0048

0.2553

0.0397

0.0120

IVOL^VW

0.0127

0.0113

0.0043

0.3386

0.0322

0.0074

MVOL

0.0184

0.0165

0.0067

0.3641

0.0582

0.0098

Panel B: Correlation Table

IVOL^EW

IVOL^VW

MVOL

IVOL^EW

1.0000

IVOL^VW

0.8528

1.0000

MVOL

0.8489

0.9130

1.0000

Panel C: Autocorrelation structure

IVOL^EW

IVOL^VW

MVOL

ρ₁

0.843

0.815

0.775

ρ₂

0.748

0.727

0.607

ρ₃

0.702

0.681

0.504

ρ₄

0.621

0.615

0.422

ρ₆

0.545

0.552

0.371

ρ₁₂

0.451

0.373

0.224

Panel D: Unit root test t-statistics

Constant

Constant and Trend

IVOL^EW

−4.6134

−4.6588

IVOL^VW

−3.9604

−3.9728

MVOL

−5.5268

−5.5271