Panel A: Summary statistics

Mean

Median

Stdev

CV

MAX

Min

IVOLEW

0.0188

0.0174

0.0048

0.2553

0.0397

0.0120

IVOLVW

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

IVOLEW

IVOLVW

MVOL

IVOLEW

1.0000

IVOLVW

0.8528

1.0000

MVOL

0.8489

0.9130

1.0000

Panel C: Autocorrelation structure

IVOLEW

IVOLVW

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

IVOLEW

−4.6134

−4.6588

IVOLVW

−3.9604

−3.9728

MVOL

−5.5268

−5.5271